APD Options History — June 2015

In June 2015, APD traded between $126.85 and $137.19. ATM implied volatility averaged 18.6%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.9% (HV 20d: 12.7%). Max pain ranged from $129.51 to $134.14. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2015-06-29: Highest Volume — 7,039 contracts
  • 2015-06-29: Largest IV spike — 24.9% change
  • 2015-06-29: Highest IV Rank — 27.5%
  • 2015-06-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.86$126.85$137.19$136.32$126.85
Max Pain$133.92$129.51$134.14$134.14$134.14
ATM IV18.6%15.5%23.4%17.6%22.6%
Expected Move5.3%4.4%6.7%5.0%6.5%
HV 20d12.7%10.8%16.5%13.7%16.2%
HV 60d18.4%17.9%19.2%18.9%19.1%
IV Rank12.8%3.2%27.5%9.6%24.7%
IV Percentile27.0%2.8%73.4%17.9%64.3%
Term Structure1.3%-0.6%2.2%0.1%0.9%
VWIV19.2%16.7%23.0%16.7%22.2%
Skew 25d2.1%0.9%3.1%2.2%2.1%
Skew 10d4.1%2.6%6.3%4.5%3.4%
Call IV 25d18.1%15.5%22.8%16.5%21.9%
Put IV 25d20.2%17.8%24.7%18.7%24.0%
Bid-Ask Spread %20.6612.4627.1117.7719.32
Gamma HHI0.210.170.540.210.18
Net GEX5.1M-15.3M10.1M7.2M4.8M
Net DEX-99.9M-138.6M-49.6M-122.5M-49.6M
Net VEX-782.0K-836.4K-661.8K-827.3K-661.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.593.400.720.59
Total Volume4,347.4554157,0395,0156,977
Total OI44,944.54535,37852,99544,28238,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$136.32$134.1417.6%5.0%13.7%9.6%16.7%2.2%0.1%7.2M-122.5M-827.3K0.7217.772,9192,09629,35014,932
2015-06-02$137.05$134.1416.9%4.9%13.6%7.7%17.2%2.3%-0.6%9.1M-134.4M-836.4K0.6516.7025216330,31414,946
2015-06-03$137.19$134.1415.5%4.4%12.4%3.2%17.2%2.3%0.6%9.4M-138.6M-825.2K3.0618.521,0963,35130,57615,111
2015-06-04$134.91$134.1417.7%5.0%13.9%10.1%17.6%2.8%1.7%5.7M-102.0M-829.5K3.4019.968392,85030,65516,147
2015-06-05$134.74$134.1417.0%4.9%13.7%8.0%18.3%3.0%1.9%4.2M-91.6M-821.2K2.4921.498052,00230,74816,549
2015-06-08$133.75$134.1418.5%5.1%13.1%12.4%18.7%2.8%1.9%3.9M-83.5M-801.5K2.3619.328622,03030,74516,573
2015-06-09$133.64$134.1417.9%5.1%12.3%10.6%18.2%3.1%1.8%3.5M-78.3M-794.8K2.9320.708782,57430,73616,577
2015-06-10$135.08$134.1418.6%5.3%12.4%12.8%18.5%2.3%1.4%4.1M-98.3M-809.2K1.0123.092,6192,64330,82717,160
2015-06-11$135.05$134.1419.0%5.4%12.3%13.8%18.6%2.0%0.8%4.9M-108.0M-825.8K1.2324.391,6822,06332,11217,353
2015-06-12$133.90$134.1418.9%5.4%11.1%13.5%19.9%2.3%1.1%3.6M-87.4M-810.7K1.6523.181,2372,04132,54917,389
2015-06-15$133.33$134.1419.7%5.7%10.8%16.2%20.7%2.5%0.8%2.6M-75.3M-792.2K1.0620.211,9802,09132,65917,433
2015-06-16$134.76$129.5119.5%5.6%11.6%15.5%20.0%2.3%0.9%4.4M-108.1M-801.5K0.6724.264,0972,76133,62117,482
2015-06-17$135.09$134.1419.5%5.6%11.6%15.5%21.1%1.8%1.0%5.6M-122.2M-819.4K0.9526.802,7182,58835,27217,631
2015-06-18$135.98$134.1418.6%5.3%11.9%12.8%20.5%1.4%1.5%7.1M-137.1M-795.9K1.3527.112,0072,70735,30217,616
2015-06-19$134.43$134.1418.0%5.2%12.3%11.0%19.6%0.9%1.8%-15.3M-121.2M-771.5K1.2721.952,3452,98135,49517,500
2015-06-22$135.10$134.1418.1%5.2%12.3%11.3%19.7%1.4%2.1%10.1M-118.1M-767.7K1.4322.951,8452,64526,3409,038
2015-06-23$134.07$134.1417.8%5.1%12.4%10.4%19.1%1.2%2.1%9.3M-110.1M-755.6K1.5920.061,7392,75826,6849,297
2015-06-24$133.02$134.1418.1%5.2%12.0%11.2%18.5%1.6%2.2%8.1M-94.7M-733.8K3.3116.777912,61626,8529,550
2015-06-25$132.19$134.1417.8%5.1%11.9%10.4%18.4%1.4%2.1%7.3M-85.3M-730.6K3.3118.577602,51826,9519,668
2015-06-26$131.55$134.1418.8%5.4%11.7%13.3%18.6%1.6%2.2%6.6M-78.1M-714.6K1.1619.042,1652,51427,0219,729
2015-06-29$127.03$134.1423.4%6.7%16.5%27.5%23.0%1.9%0.5%5.4M-54.3M-677.0K0.6012.464,3912,64828,2859,779
2015-06-30$126.85$134.1422.6%6.5%16.2%24.7%22.2%2.1%0.9%4.8M-49.6M-661.8K0.5919.324,3882,58928,3529,874