APD Options History — July 2015

In July 2015, APD traded between $119.18 and $131.84. ATM implied volatility averaged 23.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.2% (HV 20d: 20.7%). Max pain ranged from $120.26 to $134.14. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-07-21: Highest Volume — 12,704 contracts
  • 2015-07-30: Largest IV drop — 32.9% change
  • 2015-07-29: Highest IV Rank — 50.6%
  • 2015-07-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.32$119.18$131.84$128.15$131.84
Max Pain$127.20$120.26$134.14$134.14$120.26
ATM IV23.9%19.3%31.1%21.0%19.3%
Expected Move6.9%5.5%8.9%6.0%5.5%
HV 20d20.7%16.2%30.6%16.9%30.4%
HV 60d19.9%16.9%21.3%19.2%21.3%
IV Rank28.8%15.0%50.6%20.0%15.0%
IV Percentile69.2%27.8%95.6%46.0%27.8%
Term Structure-1.6%-5.0%1.1%0.9%0.0%
VWIV24.4%20.5%32.8%21.4%20.5%
Skew 25d1.9%0.9%3.1%1.4%1.8%
Skew 10d3.7%1.5%6.3%2.8%3.3%
Call IV 25d23.6%19.5%31.6%21.0%19.5%
Put IV 25d25.5%21.3%33.3%22.5%21.3%
Bid-Ask Spread %68.9816.1682.7221.8082.72
Gamma HHI0.210.180.250.180.20
Net GEX4.5M2.3M8.1M5.6M8.1M
Net DEX-56.5M-169.6M-13.1M-59.2M-169.6M
Net VEX-746.0K-894.4K-596.2K-680.9K-894.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.423.891.201.06
Total Volume6,166.6823,44912,7046,8545,275
Total OI42,327.45538,58647,11738,58644,098

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$128.15$134.1421.0%6.0%16.9%20.0%21.4%1.4%0.9%5.6M-59.2M-680.9K1.2021.803,1153,73928,6129,974
2015-07-02$127.16$134.1421.8%6.3%16.2%22.5%21.8%2.1%1.1%4.4M-47.3M-676.2K1.0816.163,4323,72028,43510,691
2015-07-06$125.85$129.5123.2%6.7%16.4%26.6%22.5%3.0%-1.3%4.0M-39.4M-652.9K0.7772.253,3462,58529,40410,838
2015-07-07$126.60$129.5123.1%6.7%16.6%26.3%23.2%2.4%-1.4%4.4M-44.9M-661.2K1.7169.501,4732,51729,44110,841
2015-07-08$123.25$129.5125.3%6.9%18.7%33.0%24.0%3.1%-1.6%3.2M-22.2M-614.1K2.9669.438712,57829,43810,872
2015-07-09$122.62$129.5123.5%6.9%17.9%27.6%24.3%1.4%-1.7%2.8M-17.8M-596.2K1.5867.642,2663,59029,52410,851
2015-07-10$125.93$129.5122.0%6.7%21.0%23.0%23.7%1.9%-1.4%4.1M-40.2M-669.1K1.7470.701,7563,05530,83911,942
2015-07-13$126.27$129.5122.9%6.5%21.1%25.8%23.6%1.7%-1.8%4.2M-42.7M-676.4K3.3773.519043,04231,38112,499
2015-07-14$126.97$129.5120.9%6.3%21.3%19.7%23.1%1.2%-1.0%4.7M-50.5M-675.3K3.8971.601,0113,93531,74612,543
2015-07-15$127.13$129.5122.0%6.3%20.7%23.2%22.6%1.5%-1.4%4.5M-47.7M-685.5K3.5776.449463,37631,80213,314
2015-07-16$126.89$129.5122.5%6.4%20.7%24.5%22.4%0.9%-1.7%4.1M-44.8M-672.9K1.1678.732,1172,45931,79713,337
2015-07-17$126.06$129.5123.6%6.8%20.4%28.0%23.4%1.1%-1.7%4.5M-46.3M-686.5K0.4278.407,1813,00832,56613,135
2015-07-20$125.07$124.8823.8%6.8%20.2%28.4%23.8%0.9%-2.1%6.4M-83.5M-853.8K0.4373.766,4582,78131,94812,263
2015-07-21$123.48$124.8825.1%7.2%20.2%32.6%25.8%2.2%-2.6%5.5M-66.6M-842.1K0.9072.656,6816,02332,05412,315
2015-07-22$122.76$124.8824.9%7.1%20.2%31.8%25.0%2.2%-2.2%4.1M-47.4M-881.5K1.8778.463,0275,66632,19114,926
2015-07-23$122.74$124.8825.2%7.2%20.2%32.9%25.4%2.6%-2.7%3.7M-45.1M-833.1K1.3577.982,6063,52325,96613,664
2015-07-24$120.32$124.8827.1%7.8%21.0%38.6%26.4%2.8%-2.6%2.6M-23.8M-798.2K1.3678.982,5873,52625,96714,290
2015-07-27$119.18$124.8828.6%8.2%21.0%43.3%28.7%2.0%-3.4%2.3M-13.1M-768.7K2.9676.879062,67925,96614,297
2015-07-28$122.90$124.8828.1%8.1%21.5%41.5%30.7%2.6%-3.3%3.5M-48.5M-832.3K1.0574.522,4022,51126,08514,370
2015-07-29$124.15$120.2631.1%8.9%21.9%50.6%32.8%1.7%-5.0%4.3M-73.5M-867.9K0.6574.564,9033,18527,02914,404
2015-07-30$131.79$120.2620.8%6.0%30.6%19.6%21.6%1.8%0.6%7.7M-168.6M-893.5K1.2360.982,1972,70928,80214,747
2015-07-31$131.84$120.2619.3%5.5%30.4%15.0%20.5%1.8%0.0%8.1M-169.6M-894.4K1.0682.722,5572,71829,32214,776