APD Options History — September 2015

In September 2015, APD traded between $115.87 and $129.32. ATM implied volatility averaged 29.2%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.7% (HV 20d: 26.5%). Max pain ranged from $129.51 to $138.76. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2015-09-25: Highest Volume — 34,219 contracts
  • 2015-09-04: Largest IV spike — 15.7% change
  • 2015-09-01: Highest IV Rank — 62.6%
  • 2015-09-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.06$115.87$129.32$125.70$118.19
Max Pain$136.56$129.51$138.76$129.51$134.14
ATM IV29.2%26.0%35.0%35.0%29.0%
Expected Move8.3%7.5%10.0%10.0%8.3%
HV 20d26.5%23.5%29.0%23.5%25.4%
HV 60d26.0%24.5%27.2%24.5%26.8%
IV Rank45.0%35.3%62.6%62.6%44.3%
IV Percentile88.5%79.8%98.0%98.0%87.3%
Term Structure-0.1%-3.6%1.4%-3.6%0.3%
VWIV27.3%21.5%36.9%34.0%33.0%
Skew 25d5.1%2.1%8.1%3.1%6.0%
Skew 10d10.2%4.0%16.8%6.2%11.0%
Call IV 25d27.6%25.0%33.9%33.9%27.3%
Put IV 25d32.7%30.0%37.4%37.0%33.3%
Bid-Ask Spread %40.2829.7956.6956.6932.80
Gamma HHI0.260.170.770.170.38
Net GEX6.9M2.9M34.3M4.4M8.3M
Net DEX-29.2M-111.7M67.2M-62.9M-3.2M
Net VEX-816.7K-1.1M-650.0K-840.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.004.790.751.21
Total Volume8,587.57122934,2195,3658,908
Total OI56,342.8141,50481,41947,53076,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$125.70$129.5135.0%10.0%23.5%62.6%34.0%3.1%-3.6%4.4M-62.9M-840.2K0.7556.693,0692,29630,94616,584
2015-09-02$128.21$129.5131.0%8.9%24.4%50.5%33.8%8.1%-2.0%5.9M-87.8M-865.7K1.1648.004,0234,65332,58817,006
2015-09-03$129.32$138.7628.1%7.9%24.8%41.5%25.8%5.2%0.3%7.3M-95.0M-920.5K1.6936.062,5934,38234,85918,425
2015-09-04$126.08$138.7632.5%8.6%26.1%54.9%21.7%5.9%-0.6%5.4M-56.6M-879.0K1.7541.642,5224,41535,00118,439
2015-09-08$128.82$138.7630.7%7.8%26.9%49.4%27.1%7.1%0.8%6.8M-80.7M-861.9K0.0049.121,579834,91318,458
2015-09-09$126.90$138.7629.0%8.3%27.1%44.2%21.7%4.1%-0.4%5.3M-64.4M-828.8K1.6042.352,6794,29734,74718,457
2015-09-10$126.30$138.7628.2%8.1%27.0%41.8%21.7%4.7%0.4%4.2M-48.3M-801.4K2.3044.011,9574,50834,57318,465
2015-09-11$125.98$138.7629.6%8.5%26.9%46.3%27.4%6.8%-1.1%4.7M-44.1M-793.9K1.0741.933,7844,05234,69518,339
2015-09-14$125.18$138.7628.4%8.2%26.7%42.6%24.5%5.0%0.9%3.4M-25.2M-752.7K1.2239.342,6613,24234,68919,065
2015-09-15$125.46$138.7627.5%7.9%26.8%39.7%28.0%5.0%0.7%3.5M-23.9M-774.6K0.7439.531329735,84619,655
2015-09-16$128.21$138.7627.2%7.8%28.3%38.9%25.7%5.5%-0.4%5.6M-61.2M-790.5K0.4852.205,5712,69535,95519,710
2015-09-17$128.89$138.7626.0%7.5%28.3%35.3%21.5%6.3%-1.1%10.1M-111.7M-794.8K1.6749.001,5272,54939,80719,934
2015-09-18$124.54$138.7626.7%7.7%29.0%37.3%24.0%4.6%-0.1%34.3M-22.3M-722.4K2.0539.251,3002,66840,11420,093
2015-09-21$124.72$138.7626.0%7.5%28.2%35.3%23.6%5.3%1.4%4.9M-27.3M-705.9K0.7035.843,1382,18426,54514,959
2015-09-22$122.02$138.7629.0%8.3%27.4%44.3%26.9%4.3%0.2%4.2M-4.2M-650.0K1.1132.409,76010,86226,60414,974
2015-09-23$120.57$134.1428.4%8.1%27.2%42.4%25.7%2.1%0.6%3.7M50.0M-684.8K4.7929.792,12810,19231,77620,591
2015-09-24$119.81$134.1429.0%8.3%26.3%44.2%29.0%5.7%0.5%3.6M53.4M-701.6K4.1533.471,7147,12133,50222,131
2015-09-25$118.11$134.1428.7%8.2%25.2%43.4%26.0%3.1%0.8%2.9M67.2M-656.8K0.3631.3025,0869,13333,64422,274
2015-09-28$115.87$134.1432.0%9.2%25.6%53.5%35.3%3.4%-0.4%8.5M11.0M-1.1M1.2636.223,8274,81057,10724,312
2015-09-29$116.35$134.1431.8%9.1%25.8%52.9%36.9%5.5%-0.4%7.1M24.8M-989.5K1.1734.983,7874,43051,79624,875
2015-09-30$118.19$134.1429.0%8.3%25.4%44.3%33.0%6.0%0.3%8.3M-3.2M-1.0M1.2132.804,0234,88551,83924,907