APD Options History — November 2015

In November 2015, APD traded between $125.07 and $129.83. ATM implied volatility averaged 26.3%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.7% (HV 20d: 20.6%). Max pain ranged from $124.88 to $129.51. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2015-11-13: Highest Volume — 12,926 contracts
  • 2015-11-09: Largest IV spike — 17.0% change
  • 2015-11-16: Highest IV Rank — 67.7%
  • 2015-11-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.92$125.07$129.83$128.17$126.63
Max Pain$125.58$124.88$129.51$129.51$124.88
ATM IV26.3%23.4%32.1%24.8%25.5%
Expected Move7.5%6.7%9.2%7.1%7.3%
HV 20d20.6%14.7%22.8%22.5%14.7%
HV 60d23.5%21.5%24.4%24.4%21.5%
IV Rank45.4%34.2%67.7%39.8%42.6%
IV Percentile76.3%54.4%96.8%73.4%73.4%
Term Structure-0.5%-2.5%1.7%-0.9%0.6%
VWIV27.4%23.4%33.3%26.8%27.1%
Skew 25d3.9%2.3%6.2%3.3%3.5%
Skew 10d7.5%1.9%12.1%7.4%5.5%
Call IV 25d24.9%22.7%30.0%24.7%23.8%
Put IV 25d28.8%25.6%35.9%27.9%27.3%
Bid-Ask Spread %33.3116.0976.9127.2219.06
Gamma HHI0.280.220.330.300.33
Net GEX15.6M10.5M19.4M16.2M18.1M
Net DEX-219.7M-276.2M-113.7M-246.2M-172.6M
Net VEX-1.1M-1.2M-897.6K-1.2M-897.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0816.600.760.95
Total Volume5,31252112,9265,980616
Total OI91,329.1582,437103,21982,43788,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$128.17$129.5124.8%7.1%22.5%39.8%26.8%3.3%-0.9%16.2M-246.2M-1.2M0.7627.223,4002,58052,55729,880
2015-11-03$128.83$129.5125.2%7.2%22.4%41.3%25.2%3.2%-1.1%15.6M-253.8M-1.2M0.6919.193,3282,28852,74029,932
2015-11-04$127.83$129.5124.7%7.1%22.5%39.5%27.3%3.2%-0.4%16.3M-239.0M-1.1M0.7526.033,2752,45253,00629,978
2015-11-05$127.15$124.8828.0%7.4%20.3%52.0%26.5%3.8%-0.3%15.5M-207.0M-1.1M2.3035.782,0904,81053,03929,899
2015-11-06$128.23$124.8824.8%7.1%20.1%39.9%25.3%4.5%-0.7%15.8M-231.7M-1.1M1.8237.208931,62653,31931,700
2015-11-09$126.11$124.8829.1%7.8%20.8%56.0%28.4%4.5%-1.1%14.5M-175.0M-1.1M16.6039.344707,80753,84632,534
2015-11-10$126.36$124.8827.7%7.6%20.8%50.9%29.7%4.1%-0.7%11.6M-152.1M-1.2M1.8530.001,7503,23854,41639,331
2015-11-11$126.59$124.8826.2%7.5%20.8%45.2%27.1%4.2%-0.2%12.0M-166.4M-1.2M1.8476.911,7503,22654,46239,423
2015-11-12$125.07$124.8827.3%7.8%20.7%49.3%27.3%4.1%-1.0%10.5M-113.7M-1.2M1.5234.302,7404,17054,51840,014
2015-11-13$127.21$124.8829.3%8.4%21.5%56.7%32.9%5.2%-1.7%12.1M-188.9M-1.2M3.3242.422,9939,93355,59840,917
2015-11-16$129.83$124.8832.1%9.2%22.6%67.7%33.3%6.0%-2.5%14.7M-265.4M-1.2M0.3158.143,2161,00756,51441,234
2015-11-17$128.90$124.8828.8%8.3%22.8%55.0%28.9%2.3%-1.9%16.0M-267.3M-1.1M0.6152.066,3773,91957,13741,997
2015-11-18$128.96$124.8827.6%7.9%21.9%50.3%30.4%3.6%-0.8%17.5M-241.0M-1.1M2.1624.411,9544,22559,49242,238
2015-11-19$129.42$124.8826.2%7.5%21.1%45.1%30.0%6.2%-0.8%19.4M-264.5M-1.1M1.2730.002,6883,40860,00543,214
2015-11-20$128.75$124.8823.9%6.8%20.4%36.3%25.6%3.9%0.6%15.3M-234.0M-1.1M1.9723.581,5893,12858,72743,106
2015-11-23$129.68$124.8823.4%6.7%20.5%34.4%23.4%2.9%0.6%17.4M-276.2M-1.0M0.0829.553,77131852,29135,047
2015-11-24$129.02$124.8823.4%6.7%20.6%34.6%24.2%3.0%1.0%18.6M-256.9M-1.0M2.6016.0914537655,09335,189
2015-11-25$128.01$124.8823.4%6.7%19.5%34.2%23.9%3.4%1.7%17.5M-227.7M-996.2K1.1820.621,1151,31652,66435,337
2015-11-27$127.57$124.8824.0%6.9%15.4%36.6%24.7%2.4%0.3%17.9M-213.9M-959.0K1.0924.351,0771,17652,66035,409
2015-11-30$126.63$124.8825.5%7.3%14.7%42.6%27.1%3.5%0.6%18.1M-172.6M-897.6K0.9519.0631729952,61235,508