APD Options History — December 2015

In December 2015, APD traded between $118.58 and $128.21. ATM implied volatility averaged 23.4%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.0% (HV 20d: 20.4%). Max pain ranged from $124.88 to $124.88. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-12-02: Highest Volume — 36,963 contracts
  • 2015-12-07: Largest IV spike — 18.2% change
  • 2015-12-14: Highest IV Rank — 50.4%
  • 2015-12-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.97$118.58$128.21$127.66$120.68
Max Pain$124.88$124.88$124.88$124.88$124.88
ATM IV23.4%19.3%27.6%24.1%20.9%
Expected Move6.7%5.5%7.9%6.9%6.0%
HV 20d20.4%14.9%23.1%14.9%23.1%
HV 60d21.1%20.2%22.0%21.0%20.4%
IV Rank34.4%18.7%50.4%36.9%24.8%
IV Percentile51.8%19.0%84.1%61.1%27.8%
Term Structure2.5%-0.6%6.0%-0.6%4.9%
VWIV24.9%19.2%30.8%24.7%23.8%
Skew 25d3.3%2.1%5.2%2.5%2.9%
Skew 10d6.8%4.3%10.4%5.2%4.5%
Call IV 25d22.1%18.7%25.9%24.0%19.9%
Put IV 25d25.4%21.3%31.0%26.6%22.8%
Bid-Ask Spread %20.9211.9128.4317.5514.35
Gamma HHI0.260.190.560.330.22
Net GEX-2.3M-15.7M20.4M18.8M-5.6M
Net DEX17.4M-232.6M141.9M-207.9M39.9M
Net VEX-460.7K-881.9K-317.2K-881.9K-317.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.145.560.140.69
Total Volume4,809.40944736,9631,0133,215
Total OI57,202.77339,30188,88088,33940,481

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$127.66$124.8824.1%6.9%14.9%36.9%24.7%2.5%-0.6%18.8M-207.9M-881.9K0.1417.5588512852,70135,638
2015-12-02$128.21$124.8823.2%6.7%14.9%33.7%24.7%2.2%0.1%20.4M-232.6M-831.9K0.4017.1726,42210,54153,12835,752
2015-12-03$125.47$124.8825.7%7.0%16.6%43.0%24.9%2.8%0.6%-3.2M7.2M-591.6K1.6623.471,1551,92128,96435,242
2015-12-04$128.08$124.8821.8%6.4%18.1%28.2%24.6%3.6%2.4%3.8M-48.5M-535.6K1.7418.901,5172,64229,15829,985
2015-12-07$126.56$124.8825.8%6.9%18.4%43.4%25.1%4.0%1.5%1.0M-12.9M-510.4K0.6425.1327317429,40530,759
2015-12-08$123.13$124.8826.7%7.1%19.9%47.0%25.6%2.9%0.7%-3.8M46.8M-484.7K1.1319.491,7191,95029,26330,683
2015-12-09$123.89$124.8824.9%7.1%20.1%40.1%25.6%3.0%1.2%-3.2M32.8M-478.3K1.4622.891,1121,62929,44231,123
2015-12-10$122.23$124.8825.8%7.4%20.5%43.4%27.4%4.0%0.3%-5.2M59.8M-451.0K0.9826.481,3031,27629,74631,163
2015-12-11$120.53$124.8826.4%7.6%20.7%45.7%27.9%4.5%0.8%-6.6M95.4M-420.2K1.3922.282,9634,11929,72831,158
2015-12-14$119.04$124.8827.6%7.9%19.8%50.4%30.8%5.2%-0.4%-7.8M113.9M-445.6K3.9425.118173,21831,51933,422
2015-12-15$121.78$124.8825.9%7.4%20.1%43.7%26.4%4.6%1.1%-8.9M65.7M-452.1K5.5625.477904,39331,89833,297
2015-12-16$122.41$124.8825.4%7.3%20.3%42.1%28.1%4.0%1.2%-11.4M61.0M-433.9K2.0228.439401,89831,88434,488
2015-12-17$120.82$124.8823.5%6.7%20.6%34.7%25.7%3.2%1.8%-15.7M85.9M-416.2K1.6525.931,2312,03031,92234,729
2015-12-18$118.58$124.8822.7%6.5%21.1%31.9%23.6%3.4%2.6%-3.2M141.9M-372.3K1.9222.322,3034,42331,95034,354
2015-12-21$119.97$124.8822.5%6.4%21.9%30.8%23.8%4.0%4.7%-2.9M40.3M-367.2K2.3216.161,0822,51319,25220,049
2015-12-22$121.65$124.8821.3%6.1%22.4%26.4%22.7%4.0%4.6%-3.8M31.2M-379.7K1.3722.7369895719,44621,599
2015-12-23$123.17$124.8819.7%5.6%23.1%20.1%20.2%2.5%6.0%-2.4M10.6M-381.8K1.2616.5777497819,44521,740
2015-12-24$123.21$124.8819.3%5.5%23.0%18.7%21.3%2.7%5.8%-2.2M6.6M-372.8K1.4923.9466699219,52421,643
2015-12-28$122.62$124.8820.8%5.9%23.0%24.3%21.4%2.4%4.9%-3.0M14.0M-346.3K1.1818.628621,01419,52921,645
2015-12-29$123.15$124.8819.8%5.7%23.0%20.5%29.4%2.3%5.4%-3.0M9.9M-334.6K0.4311.912,9181,24619,53021,654
2015-12-30$122.42$124.8821.6%6.2%22.8%27.5%19.2%2.1%4.9%-3.5M21.6M-330.3K0.3515.363,0471,07318,53821,885
2015-12-31$120.68$124.8820.9%6.0%23.1%24.8%23.8%2.9%4.9%-5.6M39.9M-317.2K0.6914.351,9041,31118,58621,895