APD Options History — January 2016

In January 2016, APD traded between $107.65 and $119.33. ATM implied volatility averaged 31.1%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.7% (HV 20d: 22.4%). Max pain ranged from $111.01 to $120.26. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.35.

Notable Days

  • 2016-01-12: Highest Volume — 16,259 contracts
  • 2016-01-07: Largest IV spike — 17.0% change
  • 2016-01-21: Highest IV Rank — 80.5%
  • 2016-01-21: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.18$107.65$119.33$119.33$114.60
Max Pain$116.61$111.01$120.26$120.26$111.01
ATM IV31.1%24.5%35.5%24.7%24.5%
Expected Move8.9%7.0%10.2%7.9%7.0%
HV 20d22.4%21.1%28.2%22.2%28.2%
HV 60d21.1%19.8%22.3%20.4%22.3%
IV Rank63.9%38.6%80.5%39.4%38.6%
IV Percentile90.1%60.3%99.2%64.3%60.3%
Term Structure-3.1%-4.7%0.3%-1.8%0.3%
VWIV32.3%25.8%40.4%28.9%25.8%
Skew 25d4.5%2.7%6.1%3.3%3.6%
Skew 10d9.2%6.5%13.5%7.2%7.6%
Call IV 25d29.3%24.0%32.8%26.3%24.0%
Put IV 25d33.8%27.6%38.6%29.7%27.6%
Bid-Ask Spread %26.6916.5246.8135.8125.48
Gamma HHI0.310.260.350.270.31
Net GEX-3.8M-8.2M1.5M-7.3M1.5M
Net DEX86.5M-19.8M168.3M58.8M-19.8M
Net VEX-432.9K-597.6K-230.7K-299.2K-597.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.355.510.680.58
Total Volume5,095.1052,19816,2592,9614,316
Total OI41,372.52630,97758,38240,71842,149

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$119.33$120.2624.7%7.9%22.2%39.4%28.9%3.3%-1.8%-7.3M58.8M-299.2K0.6835.811,7601,20118,64222,076
2016-01-05$117.28$120.2626.2%7.9%21.1%45.1%27.6%3.9%-1.5%-8.2M79.6M-280.6K0.6146.811,9171,16218,68722,170
2016-01-06$114.41$120.2627.7%8.3%22.1%50.9%29.0%3.8%-2.6%-7.7M107.3M-260.8K0.7832.122,2911,79418,75422,196
2016-01-07$111.04$120.2632.4%8.9%22.5%68.9%31.4%3.9%-3.1%-5.4M130.5M-244.3K0.5825.671,60393619,23622,583
2016-01-08$110.07$120.2630.5%8.9%22.1%61.5%32.5%4.8%-2.7%-4.6M135.8M-230.7K1.8535.041,6393,02819,51122,642
2016-01-11$110.56$120.2634.9%8.9%22.2%78.3%32.0%4.5%-3.1%-5.5M145.1M-247.5K0.5536.251,58086919,55724,836
2016-01-12$112.09$120.2633.6%8.6%22.9%73.4%31.3%2.7%-2.6%-6.9M132.2M-248.5K0.9319.528,4097,85019,62624,438
2016-01-13$109.61$120.2630.5%8.7%23.6%61.4%30.7%3.6%-2.4%-4.3M157.7M-512.7K1.8716.524,1397,72524,90731,279
2016-01-14$109.52$120.2631.2%8.9%21.5%64.3%36.5%4.8%-2.7%-3.7M160.4M-510.6K5.5123.861,6909,31125,51631,366
2016-01-15$109.07$120.2634.6%9.9%21.1%77.0%35.2%4.8%-4.2%-1.9M168.3M-517.8K1.3624.902,4123,27525,62032,762
2016-01-19$110.83$115.6333.4%9.6%22.3%72.4%35.0%5.2%-3.5%-1.5M37.3M-523.5K0.8526.051,1881,01013,15917,818
2016-01-20$108.90$115.6334.3%9.8%22.2%76.1%40.4%6.1%-4.3%-1.8M48.3M-510.7K0.6630.181,46897313,37617,856
2016-01-21$108.62$115.6335.5%10.2%21.4%80.5%37.5%5.1%-4.7%-1.7M47.9M-510.2K0.8123.771,2961,05313,99117,838
2016-01-22$110.08$111.0132.2%9.2%21.3%68.1%32.8%5.5%-4.2%-2.1M43.8M-546.6K3.8720.051,0123,91914,02420,903
2016-01-25$107.65$111.0133.5%9.6%21.1%73.1%33.7%5.2%-4.6%-2.7M62.4M-511.7K2.2621.701,2292,78114,08720,984
2016-01-26$109.49$111.0131.4%9.0%22.6%64.9%33.3%4.9%-3.9%-2.7M49.3M-557.1K0.8621.491,4891,27814,57022,806
2016-01-27$109.20$111.0131.2%8.9%22.7%64.0%31.7%5.1%-3.9%-2.9M54.5M-560.0K0.7220.741,5841,13614,79823,054
2016-01-28$110.05$111.0129.3%8.4%22.9%56.8%29.2%4.9%-2.8%-2.5M44.4M-555.4K0.3521.254,8081,67615,08923,172
2016-01-29$114.60$111.0124.5%7.0%28.2%38.6%25.8%3.6%0.3%1.5M-19.8M-597.6K0.5825.482,7401,57618,47123,678