APD Options History — February 2016

In February 2016, APD traded between $117.84 and $125.88. ATM implied volatility averaged 25.9%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 9.3% (HV 20d: 35.2%). Max pain ranged from $111.01 to $115.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-02-04: Highest Volume — 8,217 contracts
  • 2016-02-08: Largest IV spike — 22.8% change
  • 2016-02-09: Highest IV Rank — 65.8%
  • 2016-02-11: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.02$117.84$125.88$121.48$122.72
Max Pain$114.94$111.01$115.63$111.01$115.63
ATM IV25.9%22.4%31.6%23.4%24.4%
Expected Move7.3%6.4%8.7%6.7%7.0%
HV 20d35.2%31.9%36.7%35.3%32.4%
HV 60d27.2%25.5%28.0%25.5%28.0%
IV Rank43.9%30.6%65.8%34.3%38.1%
IV Percentile64.1%31.7%91.7%50.8%54.0%
Term Structure-0.2%-1.8%1.9%-0.7%-1.1%
VWIV26.1%21.4%31.2%22.4%25.5%
Skew 25d4.5%3.1%5.9%3.5%3.3%
Skew 10d9.5%5.7%12.1%8.3%9.1%
Call IV 25d23.7%21.3%27.6%21.3%23.3%
Put IV 25d28.2%24.7%32.5%24.8%26.7%
Bid-Ask Spread %45.8013.9490.0613.9490.06
Gamma HHI0.200.170.300.300.20
Net GEX5.8M3.0M7.5M3.0M6.6M
Net DEX-111.3M-168.3M-62.7M-96.1M-100.6M
Net VEX-572.8K-674.0K-484.3K-523.3K-484.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.291.620.321.62
Total Volume3,734.52,1248,2176,2763,931
Total OI49,778.843,27355,23743,27346,128

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$121.48$111.0123.4%6.7%35.3%34.3%22.4%3.5%-0.7%3.0M-96.1M-523.3K0.3213.944,7631,51319,33223,941
2016-02-02$120.70$111.0124.4%7.0%35.1%38.3%24.6%3.1%-0.9%4.0M-89.5M-546.6K0.2915.924,4881,31720,83824,287
2016-02-03$123.04$111.0123.5%6.7%35.0%34.7%23.9%3.8%0.1%5.0M-122.1M-569.4K0.9518.781,9531,86423,06624,481
2016-02-04$125.88$115.6325.1%7.0%34.2%41.0%24.6%5.6%0.4%5.2M-153.2M-556.1K0.3133.576,2671,95023,68024,994
2016-02-05$125.25$115.6325.2%7.2%31.9%41.4%26.8%5.1%0.4%6.7M-168.3M-620.8K0.9228.902,4112,20626,97125,469
2016-02-08$120.62$115.6331.0%8.2%35.2%63.4%28.9%5.4%-1.8%5.6M-102.5M-658.1K1.2023.151,7392,08826,97025,725
2016-02-09$122.57$115.6331.6%8.2%35.4%65.8%30.0%5.0%-0.9%5.8M-125.9M-646.7K1.0630.591,6721,77726,86226,243
2016-02-10$120.61$115.6328.5%8.2%36.0%53.9%30.2%5.1%-0.6%5.7M-107.5M-652.9K0.8129.651,7631,43227,30726,597
2016-02-11$117.84$115.6330.4%8.7%36.1%61.3%31.2%5.0%-1.2%4.8M-62.7M-674.0K1.1533.791,3421,54527,44726,602
2016-02-12$120.56$115.6328.2%8.1%36.7%52.9%28.9%5.2%0.2%5.9M-102.2M-646.9K0.7431.201,8561,36527,63026,636
2016-02-16$121.30$115.6328.1%8.1%36.6%52.5%28.2%5.9%-1.2%6.6M-119.7M-598.4K1.0123.071,3201,33228,12026,654
2016-02-17$122.66$115.6324.8%7.1%36.4%39.7%25.6%4.7%1.1%7.1M-141.6M-579.0K0.9220.591,4681,35328,14826,762
2016-02-18$121.24$115.6325.5%7.3%36.0%42.5%28.7%4.9%1.9%6.7M-126.8M-562.3K0.9522.531,4771,40028,44926,788
2016-02-19$121.58$115.6325.3%7.3%35.9%41.6%23.2%4.1%1.5%5.0M-131.6M-555.9K0.4179.543,2681,33328,40526,783
2016-02-22$122.87$115.6323.8%6.8%35.8%36.1%22.6%4.1%0.3%6.5M-99.9M-537.6K0.4281.941,99283523,81320,654
2016-02-23$121.25$115.6324.9%7.1%35.0%40.2%25.4%4.3%-0.7%6.0M-80.2M-531.3K0.8078.111,24499924,00420,722
2016-02-24$121.74$115.6324.7%7.1%34.8%39.3%25.9%4.9%-0.7%6.1M-79.6M-517.0K1.1486.951,1981,37123,98620,833
2016-02-25$122.93$115.6322.5%6.4%34.7%30.9%21.4%4.2%-0.0%7.0M-100.8M-502.6K0.7585.201,21191324,03620,998
2016-02-26$123.63$115.6322.4%6.4%34.7%30.6%24.8%3.1%0.4%7.5M-115.4M-493.0K1.4588.431,1181,61624,11221,103
2016-02-29$122.72$115.6324.4%7.0%32.4%38.1%25.5%3.3%-1.1%6.6M-100.6M-484.3K1.6290.061,5032,42824,15921,969