APD Options History — July 2016

In July 2016, APD traded between $128.19 and $138.68. ATM implied volatility averaged 19.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.2% (HV 20d: 25.8%). Max pain ranged from $129.51 to $134.14. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-07-11: Highest Volume — 4,752 contracts
  • 2016-07-13: Largest IV spike — 64.6% change
  • 2016-07-27: Highest IV Rank — 38.8%
  • 2016-07-27: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.64$128.19$138.68$130.45$138.26
Max Pain$130.67$129.51$134.14$129.51$134.14
ATM IV19.5%12.8%23.5%18.5%14.8%
Expected Move6.0%4.2%6.8%5.3%4.2%
HV 20d25.8%16.3%29.0%26.3%16.3%
HV 60d19.4%18.2%20.1%18.2%19.1%
IV Rank20.9%0.0%38.8%8.4%7.2%
IV Percentile18.1%0.0%47.2%6.3%0.4%
Term Structure-1.1%-3.7%4.1%4.1%0.6%
VWIV22.8%15.9%26.5%17.9%15.9%
Skew 25d4.2%3.0%5.3%4.2%3.0%
Skew 10d9.7%2.3%13.2%2.3%8.8%
Call IV 25d19.5%13.9%22.0%17.0%13.9%
Put IV 25d23.7%16.9%26.2%21.1%16.9%
Bid-Ask Spread %66.9925.1096.1596.1593.13
Gamma HHI0.160.130.230.150.18
Net GEX1.8M-1.5M4.3M-433.0K3.2M
Net DEX-34.4M-58.1M14.9M-949.2K-44.7M
Net VEX-450.5K-496.0K-392.9K-496.0K-431.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.481.790.751.79
Total Volume2,948.81,9834,7522,4783,737
Total OI28,531.5526,66830,65027,87129,632

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$130.45$129.5118.5%5.3%26.3%8.4%17.9%4.2%4.1%-433.0K-949.2K-496.0K0.7596.151,4201,0589,50018,371
2016-07-05$128.19$129.5119.8%6.6%26.1%13.6%23.0%3.7%-1.1%-1.5M14.9M-479.7K0.6328.501,3408419,51518,363
2016-07-06$128.96$129.5119.9%6.4%26.3%14.2%26.5%4.9%-0.2%-1.3M12.7M-486.7K0.6630.881,3699029,53118,382
2016-07-07$129.20$129.5119.2%6.4%25.9%11.3%24.9%3.5%-0.0%-930.4K5.8M-468.3K0.6330.221,4409059,85018,389
2016-07-08$133.60$129.5115.9%6.2%28.9%0.0%22.5%5.1%-1.2%1.2M-23.8M-459.9K0.6028.551,7641,0669,84818,405
2016-07-11$134.14$129.5118.3%6.3%28.9%9.8%22.8%5.3%-1.1%1.7M-29.5M-442.3K0.4825.103,2051,54710,02818,379
2016-07-12$136.55$129.5112.8%6.0%28.9%0.0%23.0%3.5%-2.1%3.0M-49.3M-446.2K0.6727.332,4161,62311,22618,853
2016-07-13$136.84$129.5121.0%6.0%28.9%29.6%22.4%4.0%-1.8%3.1M-49.6M-465.5K1.0183.021,5781,58811,42819,028
2016-07-14$137.81$129.5120.6%5.9%29.0%28.1%21.7%4.2%-1.4%4.3M-58.1M-454.0K0.8781.081,7351,51811,45519,033
2016-07-15$138.11$129.5120.6%5.9%28.9%28.2%21.1%4.2%-1.5%2.0M-57.4M-445.7K0.8082.381,7921,43811,60219,048
2016-07-18$138.17$129.5120.7%5.9%28.7%28.5%23.9%4.6%-1.0%2.3M-45.0M-443.7K1.1280.741,3981,5699,95416,714
2016-07-19$138.07$129.5120.3%5.8%28.7%27.1%23.4%4.2%-1.3%2.2M-44.6M-444.9K1.0982.901,4851,62010,04517,113
2016-07-20$138.22$129.5120.5%5.9%28.6%27.9%25.8%3.9%-0.8%2.4M-52.2M-451.5K1.6681.051,1901,97910,74917,581
2016-07-21$137.15$129.5121.6%6.2%28.8%31.7%25.5%3.7%-2.0%2.1M-40.9M-452.3K0.9686.031,1981,15010,33117,552
2016-07-22$137.56$134.1421.3%6.1%28.3%30.9%23.0%4.8%-2.0%2.2M-41.5M-454.6K0.6582.181,21278810,31817,523
2016-07-25$137.26$134.1422.8%6.5%24.0%36.0%25.1%4.2%-3.0%2.0M-40.5M-447.7K0.6279.751,22675710,34917,495
2016-07-26$138.68$129.5123.1%6.6%17.9%37.3%24.8%4.4%-3.3%2.6M-49.7M-429.7K0.8281.171,3051,06710,44217,552
2016-07-27$137.76$134.1423.5%6.8%18.2%38.8%25.7%4.3%-3.7%2.5M-46.4M-417.8K1.3577.811,1081,50010,58117,606
2016-07-28$137.88$134.1415.4%4.4%17.3%9.5%17.1%4.6%0.5%3.0M-46.4M-392.9K1.6681.851,5592,58310,63818,222
2016-07-29$138.26$134.1414.8%4.2%16.3%7.2%15.9%3.0%0.6%3.2M-44.7M-431.5K1.7993.131,3402,39710,70718,925