APD Options History — September 2016

In September 2016, APD traded between $135.37 and $145.50. ATM implied volatility averaged 19.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.2% (HV 20d: 12.4%). Max pain ranged from $138.76 to $143.39. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2016-09-21: Highest Volume — 5,758 contracts
  • 2016-09-09: Largest IV spike — 27.1% change
  • 2016-09-13: Highest IV Rank — 52.3%
  • 2016-09-14: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.27$135.37$145.50$144.38$139.34
Max Pain$139.20$138.76$143.39$138.76$138.76
ATM IV19.6%15.7%27.3%16.4%18.4%
Expected Move5.4%4.5%6.5%4.7%5.3%
HV 20d12.4%7.7%14.5%7.8%14.2%
HV 60d16.4%12.8%18.9%17.9%12.9%
IV Rank24.5%10.6%52.3%13.0%20.1%
IV Percentile28.0%7.1%81.0%10.3%19.4%
Term Structure2.8%0.9%4.5%1.1%4.5%
VWIV20.5%17.1%24.5%20.2%22.9%
Skew 25d4.7%1.9%6.3%1.9%4.6%
Skew 10d9.7%6.9%11.8%7.7%6.9%
Call IV 25d17.4%14.3%19.5%16.5%17.5%
Put IV 25d22.1%17.0%25.7%18.4%22.1%
Bid-Ask Spread %36.4519.5696.0496.0490.77
Gamma HHI0.180.130.260.250.17
Net GEX2.0M-1.0M5.6M4.8M2.7M
Net DEX-31.7M-90.4M3.8M-81.0M-29.6M
Net VEX-497.8K-524.8K-472.6K-501.1K-512.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.624.611.981.10
Total Volume2,953.4292,0425,7582,9992,042
Total OI31,462.14323,95635,26034,41030,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$144.38$138.7616.4%4.7%7.8%13.0%20.2%1.9%1.1%4.8M-81.0M-501.1K1.9896.041,0071,99213,63220,778
2016-09-02$145.20$138.7615.7%4.5%7.9%10.6%20.4%2.7%1.3%5.0M-85.5M-513.1K1.8392.761,0241,87613,63421,091
2016-09-06$145.35$138.7617.3%5.0%7.7%16.4%18.3%4.2%3.2%5.5M-90.4M-479.6K1.5819.611,0421,64613,66021,262
2016-09-07$145.50$138.7616.5%5.0%7.7%13.4%17.6%4.3%3.3%5.6M-90.0M-493.7K1.0425.691,5991,66713,65321,268
2016-09-08$144.29$138.7617.3%5.0%8.6%16.4%17.1%4.2%3.5%4.9M-80.1M-500.4K0.9323.081,2631,16913,50121,260
2016-09-09$140.69$138.7622.0%5.6%13.0%33.3%18.7%5.3%2.3%2.5M-44.1M-510.8K0.8626.251,4501,24013,56821,325
2016-09-12$139.43$138.7624.9%5.7%13.3%43.5%20.7%5.9%2.3%1.0M-30.0M-490.1K2.4125.017821,88513,50621,524
2016-09-13$136.72$138.7627.3%5.9%14.5%52.3%22.5%5.4%2.3%-462.9K-6.8M-517.4K2.1022.818231,73113,38921,392
2016-09-14$136.01$138.7622.6%6.5%14.0%35.5%22.4%6.3%0.9%-1.0M3.8M-505.7K1.8021.249441,69813,36821,649
2016-09-15$135.89$143.3921.3%6.1%13.8%30.7%22.7%5.0%2.3%-924.7K3.0M-492.7K2.4025.117441,78813,46121,775
2016-09-16$135.37$143.3920.3%5.8%13.2%27.2%19.3%5.9%2.1%-240.3K3.2M-492.9K1.6919.568991,52413,45421,806
2016-09-19$135.85$138.7620.4%5.9%13.1%27.6%18.4%4.9%2.8%35.7K-1.8M-472.6K1.7321.107911,3729,05814,898
2016-09-20$136.19$138.7620.2%5.8%13.2%26.8%18.6%4.3%2.6%238.8K-4.3M-477.2K1.6322.991,0501,7119,27714,937
2016-09-21$137.72$138.7618.5%5.3%14.1%20.7%19.0%4.9%3.5%644.9K-10.9M-489.5K0.6222.043,5622,1969,71114,965
2016-09-22$137.15$138.7617.9%5.1%14.1%18.4%22.9%3.7%2.9%2.1M-21.0M-480.3K1.7522.141,2852,24411,65015,424
2016-09-23$136.45$138.7619.7%5.7%14.0%25.1%22.6%5.1%2.5%1.5M-13.4M-489.2K3.5224.208733,07711,70916,025
2016-09-26$137.37$138.7619.4%5.6%14.3%23.8%24.5%5.9%2.7%1.2M-13.7M-524.8K4.6122.246793,12811,77617,007
2016-09-27$137.72$138.7618.7%5.3%13.9%21.2%22.1%4.2%3.7%1.4M-19.5M-496.5K2.4826.648402,08311,92317,220
2016-09-28$138.56$138.7618.1%5.2%14.0%19.1%18.3%5.0%4.0%1.7M-23.9M-497.6K0.7830.681,7621,37712,14217,635
2016-09-29$139.57$138.7618.4%5.3%14.3%20.4%22.0%4.7%4.3%3.0M-29.2M-516.7K1.3985.479041,25313,01117,619
2016-09-30$139.34$138.7618.4%5.3%14.2%20.1%22.9%4.6%4.5%2.7M-29.6M-512.0K1.1090.779741,06813,13317,629