APD Options History — November 2016

In November 2016, APD traded between $132.38 and $144.86. ATM implied volatility averaged 19.1%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.5% (HV 20d: 13.6%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-11-02: Highest Volume — 3,866 contracts
  • 2016-11-09: Largest IV drop — 21.4% change
  • 2016-11-08: Highest IV Rank — 52.2%
  • 2016-11-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.32$132.38$144.86$132.38$144.86
Max Pain$142.14$135.00$145.00$135.00$140.00
ATM IV19.1%16.0%24.8%22.9%17.9%
Expected Move5.3%4.6%6.6%6.6%5.1%
HV 20d13.6%10.7%15.0%10.7%14.3%
HV 60d13.7%12.3%14.5%12.3%14.5%
IV Rank27.4%13.9%52.2%43.9%22.3%
IV Percentile30.0%9.9%77.4%59.9%19.4%
Term Structure-0.5%-2.6%0.7%-2.3%-0.4%
VWIV19.4%15.4%28.1%21.6%15.4%
Skew 25d4.5%2.5%5.7%5.5%2.6%
Skew 10d9.6%4.7%13.8%9.3%8.2%
Call IV 25d16.8%14.8%20.7%20.7%17.1%
Put IV 25d21.3%18.6%26.3%26.3%19.7%
Bid-Ask Spread %68.0729.2398.0392.6698.03
Gamma HHI0.220.170.290.180.19
Net GEX192.8K-1.2M1.3M-906.9K1.1M
Net DEX-1.1M-15.0M18.0M15.0M-15.0M
Net VEX-215.4K-243.4K-187.9K-187.9K-197.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.501.640.901.26
Total Volume2,818.7142,0263,8662,3182,342
Total OI17,744.38113,66020,58617,01714,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$132.38$135.0022.9%6.6%10.7%43.9%21.6%5.5%-2.3%-906.9K15.0M-187.9K0.9092.661,2171,1018,6838,334
2016-11-02$133.84$135.0020.8%6.0%11.6%34.8%21.5%3.5%-2.6%-471.0K10.0M-191.3K1.6497.711,4622,4048,8208,483
2016-11-03$133.12$140.0022.4%5.5%11.6%41.9%20.9%4.9%-0.2%-1.2M17.8M-236.1K0.8129.231,5471,2519,0269,875
2016-11-04$133.30$140.0022.0%5.7%10.8%39.8%20.3%5.1%-1.0%-1.2M18.0M-243.4K0.8934.451,4141,2559,23010,074
2016-11-07$136.61$145.0023.6%5.9%14.0%47.0%20.1%5.7%-1.9%-210.0K5.3M-221.8K0.7539.281,6331,2239,28710,230
2016-11-08$136.99$145.0024.8%5.6%11.8%52.2%19.0%5.0%-0.3%-5.8K-767.7K-243.2K0.8034.171,5871,2719,59510,238
2016-11-09$137.26$145.0019.5%5.6%11.8%29.2%17.9%5.7%-0.4%202.7K-1.3M-219.7K0.7233.341,8301,3259,59210,263
2016-11-10$140.24$145.0018.8%5.4%13.6%25.9%24.9%5.6%-0.0%996.9K-12.5M-224.8K0.6437.702,0981,3399,63110,304
2016-11-11$138.82$145.0019.2%5.5%14.4%27.8%19.7%4.8%-0.5%754.5K-6.9M-237.1K0.5032.322,3241,1579,89310,386
2016-11-14$137.91$145.0019.5%5.6%14.6%29.1%28.1%4.7%-1.1%514.7K-5.2M-223.8K0.5533.622,0451,1229,88310,479
2016-11-15$137.95$145.0018.0%5.2%14.2%22.7%19.0%4.9%-0.4%526.6K-895.4K-232.6K0.5330.702,1001,1199,87910,507
2016-11-16$138.69$145.0017.1%4.9%14.3%18.6%18.1%5.6%0.4%1.3M-6.3M-231.8K0.5086.232,1501,0699,92410,522
2016-11-17$138.01$145.0016.3%4.7%14.5%15.3%20.0%3.6%0.6%1.2M-4.6M-206.7K0.5294.692,0551,0669,98010,553
2016-11-18$138.00$145.0016.0%4.6%14.5%13.9%17.4%4.1%0.6%35.7K-3.2M-202.9K0.5591.451,9291,06510,00710,579
2016-11-21$139.76$145.0016.0%4.6%15.0%13.9%16.0%3.9%0.7%257.5K-1.8M-204.4K0.8390.091,2991,0737,7116,838
2016-11-22$139.60$140.0016.5%4.7%14.7%16.2%16.9%2.9%0.4%38.4K-1.1M-205.2K0.9092.961,3081,1716,6926,968
2016-11-23$140.71$140.0016.8%4.8%14.5%17.4%18.3%4.2%0.3%69.1K-3.1M-205.4K1.3895.198751,2056,6817,100
2016-11-25$141.54$140.0017.2%4.9%14.5%19.1%17.5%4.7%0.1%244.1K-5.4M-203.9K1.3992.678491,1776,7407,176
2016-11-28$141.63$140.0018.1%5.2%14.5%23.0%16.8%4.5%-0.7%219.2K-6.7M-200.4K1.1097.301,0261,1316,7477,236
2016-11-29$143.51$140.0017.5%5.0%14.8%20.4%18.7%2.5%-1.3%623.6K-13.7M-203.8K0.6995.571,5281,0516,9397,283
2016-11-30$144.86$140.0017.9%5.1%14.3%22.3%15.4%2.6%-0.4%1.1M-15.0M-197.7K1.2698.031,0341,3086,9607,304