APD Options History — January 2017

In January 2017, APD traded between $139.69 and $148.63. ATM implied volatility averaged 19.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.6% (HV 20d: 13.0%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.81.

Notable Days

  • 2017-01-19: Highest Volume — 38,988 contracts
  • 2017-01-11: Largest IV spike — 28.8% change
  • 2017-01-19: Highest IV Rank — 43.8%
  • 2017-01-19: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.98$139.69$148.63$143.12$139.69
Max Pain$147.00$145.00$150.00$145.00$150.00
ATM IV19.6%15.6%22.9%17.4%17.3%
Expected Move5.9%4.8%6.6%5.0%5.0%
HV 20d13.0%10.5%20.6%11.9%20.6%
HV 60d13.2%12.4%16.2%13.0%16.2%
IV Rank29.5%12.4%43.8%20.2%19.5%
IV Percentile43.8%7.1%75.8%21.4%23.0%
Term Structure-1.8%-7.1%4.2%3.9%-0.1%
VWIV21.8%15.4%24.9%24.4%15.4%
Skew 25d3.9%2.6%5.7%2.8%2.6%
Skew 10d8.0%4.8%11.2%5.7%6.7%
Call IV 25d19.2%15.7%20.8%17.3%16.7%
Put IV 25d23.1%19.1%25.8%20.1%19.3%
Bid-Ask Spread %55.2216.7898.5398.5351.17
Gamma HHI0.200.150.330.150.16
Net GEX-604.1K-3.2M880.9K-796.6K-3.2M
Net DEX28.7M-13.0M162.9M-653.8K148.6M
Net VEX-277.8K-466.2K-185.0K-210.4K-287.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.811.0819.093.583.50
Total Volume5,760.852,39838,9882,7612,860
Total OI24,374.615,91954,26715,91935,712

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$143.12$145.0017.4%5.0%11.9%20.2%24.4%2.8%3.9%-796.6K-653.8K-210.4K3.5898.536032,1585,07710,842
2017-01-04$144.77$145.0016.8%4.8%10.7%17.6%19.0%3.0%4.2%-450.8K-5.1M-212.0K2.5190.921,0472,6325,06911,071
2017-01-05$143.25$145.0016.7%6.0%11.2%17.2%24.6%3.4%-1.4%-927.5K1.3M-213.4K1.8216.781,0511,9185,52911,400
2017-01-06$144.35$145.0015.6%5.7%10.5%12.4%23.3%4.0%-0.9%-535.4K-2.7M-209.2K3.0021.306772,0305,53111,499
2017-01-09$146.35$145.0016.8%6.1%11.5%17.5%24.7%3.5%-2.4%880.9K-13.0M-198.5K2.6827.837071,8965,57611,575
2017-01-10$145.42$145.0016.9%6.1%11.6%17.7%23.1%2.8%-1.7%196.5K-8.8M-195.8K2.7623.556851,8885,59511,600
2017-01-11$145.85$145.0021.7%6.2%11.7%38.7%23.6%4.0%-1.5%342.6K-9.5M-192.0K2.9921.086341,8935,63211,597
2017-01-12$145.89$145.0020.8%6.0%11.7%34.6%22.9%3.7%-3.0%208.8K-9.5M-189.2K3.4223.116332,1635,64211,660
2017-01-13$145.35$145.0021.1%6.1%11.6%36.2%21.8%3.8%-2.3%-210.7K-7.4M-188.4K4.0522.406532,6435,65511,668
2017-01-17$145.13$145.0021.9%6.3%11.5%39.5%22.8%4.3%-3.2%-1.2M-5.6M-189.5K3.0622.487412,2665,69212,257
2017-01-18$146.08$145.0022.4%6.4%11.4%41.5%22.0%5.7%-2.5%-208.8K-8.6M-188.6K2.9351.977012,0565,62912,150
2017-01-19$145.28$145.0022.9%6.6%11.6%43.8%21.0%4.4%-4.3%-1.7M-6.9M-185.0K1.0886.2218,74920,2395,63712,272
2017-01-20$146.46$150.0021.8%6.3%12.0%39.2%21.8%5.5%-3.3%357.5K162.9M-458.9K19.0986.241,07120,44223,76530,502
2017-01-23$145.87$150.0021.9%6.3%12.1%39.4%21.8%4.2%-3.1%142.0K41.8M-436.7K2.6285.447511,96612,58317,767
2017-01-24$147.12$150.0022.3%6.4%12.2%41.4%22.6%4.1%-7.1%408.4K22.3M-455.3K3.9487.254851,91312,70717,862
2017-01-25$148.55$150.0021.1%6.0%12.6%35.9%23.2%5.2%-3.7%554.0K3.0M-466.2K4.5882.274942,26212,80717,967
2017-01-26$148.63$150.0021.8%6.2%12.4%39.0%24.9%4.3%-3.9%353.1K1.3M-464.0K3.9486.066912,72012,85618,344
2017-01-27$141.76$150.0017.3%5.0%20.5%19.7%17.5%3.6%-0.1%-3.1M128.0M-318.0K1.6480.122,2053,61913,06320,231
2017-01-30$140.71$150.0017.1%4.9%20.5%18.8%15.8%3.4%0.2%-3.1M142.0M-297.2K2.9839.737732,30213,97521,496
2017-01-31$139.69$150.0017.3%5.0%20.6%19.5%15.4%2.6%-0.1%-3.2M148.6M-287.4K3.5051.176352,22514,05621,656