APD Options History — March 2017

In March 2017, APD traded between $135.03 and $143.93. ATM implied volatility averaged 15.1%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.7% (HV 20d: 15.9%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.44.

Notable Days

  • 2017-03-20: Highest Volume — 4,906 contracts
  • 2017-03-15: Largest IV drop — 25.1% change
  • 2017-03-14: Highest IV Rank — 25.7%
  • 2017-03-02: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.00$135.03$143.93$143.93$135.76
Max Pain$141.74$140.00$150.00$150.00$140.00
ATM IV15.1%13.6%18.7%14.5%13.6%
Expected Move4.3%3.9%4.6%4.2%3.9%
HV 20d15.9%12.8%17.9%12.8%13.0%
HV 60d16.0%15.4%16.6%15.4%16.3%
IV Rank10.3%3.7%25.7%7.5%3.7%
IV Percentile10.2%0.4%50.4%2.0%0.4%
Term Structure3.1%0.2%4.8%0.9%4.6%
VWIV16.0%13.5%18.4%16.7%13.7%
Skew 25d2.8%1.4%4.1%1.4%2.1%
Skew 10d5.2%-0.8%9.7%2.5%4.3%
Call IV 25d14.4%13.3%16.0%16.0%13.3%
Put IV 25d17.2%15.4%18.8%17.4%15.4%
Bid-Ask Spread %78.5024.68101.9095.7294.21
Gamma HHI0.170.130.320.160.13
Net GEX-926.6K-3.1M418.6K358.1K-535.7K
Net DEX81.1M785.6K145.3M100.6M13.8M
Net VEX-318.7K-396.7K-250.5K-325.1K-384.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.315.680.972.37
Total Volume2,071.878564,9061,2471,051
Total OI28,798.65216,22039,11334,51719,482

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$143.93$150.0014.5%4.2%12.8%7.5%16.7%1.4%0.9%358.1K100.6M-325.1K0.9795.7263261514,08420,433
2017-03-02$140.57$150.0016.0%4.6%15.4%14.1%15.3%1.5%0.2%-892.4K126.1M-254.2K1.2594.4060375314,25520,523
2017-03-03$139.56$150.0014.9%4.3%15.7%9.3%16.6%3.1%1.0%-1.8M137.4M-250.5K0.3291.641,67452914,28620,841
2017-03-06$139.30$145.0015.9%4.5%15.5%13.5%16.6%3.7%3.1%-1.3M134.3M-277.5K0.3226.911,67353115,38020,854
2017-03-07$139.59$145.0015.6%4.5%15.3%12.3%16.7%3.3%2.9%-1.2M133.2M-271.5K0.3126.981,68952615,34720,833
2017-03-08$139.66$140.0014.7%4.4%15.3%8.6%16.3%4.1%3.2%-1.2M133.4M-269.3K0.3324.981,57052515,37820,859
2017-03-09$138.60$140.0014.2%4.5%15.5%6.3%17.6%2.3%2.3%-1.8M137.4M-257.1K0.4224.681,23852515,43620,876
2017-03-10$138.68$140.0014.3%4.3%15.5%6.7%18.0%3.0%2.6%-1.2M131.7M-273.4K1.5925.5233152516,12220,902
2017-03-13$137.72$140.0016.4%4.5%15.0%16.0%16.2%3.6%3.6%-1.9M139.1M-264.2K1.5372.0940862316,12320,913
2017-03-14$136.00$140.0018.7%4.6%15.5%25.7%16.3%2.4%2.0%-3.1M145.3M-255.7K0.5893.861,11864916,14020,988
2017-03-15$138.17$140.0014.0%4.0%16.1%5.4%18.0%4.0%3.6%-1.4M134.4M-259.7K0.9494.581,5891,48916,30420,969
2017-03-16$137.84$140.0015.1%4.3%16.1%10.0%18.4%3.7%3.4%-2.0M137.7M-320.4K0.9492.081,5921,49417,17521,891
2017-03-17$139.34$140.0014.2%4.1%16.6%6.2%17.2%2.4%3.3%418.6K133.6M-309.1K1.0592.701,3601,43217,18821,925
2017-03-20$138.84$140.0014.1%4.1%16.6%6.0%13.5%3.0%3.7%364.8K785.6K-314.8K2.4988.961,4053,5016,08010,140
2017-03-21$136.49$140.0015.5%4.4%17.6%11.9%15.1%2.1%4.1%-581.1K15.5M-396.7K5.6894.826233,5396,17612,060
2017-03-22$136.28$140.0015.1%4.3%17.5%10.3%15.2%2.9%3.4%-497.7K14.9M-346.0K2.5394.006761,7126,24211,145
2017-03-23$136.78$140.0015.9%4.6%17.6%13.5%15.6%3.2%3.6%-345.6K15.0M-376.8K1.8493.855511,0146,43912,214
2017-03-24$135.03$140.0014.8%4.3%17.9%9.0%14.8%2.5%4.4%-750.7K20.1M-390.1K2.7496.854021,1006,59112,485
2017-03-27$136.10$140.0015.5%4.4%17.9%11.8%15.0%3.0%3.5%-727.9K20.3M-380.8K0.8491.641,1629806,61812,583
2017-03-28$137.22$140.0015.7%4.5%17.9%12.9%15.4%2.9%4.0%-344.2K13.4M-388.7K0.6296.041,1296986,66512,622
2017-03-29$136.69$140.0014.8%4.2%15.2%8.6%15.1%2.0%3.8%-485.1K14.2M-382.8K1.0297.046897026,70512,656
2017-03-30$135.91$140.0014.6%4.2%13.2%7.9%15.6%2.2%4.8%-433.1K14.0M-380.7K2.38101.903047226,75312,688
2017-03-31$135.76$140.0013.6%3.9%13.0%3.7%13.7%2.1%4.6%-535.7K13.8M-384.0K2.3794.213127396,77512,707