IP Options History — November 2013

In November 2013, IP traded between $40.25 and $43.82. ATM implied volatility averaged 20.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.0% (HV 20d: 21.8%). Max pain ranged from $40.16 to $40.16. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2013-11-21: Highest Volume — 70,035 contracts
  • 2013-11-05: Largest IV spike — 21.4% change
  • 2013-11-05: Highest IV Rank — 21.1%
  • 2013-11-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.26$40.25$43.82$41.99$43.57
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV20.8%18.8%27.5%20.1%19.8%
Expected Move7.9%7.8%7.9%7.9%7.9%
HV 20d21.8%18.9%23.7%18.9%21.9%
HV 60d22.3%21.7%23.1%21.7%22.3%
IV Rank6.4%1.9%21.1%4.8%4.2%
IV Percentile14.7%1.6%77.4%7.9%9.5%
Term Structure1.3%0.7%1.9%0.9%1.7%
VWIV29.3%26.5%31.9%28.1%30.5%
Skew 25d2.8%2.1%3.4%3.4%2.7%
Skew 10d5.4%4.1%6.5%6.1%5.2%
Call IV 25d19.7%18.3%22.1%19.4%18.7%
Put IV 25d22.5%20.5%25.2%22.8%21.4%
Bid-Ask Spread %3.843.064.874.333.85
Gamma HHI0.180.140.240.180.21
Net GEX13.1M4.8M20.2M14.1M18.9M
Net DEX-152.2M-294.9M-6.3M-122.8M-270.9M
Net VEX-2.1M-2.7M-1.8M-2.0M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.071.350.730.16
Total Volume10,890.33,16570,0356,3943,165
Total OI305,938.15285,001343,563290,616343,563

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$41.99$40.1620.1%7.9%18.9%4.8%28.1%3.4%0.9%14.1M-122.8M-2.0M0.734.333,6932,701184,320106,296
2013-11-04$42.34$40.1622.7%7.8%19.0%10.4%30.2%3.0%0.9%13.1M-145.3M-2.0M0.304.873,030899184,879104,697
2013-11-05$40.69$40.1627.5%7.9%23.7%21.1%28.8%3.1%0.8%6.6M-37.6M-1.9M0.643.607,0214,500186,769105,126
2013-11-06$40.56$40.1623.7%7.9%23.7%12.8%28.2%3.2%0.7%5.9M-23.7M-1.8M0.644.432,7861,788189,533108,094
2013-11-07$40.25$40.1622.8%7.9%21.9%10.8%28.5%3.1%0.9%4.8M-6.3M-1.8M1.193.881,8782,239190,509108,566
2013-11-08$41.05$40.1619.9%7.9%22.6%4.3%30.2%3.3%1.3%8.2M-52.0M-1.9M0.444.594,2301,858190,675109,436
2013-11-11$41.57$40.1622.5%7.8%22.7%10.1%29.1%3.0%1.1%9.9M-89.8M-1.9M0.843.993,8243,218189,607109,008
2013-11-12$41.49$40.1621.3%7.8%22.0%7.6%29.6%3.0%1.0%9.2M-80.0M-1.9M0.134.468,2631,038190,409109,794
2013-11-13$41.61$40.1621.0%7.8%21.7%6.9%27.9%3.1%1.3%11.8M-102.8M-1.9M0.753.781,9731,487188,088110,114
2013-11-14$42.12$40.1620.5%7.9%22.1%5.8%31.9%2.9%1.2%15.2M-143.7M-1.9M1.353.383,0914,181187,647109,486
2013-11-15$42.52$40.1619.6%7.8%22.3%3.8%31.5%2.8%1.5%14.1M-175.5M-1.9M0.684.1312,7778,628187,704109,321
2013-11-18$42.29$40.1619.7%7.8%20.8%4.0%27.8%2.6%1.5%12.4M-138.2M-2.0M1.013.325,4515,484179,159105,842
2013-11-19$42.21$40.1620.0%7.8%20.8%4.5%30.5%2.6%1.6%12.0M-134.2M-2.1M0.563.734,2772,380182,597109,409
2013-11-20$42.23$40.1619.5%7.9%20.7%3.6%30.1%2.2%1.7%12.3M-145.7M-2.0M0.993.915,0795,047184,992109,974
2013-11-21$43.62$40.1618.8%7.9%23.2%1.9%30.5%2.2%1.5%17.4M-249.9M-2.2M0.073.5365,4734,562187,814113,794
2013-11-22$43.79$40.1618.9%7.9%22.8%2.2%26.5%2.2%1.7%18.5M-275.6M-2.7M0.273.405,1791,387216,138116,606
2013-11-25$43.80$40.1619.6%7.8%22.4%3.7%27.9%2.3%1.6%18.1M-270.5M-2.7M0.173.4612,1362,033215,587114,349
2013-11-26$43.82$40.1619.4%7.9%21.7%3.3%28.2%2.4%1.8%19.7M-294.9M-2.7M0.713.172,3941,690223,056114,433
2013-11-27$43.64$40.1618.8%7.9%21.8%2.1%0.0%2.1%1.9%20.2M-285.1M-2.7M0.813.063,8483,118226,126115,246
2013-11-29$43.57$40.1619.8%7.9%21.9%4.2%30.5%2.7%1.7%18.9M-270.9M-2.7M0.163.852,724441225,845117,718