IP Options History — December 2013

In December 2013, IP traded between $42.97 and $46.22. ATM implied volatility averaged 21.5%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.3% (HV 20d: 18.2%). Max pain ranged from $40.16 to $40.16. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2013-12-13: Highest Volume — 21,237 contracts
  • 2013-12-27: Largest IV drop — 18.5% change
  • 2013-12-04: Highest IV Rank — 17.1%
  • 2013-12-16: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.62$42.97$46.22$43.70$45.79
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV21.5%17.4%25.7%21.8%18.7%
Expected Move7.9%7.7%8.1%7.9%7.7%
HV 20d18.2%14.3%22.1%21.8%19.0%
HV 60d21.1%19.6%22.3%22.3%19.6%
IV Rank8.0%0.0%17.1%8.5%2.8%
IV Percentile23.7%0.0%65.9%23.0%1.6%
Term Structure2.7%0.9%4.2%1.3%3.8%
VWIV29.0%22.5%33.8%29.2%22.5%
Skew 25d1.6%-0.3%3.3%2.3%2.2%
Skew 10d4.9%-0.3%9.8%4.2%8.4%
Call IV 25d21.5%19.2%23.6%19.2%20.6%
Put IV 25d23.1%21.5%24.8%21.5%22.8%
Bid-Ask Spread %8.673.1822.283.189.05
Gamma HHI0.290.170.480.200.47
Net GEX22.3M13.6M27.3M19.8M26.8M
Net DEX-330.5M-495.3M-214.8M-277.6M-342.1M
Net VEX-2.6M-2.8M-2.5M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.094.870.180.40
Total Volume7,686.6191,61421,2377,3452,106
Total OI348,769.857336,413368,667340,780337,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$43.70$40.1621.8%7.9%21.8%8.5%29.2%2.3%1.3%19.8M-277.6M-2.6M0.183.186,2101,135224,036116,744
2013-12-03$43.21$40.1623.7%8.0%22.1%12.8%29.2%2.5%1.0%17.4M-223.1M-2.6M0.5811.002,0171,165227,447117,080
2013-12-04$42.97$40.1625.7%7.9%16.3%17.1%29.4%2.8%0.9%16.3M-214.8M-2.5M0.386.514,6471,748227,655117,530
2013-12-05$43.02$40.1621.8%7.9%16.1%8.6%31.0%3.3%1.2%16.0M-215.8M-2.6M0.625.891,207752229,830118,700
2013-12-06$43.37$40.1619.4%7.9%15.7%3.2%0.0%2.5%2.8%13.6M-245.2M-2.6M0.824.691,6161,333230,152118,894
2013-12-09$43.72$40.1621.0%7.9%14.7%6.9%25.3%2.2%3.1%21.0M-282.6M-2.6M0.274.634,5471,213228,090117,501
2013-12-10$43.77$40.1620.6%7.9%14.3%6.0%0.0%2.0%3.1%21.7M-288.7M-2.6M0.564.232,6191,460229,439117,988
2013-12-11$43.17$40.1621.5%7.9%15.3%7.9%33.8%2.1%2.6%19.4M-235.5M-2.5M0.435.422,5711,116231,285118,925
2013-12-12$43.13$40.1622.4%7.9%15.4%10.0%0.0%1.7%2.6%19.1M-239.3M-2.6M0.484.953,8041,823231,548118,958
2013-12-13$44.67$40.1623.0%8.0%19.1%11.2%29.1%1.1%2.2%22.7M-366.7M-2.7M0.275.4816,6734,564232,157119,006
2013-12-16$45.18$40.1623.4%8.1%19.2%12.1%28.1%1.2%2.1%24.8M-409.9M-2.7M0.6718.0610,6807,112236,091119,699
2013-12-17$45.16$40.1622.0%8.0%19.0%9.0%28.3%1.7%3.0%25.2M-398.4M-2.7M0.3210.575,6221,817238,034125,418
2013-12-18$46.22$40.1622.3%7.9%20.1%9.5%0.0%1.4%3.0%24.9M-495.3M-2.8M0.3622.2811,4104,131238,125125,814
2013-12-19$45.62$40.1622.0%7.8%21.1%9.0%29.5%1.2%2.8%26.4M-432.7M-2.7M0.199.764,980922241,310126,278
2013-12-20$45.15$40.1621.3%8.0%18.7%7.4%31.3%0.6%3.5%27.3M-410.5M-2.6M0.268.477,9392,063242,075126,592
2013-12-23$45.65$40.1621.4%7.8%19.0%7.8%29.9%-0.3%3.5%25.3M-388.0M-2.6M0.099.6117,7771,569228,688113,455
2013-12-24$45.87$40.1621.1%7.8%19.0%7.0%27.6%0.6%3.3%24.7M-369.2M-2.6M4.878.711,0134,930222,408114,005
2013-12-26$45.98$40.1621.3%7.7%19.0%7.6%30.4%0.2%3.0%25.9M-376.6M-2.6M0.8310.791,6741,388222,764115,671
2013-12-27$45.80$40.1617.4%7.8%19.0%0.0%29.1%1.5%4.2%25.1M-357.3M-2.5M0.1910.388,8141,638223,303116,568
2013-12-30$45.76$40.1619.4%7.7%18.9%4.3%29.9%0.4%3.6%24.4M-371.1M-2.5M0.508.391,075539220,456116,791
2013-12-31$45.79$40.1618.7%7.7%19.0%2.8%22.5%2.2%3.8%26.8M-342.1M-2.5M0.409.051,502604220,666116,991