IP Options History — January 2014

In January 2014, IP traded between $42.55 and $45.95. ATM implied volatility averaged 22.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.7% (HV 20d: 16.6%). 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 2 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-01-09: Highest Volume — 31,382 contracts
  • 2014-01-31: Largest IV spike — 34.3% change
  • 2014-01-31: Highest IV Rank — 39.2%
  • 2014-01-06: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.80$42.55$45.95$45.57$44.58
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV22.3%17.3%35.4%20.7%35.4%
Expected Move7.7%7.5%7.9%7.7%7.6%
HV 20d16.6%10.6%20.2%18.5%20.2%
HV 60d19.0%18.1%20.1%19.6%20.1%
IV Rank10.8%0.0%39.2%7.2%39.2%
IV Percentile32.6%0.0%98.0%18.7%98.0%
Term Structure-0.5%-2.3%4.4%3.8%-1.9%
VWIV28.3%24.2%39.3%39.3%28.9%
Skew 25d2.6%1.9%3.3%2.4%3.3%
Skew 10d5.3%3.9%7.7%7.7%6.0%
Call IV 25d22.8%19.8%25.7%20.8%25.6%
Put IV 25d25.4%21.7%29.0%23.2%29.0%
Bid-Ask Spread %10.637.2322.639.1910.25
Gamma HHI0.290.150.570.440.16
Net GEX13.2M3.8M28.0M24.8M9.5M
Net DEX-225.2M-379.2M-46.3M-325.1M-179.2M
Net VEX-2.3M-2.4M-2.0M-2.4M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.132.620.381.06
Total Volume10,710.5242,79231,3824,02717,855
Total OI286,950.857197,439344,943337,718242,343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$45.57$40.1620.7%7.7%18.5%7.2%0.0%2.4%3.8%24.8M-325.1M-2.4M0.389.192,9281,099220,376117,342
2014-01-03$45.41$40.1619.4%7.7%18.4%4.3%0.0%1.9%4.4%23.7M-309.0M-2.4M0.3611.073,2741,187220,465117,717
2014-01-06$45.28$40.1621.4%7.9%18.5%8.8%39.3%2.7%-0.5%23.0M-294.4M-2.3M2.6210.171,2793,354220,423117,930
2014-01-07$45.72$40.1621.0%7.7%18.5%7.7%29.4%2.4%-0.4%25.9M-357.4M-2.3M0.898.362,6192,337220,586120,680
2014-01-08$45.77$40.1617.3%7.5%18.4%0.0%29.5%2.8%-0.4%26.4M-357.6M-2.3M0.6722.631,6681,124221,311121,855
2014-01-09$45.95$40.1619.5%7.6%18.4%4.8%24.2%2.3%-0.6%28.0M-379.2M-2.3M0.138.6227,7793,603221,376122,470
2014-01-10$45.70$40.1617.8%7.6%17.7%1.0%27.3%2.2%-0.7%16.3M-312.8M-2.3M1.509.191,5512,320203,544125,121
2014-01-13$44.95$40.1620.2%7.8%18.9%6.2%28.9%2.4%-1.0%10.4M-263.5M-2.1M0.547.5111,6506,274203,573125,465
2014-01-14$45.49$40.1619.1%7.6%15.0%4.0%28.7%2.4%-0.6%13.4M-290.7M-2.2M0.459.3813,4706,039203,353130,764
2014-01-15$45.61$40.1617.5%7.6%14.5%0.5%28.0%2.9%-0.6%9.5M-283.4M-2.2M0.347.7013,3344,520203,743135,208
2014-01-16$45.63$40.1622.5%7.5%14.5%11.3%27.9%2.6%-0.7%12.1M-282.4M-2.3M0.3410.014,5811,553204,348138,992
2014-01-17$45.14$40.1622.4%7.7%12.3%11.1%27.9%2.9%-0.6%5.3M-239.4M-2.3M0.707.234,0312,836205,193139,750
2014-01-21$45.00$40.1622.4%7.8%11.5%11.0%27.1%2.7%-0.7%6.2M-145.9M-2.2M0.6314.383,7232,362128,38069,059
2014-01-22$44.59$40.1621.8%7.6%11.3%9.7%25.1%3.1%-0.9%5.6M-128.4M-2.2M0.869.402,7182,347131,02370,748
2014-01-23$44.35$40.1622.5%7.6%10.6%11.4%0.0%3.0%-1.0%5.0M-119.0M-2.2M0.7011.863,8342,676132,94772,241
2014-01-24$42.55$40.1624.6%7.8%17.5%15.9%29.0%3.0%-1.2%3.8M-46.3M-2.0M0.659.1710,4936,835135,57773,231
2014-01-27$42.72$40.1625.4%7.7%17.6%17.5%27.5%2.4%-1.9%4.3M-63.4M-2.2M0.2314.779,4362,145140,38977,119
2014-01-28$43.08$40.1625.1%7.6%18.1%16.8%27.8%2.5%-1.7%6.0M-83.6M-2.2M1.0912.212,7643,015146,80078,143
2014-01-29$43.81$40.1625.6%7.6%19.4%18.0%26.6%3.1%-1.1%7.4M-123.1M-2.3M0.2112.0019,4243,991148,40179,780
2014-01-30$44.00$40.1626.4%7.6%19.5%19.6%26.5%2.1%-2.3%9.6M-146.2M-2.4M0.948.103,5453,348157,42280,780
2014-01-31$44.58$40.1635.4%7.6%20.2%39.2%28.9%3.3%-1.9%9.5M-179.2M-2.4M1.0610.258,6549,201159,05383,290