IP Options History — March 2014

In March 2014, IP traded between $42.03 and $45.23. ATM implied volatility averaged 19.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.0% (HV 20d: 13.9%). 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 0.82.

Notable Days

  • 2014-03-13: Highest Volume — 13,543 contracts
  • 2014-03-06: Largest IV drop — 15.8% change
  • 2014-03-03: Highest IV Rank — 15.4%
  • 2014-03-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.49$42.03$45.23$44.62$42.85
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV19.9%17.2%24.4%24.4%19.2%
Expected Move7.2%7.0%7.4%7.4%7.1%
HV 20d13.9%11.0%20.3%20.3%14.4%
HV 60d18.5%17.2%19.6%19.5%18.2%
IV Rank5.7%0.0%15.4%15.4%4.3%
IV Percentile15.4%0.0%54.0%54.0%9.1%
Term Structure2.4%0.3%4.0%0.3%4.0%
VWIV26.0%24.1%28.0%27.3%25.1%
Skew 25d2.3%1.6%3.0%3.0%1.8%
Skew 10d5.3%2.3%9.3%6.1%4.0%
Call IV 25d18.3%16.3%20.2%20.0%16.3%
Put IV 25d20.6%18.1%23.0%23.0%18.1%
Bid-Ask Spread %9.075.7314.166.648.71
Gamma HHI0.200.170.240.200.24
Net GEX8.8M6.0M11.3M9.8M10.3M
Net DEX-102.4M-213.0M-24.1M-172.4M-62.2M
Net VEX-2.1M-2.3M-2.0M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.172.331.390.74
Total Volume5,314.8571,60313,5439,0308,463
Total OI254,715.571242,646266,340242,646258,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$44.62$40.1624.4%7.4%20.3%15.4%27.3%3.0%0.3%9.8M-172.4M-2.2M1.396.643,7755,255156,32986,317
2014-03-04$45.03$40.1623.1%7.4%15.5%12.6%24.1%2.1%0.8%10.5M-199.7M-2.3M0.417.572,7261,118158,11589,460
2014-03-05$45.23$40.1623.5%7.3%15.3%13.5%27.3%2.2%0.9%11.3M-213.0M-2.3M0.715.731,6361,163159,70889,123
2014-03-06$44.95$40.1619.8%7.4%13.7%5.5%26.8%2.2%1.1%10.6M-193.8M-2.3M0.317.672,212679159,82689,359
2014-03-07$44.97$40.1618.7%7.4%13.7%3.0%28.0%2.4%2.1%11.1M-194.2M-2.2M0.308.752,338703160,67089,646
2014-03-10$44.71$40.1621.1%7.3%13.6%8.2%27.8%2.6%1.9%11.2M-182.9M-2.2M0.4610.321,095508160,64389,258
2014-03-11$44.13$40.1623.2%7.3%13.6%12.7%27.5%2.6%1.8%9.8M-144.3M-2.2M2.3311.361,2292,866160,91589,414
2014-03-12$43.97$40.1619.8%7.3%13.2%5.5%25.5%2.5%1.8%9.3M-134.0M-2.1M1.788.771,3592,422161,13590,481
2014-03-13$43.36$40.1621.2%7.2%13.5%8.5%26.1%2.9%1.5%7.6M-92.6M-2.1M0.608.388,4835,060161,60091,903
2014-03-14$43.08$40.1621.1%7.2%13.1%8.3%24.4%2.6%1.6%7.5M-79.0M-2.1M0.178.463,042525164,75295,133
2014-03-17$42.89$40.1620.2%7.2%13.0%6.2%27.2%2.6%2.0%6.5M-59.0M-2.0M0.779.554,3743,357162,57594,772
2014-03-18$42.73$40.1618.8%7.3%12.9%3.3%25.6%2.6%3.1%6.5M-51.8M-2.0M0.779.553,9543,053164,02696,172
2014-03-19$42.56$40.1618.3%7.2%12.7%2.1%27.2%2.5%3.3%6.1M-36.8M-2.0M0.629.131,217757165,91997,684
2014-03-20$42.44$40.1618.8%7.2%11.0%3.2%25.2%2.4%2.9%6.0M-32.8M-2.0M0.768.083,9903,026165,16697,059
2014-03-21$42.75$40.1617.5%7.2%11.8%0.5%26.3%1.9%3.7%7.4M-51.1M-2.0M1.4111.562,0852,945167,57298,768
2014-03-24$42.54$40.1617.8%7.1%11.8%1.2%24.6%2.1%3.5%8.4M-50.5M-2.0M1.318.112,7383,597157,99191,136
2014-03-25$43.04$40.1617.2%7.0%12.7%0.0%25.2%1.9%3.4%9.8M-73.8M-2.0M0.398.094,2091,646159,50493,573
2014-03-26$42.03$40.1618.7%7.1%14.7%3.2%24.9%1.6%2.5%6.8M-24.1M-2.0M0.8414.162,7412,299161,39394,463
2014-03-27$42.57$40.1617.6%7.1%15.9%0.8%24.9%1.9%3.4%9.0M-49.1M-2.0M0.5710.193,5011,992162,47196,082
2014-03-28$42.77$40.1618.1%7.1%16.1%1.9%24.4%1.7%3.7%9.6M-54.1M-2.0M0.549.712,2521,222163,11697,242
2014-03-31$42.85$40.1619.2%7.1%14.4%4.3%25.1%1.8%4.0%10.3M-62.2M-2.0M0.748.714,8673,596162,14696,410