IP Options History — April 2014

In April 2014, IP traded between $41.91 and $43.57. ATM implied volatility averaged 23.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 16.0%). 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 4 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2014-04-17: Highest Volume — 37,557 contracts
  • 2014-04-25: Largest IV spike — 48.9% change
  • 2014-04-28: Highest IV Rank — 44.6%
  • 2014-04-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.78$41.91$43.57$42.83$43.57
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV23.1%16.8%37.6%19.6%22.4%
Expected Move6.9%6.7%7.2%7.1%6.7%
HV 20d16.0%13.8%17.5%13.8%16.7%
HV 60d18.0%15.4%18.9%18.2%15.4%
IV Rank13.2%0.0%44.6%5.1%12.2%
IV Percentile36.4%0.0%97.6%13.1%39.7%
Term Structure-0.7%-3.5%4.4%4.4%0.2%
VWIV25.5%23.0%28.6%28.1%26.2%
Skew 25d2.2%1.6%2.9%1.6%1.6%
Skew 10d4.8%3.2%6.5%3.8%3.5%
Call IV 25d19.8%15.6%21.8%16.0%16.1%
Put IV 25d22.0%17.3%24.7%17.7%17.7%
Bid-Ask Spread %15.589.3030.279.3030.27
Gamma HHI0.250.200.350.250.20
Net GEX8.2M3.6M14.6M10.7M8.0M
Net DEX-43.2M-112.6M43.5M-58.8M-96.1M
Net VEX-2.0M-2.2M-1.7M-2.0M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.033.871.190.73
Total Volume10,146.6191,83537,5572,83516,081
Total OI246,780.667213,204275,255263,618234,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$42.83$40.1619.6%7.1%13.8%5.1%28.1%1.6%4.4%10.7M-58.8M-2.0M1.199.301,2931,542165,53198,087
2014-04-02$43.56$40.1620.4%7.0%15.2%6.8%25.8%1.8%4.1%11.7M-112.6M-2.1M0.7810.705,8714,603166,09499,167
2014-04-03$43.41$40.1617.6%6.9%15.2%0.8%24.2%1.6%4.0%12.1M-103.9M-2.1M0.5310.791,9241,013168,859102,841
2014-04-04$42.78$40.1620.1%7.1%15.8%6.2%26.2%2.2%-0.4%11.0M-58.0M-2.0M1.4122.593,1154,382169,034103,115
2014-04-07$42.56$40.1623.0%7.0%15.8%12.5%24.5%2.6%-0.9%9.8M-31.9M-2.0M0.4412.504,7482,109168,348104,686
2014-04-08$42.34$40.1622.3%7.0%15.3%10.9%26.9%2.5%-1.1%10.1M-17.9M-2.0M0.0313.7734,9251,172170,054105,201
2014-04-09$42.99$40.1616.8%6.9%16.4%0.0%23.4%2.7%-1.0%12.0M-61.8M-1.9M0.2314.625,6321,268140,509105,442
2014-04-10$42.52$40.1622.2%7.2%16.2%11.6%24.3%2.6%-1.3%11.2M-25.9M-1.8M1.7915.171,2802,289139,605106,252
2014-04-11$42.01$40.1622.7%7.1%16.5%12.7%28.6%2.9%-1.6%8.7M15.8M-1.8M3.7616.261,2594,735140,298107,299
2014-04-14$42.14$40.1622.2%7.0%16.6%11.6%25.1%2.8%-1.4%8.8M22.4M-1.8M1.2016.521,6471,975140,022110,756
2014-04-15$41.91$40.1621.9%7.0%16.6%10.9%25.2%2.5%-1.4%6.1M43.5M-1.7M0.5916.0911,7626,976140,395111,558
2014-04-16$42.49$40.1621.9%7.0%17.4%11.0%24.9%2.5%-1.6%14.6M-3.1M-1.8M0.4016.049,9953,958143,738115,094
2014-04-17$42.45$40.1621.6%6.9%17.3%10.3%25.0%2.5%-1.5%4.0M2.0M-1.9M0.3315.5228,3299,228145,238118,005
2014-04-21$42.86$40.1620.8%6.8%17.5%8.5%25.4%2.1%-1.2%4.1M-50.0M-2.1M1.0317.633,4893,597120,75392,451
2014-04-22$43.07$40.1620.7%6.7%17.4%8.5%27.3%2.3%-1.6%4.8M-65.2M-2.2M0.4515.162,8511,293122,98895,312
2014-04-23$43.04$40.1620.6%6.7%16.9%8.2%25.5%2.0%-1.7%5.0M-66.6M-2.1M0.6415.141,5951,023125,15296,214
2014-04-24$42.96$40.1621.2%6.8%14.4%9.5%23.0%2.1%-2.1%5.1M-58.4M-2.1M0.5717.614,9072,788126,19197,016
2014-04-25$42.61$40.1631.6%6.8%14.1%31.6%24.7%2.3%-2.5%3.6M-44.5M-2.1M3.8712.073771,458128,80799,127
2014-04-28$43.32$40.1637.6%6.8%15.2%44.6%27.0%1.9%-3.5%5.9M-81.7M-2.1M0.3816.363,3461,286128,37899,667
2014-04-29$42.87$40.1637.5%6.8%15.7%44.2%23.7%2.0%-2.3%4.9M-53.4M-2.1M1.5213.034,7527,206130,410100,470
2014-04-30$43.57$40.1622.4%6.7%16.7%12.2%26.2%1.6%0.2%8.0M-96.1M-2.1M0.7330.279,2716,810132,520101,710