IP Options History — May 2014

In May 2014, IP traded between $42.82 and $44.48. ATM implied volatility averaged 14.9%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.8% (HV 20d: 14.2%). 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 0.92.

Notable Days

  • 2014-05-22: Highest Volume — 34,431 contracts
  • 2014-05-07: Largest IV drop — 15.3% change
  • 2014-05-06: Highest IV Rank — 7.5%
  • 2014-05-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.56$42.82$44.48$42.99$44.48
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV14.9%13.4%17.9%16.7%14.1%
Expected Move6.4%6.1%6.8%6.4%6.1%
HV 20d14.2%10.6%16.3%16.3%10.8%
HV 60d14.8%13.9%15.7%15.7%14.3%
IV Rank1.7%0.0%7.5%0.0%2.2%
IV Percentile0.9%0.0%5.2%0.0%2.4%
Term Structure0.5%0.2%0.9%0.6%0.9%
VWIV24.1%14.3%27.0%25.8%21.0%
Skew 25d1.8%1.3%2.1%1.4%1.9%
Skew 10d4.2%2.5%7.8%2.8%7.8%
Call IV 25d14.6%12.9%15.7%15.5%12.9%
Put IV 25d16.4%14.7%17.8%16.9%14.9%
Bid-Ask Spread %19.7112.8228.4720.1221.21
Gamma HHI0.200.160.240.200.20
Net GEX9.2M4.8M14.3M5.1M14.3M
Net DEX-91.7M-147.9M-45.9M-53.3M-147.9M
Net VEX-1.9M-2.1M-1.6M-2.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.163.921.420.67
Total Volume6,951.9521,06634,4315,8279,778
Total OI229,173.381205,013245,604239,564209,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$42.99$40.1616.7%6.4%16.3%0.0%25.8%1.4%0.6%5.1M-53.3M-2.0M1.4220.122,4083,419135,087104,477
2014-05-02$42.86$40.1615.3%6.8%16.3%0.0%25.4%1.3%0.8%5.5M-47.6M-2.1M2.1112.821,0682,247136,445104,757
2014-05-05$42.85$40.1617.1%6.6%15.4%5.2%14.3%2.1%0.6%4.8M-47.1M-2.1M0.6417.511,5891,015134,496103,503
2014-05-06$42.82$40.1617.9%6.8%15.3%7.5%24.4%2.1%0.2%5.0M-45.9M-2.1M0.8723.143,0872,673135,455103,953
2014-05-07$43.51$40.1615.1%6.6%16.1%0.0%22.4%2.0%0.2%7.7M-94.6M-2.1M0.1916.264,244807136,874105,458
2014-05-08$43.44$40.1615.6%6.5%15.3%1.4%0.0%2.0%0.4%8.4M-96.1M-2.1M0.1923.016,6341,247140,008105,567
2014-05-09$43.65$40.1615.0%6.6%14.8%0.0%26.4%2.0%0.4%9.0M-108.0M-2.1M0.1615.953,428553139,656105,948
2014-05-12$44.22$40.1615.0%6.6%14.4%0.0%25.4%2.0%0.3%11.6M-144.7M-2.0M0.2114.175,8001,204136,421104,946
2014-05-13$44.01$40.1614.9%6.6%14.6%0.0%23.3%1.7%0.4%11.1M-130.1M-2.0M0.5516.082,2981,271135,820105,379
2014-05-14$43.98$40.1613.9%6.5%14.4%0.0%25.7%1.8%0.8%11.7M-126.0M-2.0M0.2620.722,118555136,987105,950
2014-05-15$43.74$40.1615.4%6.5%14.0%4.4%27.0%1.5%0.7%10.1M-106.2M-1.9M0.5420.173,0391,654135,871104,933
2014-05-16$43.49$40.1615.3%6.5%14.2%4.0%25.9%1.5%0.6%8.0M-86.0M-2.0M1.2016.932,3722,837136,997106,132
2014-05-19$43.74$40.1615.0%6.4%14.0%3.1%24.6%1.8%0.5%9.3M-95.0M-1.9M0.1715.6416,2382,788128,61394,863
2014-05-20$43.48$40.1614.8%6.4%14.1%2.5%25.3%1.6%0.5%8.3M-70.1M-1.8M0.4424.484,6412,052122,77896,001
2014-05-21$43.33$40.1614.6%6.3%14.2%2.1%0.0%2.1%0.3%8.6M-62.8M-1.8M0.2719.477,4431,984121,04897,320
2014-05-22$43.50$40.1613.4%6.2%14.2%0.0%26.8%1.6%0.3%9.6M-69.7M-1.7M1.5828.4713,36121,070118,24097,427
2014-05-23$43.68$40.1613.4%6.1%13.9%0.0%20.5%1.9%0.5%11.4M-100.0M-1.6M2.4222.641,2112,927119,64885,365
2014-05-27$43.65$40.1613.9%6.2%12.7%1.5%25.0%1.8%0.6%11.1M-98.2M-1.6M1.3222.52652856119,26986,739
2014-05-28$43.67$40.1613.8%6.1%12.0%1.3%24.6%1.9%0.5%11.5M-95.6M-1.6M3.9221.504781,879119,72087,268
2014-05-29$43.75$40.1613.4%6.1%10.6%0.3%0.0%1.6%0.5%12.2M-100.2M-1.6M0.2321.07863203119,78088,409
2014-05-30$44.48$40.1614.1%6.1%10.8%2.2%21.0%1.9%0.9%14.3M-147.9M-1.6M0.6721.215,8533,925120,45888,575