IP Options History — June 2014

In June 2014, IP traded between $44.02 and $47.13. ATM implied volatility averaged 15.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.3% (HV 20d: 11.3%). 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 0.74.

Notable Days

  • 2014-06-30: Highest Volume — 30,474 contracts
  • 2014-06-30: Largest IV spike — 27.9% change
  • 2014-06-04: Highest IV Rank — 17.5%
  • 2014-06-16: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.22$44.02$47.13$44.02$47.13
Max Pain$40.16$40.16$40.16$40.16$40.16
ATM IV15.6%13.7%19.5%17.3%17.7%
Expected Move6.1%6.0%6.3%6.2%6.1%
HV 20d11.3%9.7%12.8%11.5%12.8%
HV 60d13.9%12.5%14.6%14.4%13.7%
IV Rank6.2%1.1%17.5%11.1%12.2%
IV Percentile7.2%1.2%22.6%9.1%18.7%
Term Structure2.2%0.2%4.3%0.2%3.1%
VWIV22.6%20.4%28.1%22.9%22.4%
Skew 25d1.5%0.2%2.0%1.7%0.2%
Skew 10d4.2%1.4%8.2%3.4%2.0%
Call IV 25d14.9%13.7%15.8%13.9%15.4%
Put IV 25d16.5%15.5%17.5%15.6%15.6%
Bid-Ask Spread %21.0415.7328.4021.0719.86
Gamma HHI0.260.180.470.180.47
Net GEX18.1M12.5M36.7M12.5M19.7M
Net DEX-194.3M-307.9M-120.5M-120.5M-307.9M
Net VEX-1.6M-1.7M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.063.162.750.15
Total Volume4,791.5241,06230,4743,73530,474
Total OI220,925.857210,140228,699215,733211,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$44.02$40.1617.3%6.2%11.5%11.1%22.9%1.7%0.2%12.5M-120.5M-1.6M2.7521.079952,740124,29991,434
2014-06-03$44.58$40.1617.2%6.2%12.1%10.7%21.7%1.8%0.5%14.8M-155.3M-1.7M1.0121.072,2762,288124,47393,061
2014-06-04$44.25$40.1619.5%6.2%12.6%17.5%22.8%1.9%0.7%12.6M-128.4M-1.7M3.1615.732,5408,018125,66495,091
2014-06-05$44.69$40.1615.0%6.3%11.8%4.6%21.9%1.8%0.6%13.4M-159.6M-1.7M0.5124.221,884958127,22598,306
2014-06-06$44.72$40.1614.5%6.2%11.8%3.3%22.1%2.0%2.2%13.8M-163.2M-1.7M0.3722.97774288127,76998,070
2014-06-09$45.00$40.1617.0%6.1%11.8%10.4%20.8%1.6%1.7%16.1M-185.1M-1.6M0.5128.401,739888126,68595,662
2014-06-10$45.27$40.1616.0%6.1%11.2%7.5%20.7%1.8%1.9%17.1M-203.1M-1.6M0.9719.14749725127,44795,939
2014-06-11$44.96$40.1614.7%6.1%11.3%3.8%28.1%1.7%2.0%16.6M-183.0M-1.6M1.2121.941,0121,226127,64896,448
2014-06-12$44.89$40.1614.9%6.2%11.4%4.4%23.1%1.9%2.1%16.6M-174.5M-1.6M0.5222.84736382128,06496,967
2014-06-13$44.90$40.1615.4%6.1%11.1%5.7%21.6%1.6%2.0%15.2M-177.2M-1.6M0.0622.523,569215127,95796,924
2014-06-16$45.28$40.1616.1%6.3%11.1%7.7%20.4%1.7%1.7%18.6M-205.0M-1.6M0.3321.255,1751,686128,82296,526
2014-06-17$45.42$40.1615.1%6.1%11.0%5.0%21.6%1.8%1.9%22.2M-221.8M-1.6M0.0724.335,404397132,37896,321
2014-06-18$45.57$40.1615.2%6.1%10.6%5.3%23.8%1.4%1.6%22.8M-232.5M-1.6M0.2521.011,266316131,39796,532
2014-06-19$45.59$40.1615.3%6.1%10.4%5.6%22.6%1.4%1.7%24.9M-243.6M-1.5M0.4420.402,4331,069131,68095,392
2014-06-20$45.75$40.1614.8%6.1%10.4%4.1%21.3%1.3%2.3%36.7M-252.8M-1.5M0.1818.894,589832131,91396,230
2014-06-23$45.39$40.1615.0%6.1%11.0%4.8%23.8%1.1%3.5%16.0M-189.3M-1.5M1.1819.132,2992,717119,68890,452
2014-06-24$45.34$40.1614.5%6.0%11.0%3.2%24.1%1.0%4.0%16.3M-184.0M-1.5M0.8019.36665530121,30892,697
2014-06-25$45.48$40.1613.7%6.1%11.0%1.1%24.4%2.0%4.3%17.1M-188.8M-1.5M0.5719.041,032589120,80492,243
2014-06-26$45.53$40.1613.9%6.1%11.0%1.6%21.8%1.3%4.1%17.6M-192.3M-1.5M0.4320.60782333121,38292,427
2014-06-27$45.81$40.1613.8%6.2%9.7%1.3%22.6%1.2%4.2%19.4M-212.3M-1.5M0.1018.053,667365121,55492,643
2014-06-30$47.13$40.1617.7%6.1%12.8%12.2%22.4%0.2%3.1%19.7M-307.9M-1.4M0.1519.8626,4074,067120,21091,711