IP Options History — July 2014

In July 2014, IP traded between $44.61 and $47.96. ATM implied volatility averaged 24.4%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.3% (HV 20d: 19.1%). Max pain ranged from $37.88 to $52.08. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2014-07-24: Highest Volume — 74,471 contracts
  • 2014-07-29: Largest IV drop — 41.2% change
  • 2014-07-28: Highest IV Rank — 100.0%
  • 2014-07-29: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.71$44.61$47.96$47.45$44.98
Max Pain$42.16$37.88$52.08$40.16$42.61
ATM IV24.4%14.2%50.9%17.7%22.5%
Expected Move6.3%5.9%7.1%6.0%6.7%
HV 20d19.1%11.9%30.6%12.4%29.3%
HV 60d15.2%13.0%19.7%13.3%19.7%
IV Rank30.5%2.3%100.0%12.2%24.3%
IV Percentile53.9%4.0%100.0%19.0%62.7%
Term Structure-2.7%-8.8%4.2%3.3%-1.6%
VWIV22.3%19.9%24.6%22.0%24.4%
Skew 25d1.8%0.6%2.7%1.1%1.3%
Skew 10d4.4%0.8%15.5%1.8%2.6%
Call IV 25d21.6%13.4%33.8%14.4%21.7%
Put IV 25d23.5%15.4%35.1%15.4%23.0%
Bid-Ask Spread %24.4913.4257.4114.6323.88
Gamma HHI0.240.110.580.380.11
Net GEX4.4M-1.1M20.3M20.3M6.3M
Net DEX-58.1M-351.3M4.2M-351.3M-26.7M
Net VEX-403.2K-1.4M0-1.4M-725.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.071.890.360.15
Total Volume14,282.42984674,4718,30810,548
Total OI62,128.810224,089224,089138,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$47.45$40.1617.7%6.0%12.4%12.2%22.0%1.1%3.3%20.3M-351.3M-1.4M0.3614.636,1172,191129,60994,480
2014-07-03$47.40$0.0014.2%5.9%11.9%2.3%20.2%2.0%4.2%0000.1313.421,96824600
2014-07-07$46.83$52.0818.0%5.9%12.8%13.1%21.4%0.9%-2.1%138.3K-85.6K-5.6K0.8119.771,8721,5081,909235
2014-07-08$46.44$42.6119.6%6.0%13.3%17.7%21.4%2.0%-2.0%-201.1K691.2K-29.0K0.2118.081,1022343,4831,626
2014-07-09$47.19$42.6115.5%6.0%14.2%6.0%21.3%2.3%-2.0%132.2K-3.3M-41.7K0.4714.335,1422,4114,5231,779
2014-07-10$47.14$42.6120.1%6.1%14.2%19.1%21.0%1.9%-2.5%97.8K-2.6M-81.7K0.6114.865273199,0914,086
2014-07-11$47.41$42.6119.8%6.1%13.8%18.2%19.9%1.9%-2.1%260.8K-4.5M-84.5K0.1314.501,5671979,3694,362
2014-07-14$47.41$42.6120.4%6.1%13.8%19.9%22.6%2.5%-2.6%562.4K-4.6M-90.4K1.8920.151,7293,25910,2973,872
2014-07-15$47.12$42.6120.5%6.1%14.1%20.2%22.0%2.4%-2.5%-1.1M346.9K-105.7K0.3117.101,36642811,7666,577
2014-07-16$47.43$42.6120.4%6.1%14.0%20.0%22.4%2.7%-2.3%-1.0M-3.8M-116.0K0.1814.836,8181,25312,5276,791
2014-07-17$46.81$42.6120.9%6.1%15.1%21.4%21.8%2.4%-2.3%-902.3K-14.4M-127.3K0.1017.6314,3011,46617,8667,847
2014-07-18$47.06$42.6119.5%6.0%15.1%17.3%22.3%2.5%-1.5%1.3M-37.4M-272.5K0.3117.022,84787230,5257,249
2014-07-21$45.79$42.6121.2%6.3%18.3%22.2%23.1%2.0%-2.5%1.5M-15.3M-240.4K0.9419.456,8946,50825,4785,928
2014-07-22$44.61$42.6124.0%6.5%20.5%30.0%23.3%0.6%-3.6%498.3K4.2M-270.1K0.2023.3024,6474,96629,69211,507
2014-07-23$45.45$42.6127.7%6.4%21.5%40.6%21.8%2.0%-6.1%4.5M-40.9M-470.1K0.0729.4932,8342,29953,23113,894
2014-07-24$47.96$42.6134.2%6.9%28.7%58.7%23.6%1.5%-8.8%10.6M-174.4M-678.2K0.2157.4161,54712,92477,92315,683
2014-07-25$47.27$37.8845.6%6.6%29.4%90.9%23.5%1.3%-7.9%14.8M-196.8M-1.0M0.4234.728,1333,392114,31424,692
2014-07-28$47.32$37.8850.9%6.7%29.4%100.0%23.3%1.4%-7.5%11.8M-171.6M-1.0M0.2136.7732,1916,658104,29824,688
2014-07-29$46.27$37.8829.9%7.1%30.6%44.2%24.6%2.4%-1.1%13.0M-116.0M-936.7K0.0736.8522,2771,572117,58529,707
2014-07-30$45.66$40.7229.1%6.5%29.1%41.9%22.8%1.3%-2.5%8.9M-60.7M-774.8K0.7056.101,6451,156107,58330,177
2014-07-31$44.98$42.6122.5%6.7%29.3%24.3%24.4%1.3%-1.6%6.3M-26.7M-725.1K0.1523.889,1731,375107,88230,574