IP Options History — August 2014

In August 2014, IP traded between $44.51 and $45.88. ATM implied volatility averaged 18.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 6.1% (HV 20d: 24.7%). Max pain ranged from $38.83 to $44.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-08-15: Highest Volume — 12,471 contracts
  • 2014-08-12: Largest IV drop — 21.1% change
  • 2014-08-05: Highest IV Rank — 37.3%
  • 2014-08-15: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.13$44.51$45.88$44.93$45.88
Max Pain$42.38$38.83$44.51$42.61$44.51
ATM IV18.7%13.8%27.4%22.7%13.8%
Expected Move6.4%5.9%7.0%6.9%6.0%
HV 20d24.7%15.2%30.0%29.3%15.2%
HV 60d20.1%19.5%20.7%19.7%20.3%
IV Rank14.1%1.1%37.3%25.0%1.1%
IV Percentile32.0%1.6%88.5%65.5%1.6%
Term Structure1.0%-2.0%2.0%-2.0%1.9%
VWIV23.6%20.8%26.6%23.4%23.4%
Skew 25d1.5%0.6%2.1%1.9%1.1%
Skew 10d3.2%1.1%5.9%2.5%2.1%
Call IV 25d18.1%15.0%22.2%22.2%15.3%
Put IV 25d19.7%16.2%24.1%24.1%16.4%
Bid-Ask Spread %24.5513.7338.3338.3321.71
Gamma HHI0.150.120.180.120.17
Net GEX8.2M1.0M14.4M5.0M13.8M
Net DEX-51.2M-109.9M4.0M-20.8M-109.9M
Net VEX-688.6K-778.9K-618.9K-712.0K-772.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.061.781.710.99
Total Volume4,71992612,4717,6202,682
Total OI124,84299,635142,510135,911125,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$44.93$42.6122.7%6.9%29.3%25.0%23.4%1.9%-2.0%5.0M-20.8M-712.0K1.7138.332,8144,806104,72531,186
2014-08-04$45.31$42.6123.9%6.6%29.3%28.0%23.9%1.9%0.8%7.7M-41.1M-718.7K0.5230.231,392724101,85428,406
2014-08-05$45.05$42.6127.4%6.7%29.2%37.3%25.0%1.7%0.5%6.6M-29.5M-706.5K0.8930.843,4923,125102,31128,928
2014-08-06$45.22$42.6122.5%6.7%28.6%24.3%24.5%1.9%0.5%7.7M-39.6M-705.8K0.7828.84522404105,09426,830
2014-08-07$44.85$42.6122.6%6.8%28.6%24.6%25.1%1.4%1.0%5.8M-22.3M-660.2K1.3632.36664906105,27126,964
2014-08-08$45.47$42.6120.4%6.6%29.1%18.9%24.8%1.1%0.8%9.8M-45.9M-706.0K0.3130.642,972932105,45227,250
2014-08-11$45.54$42.6122.2%6.7%29.1%23.6%26.6%1.7%0.5%7.3M-44.6M-696.1K0.7430.221,181872105,84527,115
2014-08-12$45.27$42.6117.5%6.6%29.1%11.1%23.1%2.0%1.0%5.1M-25.8M-656.7K1.1429.322,9563,380106,17127,615
2014-08-13$44.51$42.6117.5%6.9%29.4%11.0%24.4%1.9%0.4%2.1M4.0M-618.9K0.2531.865,5781,376107,74730,469
2014-08-14$45.29$44.5118.3%6.7%30.0%13.2%23.7%1.7%1.2%4.7M-28.1M-676.5K0.8025.832,8312,261109,22830,517
2014-08-15$44.81$44.5118.7%7.0%30.0%14.3%26.1%1.7%1.2%1.0M-5.6M-644.7K0.4525.398,5743,897111,08631,424
2014-08-18$45.11$0.0017.3%6.3%28.7%10.4%21.6%1.9%1.0%8.4M-67.9M-653.2K0.4926.562,03899984,15115,484
2014-08-19$45.05$42.6116.7%5.9%27.1%8.8%24.9%2.1%0.3%9.1M-65.9M-650.9K0.2214.525,5271,20485,68116,140
2014-08-20$44.56$38.8316.4%6.0%26.5%8.0%24.1%1.9%1.7%8.5M-55.4M-636.5K0.2513.731,80544990,14616,918
2014-08-21$45.09$38.8315.4%6.0%17.7%5.5%21.4%1.4%1.4%10.7M-71.9M-670.6K1.6315.261,4562,37091,05417,209
2014-08-22$44.62$39.7715.9%6.1%17.4%6.9%22.2%1.3%2.0%8.1M-56.4M-646.3K0.0614.3211,53268991,98319,103
2014-08-25$44.71$39.7716.3%6.1%17.4%7.9%21.8%1.4%1.5%9.9M-66.2M-676.8K0.4615.131,33160799,44918,787
2014-08-26$45.27$41.6715.4%6.0%16.6%5.4%20.8%0.7%1.9%12.4M-88.4M-700.0K1.7818.232,5774,588100,25619,063
2014-08-27$45.59$44.5115.4%5.9%16.2%5.5%22.0%0.8%2.0%13.5M-94.1M-772.3K0.5220.341,256655101,03423,093
2014-08-28$45.69$44.5115.6%6.1%15.2%6.0%23.4%0.6%1.6%14.4M-100.7M-778.9K0.4121.911,185490101,61723,521
2014-08-29$45.88$44.5113.8%6.0%15.2%1.1%0.0%1.1%1.9%13.8M-109.9M-772.9K0.9921.711,3471,335101,80123,704