IP Options History — September 2014

In September 2014, IP traded between $45.21 and $47.69. ATM implied volatility averaged 21.6%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.2% (HV 20d: 18.4%). Max pain ranged from $44.51 to $45.45. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-09-11: Highest Volume — 22,155 contracts
  • 2014-09-11: Largest IV spike — 33.3% change
  • 2014-09-25: Highest IV Rank — 33.1%
  • 2014-09-25: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.22$45.21$47.69$45.89$45.21
Max Pain$44.73$44.51$45.45$44.51$45.45
ATM IV21.6%16.4%25.8%18.0%21.6%
Expected Move6.2%5.6%6.5%6.0%6.3%
HV 20d18.4%14.7%20.4%15.0%20.4%
HV 60d21.7%20.2%22.7%20.2%22.0%
IV Rank22.0%8.0%33.1%12.5%22.1%
IV Percentile58.9%17.1%86.1%26.6%61.9%
Term Structure1.3%-1.3%3.7%2.0%3.6%
VWIV22.0%19.2%24.3%21.9%22.3%
Skew 25d0.5%-1.4%1.7%0.7%1.5%
Skew 10d0.1%-4.6%3.5%2.2%2.2%
Call IV 25d22.3%16.8%26.5%16.8%21.6%
Put IV 25d22.9%17.5%28.2%17.5%23.1%
Bid-Ask Spread %35.5121.1173.3724.0032.33
Gamma HHI0.170.150.190.170.15
Net GEX15.2M9.6M19.7M13.7M9.6M
Net DEX-132.3M-221.4M-70.1M-104.6M-70.1M
Net VEX-964.3K-1.1M-754.5K-754.5K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.093.480.191.33
Total Volume8,682.5711,06022,1556,2365,200
Total OI159,203.429125,811187,845125,811173,309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$45.89$44.5118.0%6.0%15.0%12.5%21.9%0.7%2.0%13.7M-104.6M-754.5K0.1924.005,239997101,83023,981
2014-09-03$46.46$44.5119.9%6.0%15.3%17.4%21.4%0.5%1.6%16.4M-139.4M-802.1K0.0923.128,744794105,12224,346
2014-09-04$46.28$44.5116.8%6.1%15.4%9.1%22.1%1.0%2.1%17.4M-136.6M-811.5K0.4421.116,0652,639107,36824,792
2014-09-05$46.69$44.5116.4%5.9%15.2%8.0%21.3%0.3%1.3%18.4M-158.4M-856.5K1.0121.762,2852,302110,82327,037
2014-09-08$46.45$44.5120.0%6.0%14.7%17.6%23.3%0.1%1.5%18.1M-139.0M-853.9K0.6022.113,6632,212109,84328,626
2014-09-09$45.81$44.5119.9%6.0%15.7%17.3%21.7%0.3%1.6%14.9M-100.8M-815.4K3.4829.376272,184111,97930,518
2014-09-10$45.78$44.5117.6%6.0%15.5%11.4%21.1%0.2%1.4%13.1M-84.7M-788.0K1.3543.981,5652,108112,24232,418
2014-09-11$47.69$44.5123.5%6.3%19.8%27.0%21.6%1.7%-1.3%17.6M-221.4M-914.0K0.1961.6718,6183,537113,16433,302
2014-09-12$47.15$44.5122.7%6.3%19.8%24.9%22.0%0.5%0.1%19.7M-207.8M-930.9K1.7745.805,2299,250122,53036,029
2014-09-15$47.16$44.5123.4%6.3%19.2%26.6%21.9%0.4%1.9%18.5M-196.8M-929.2K0.5736.9711,7136,701120,42738,405
2014-09-16$46.48$44.5121.8%6.4%20.1%22.4%24.0%0.9%3.2%17.6M-160.8M-1.0M0.6533.0412,3178,056129,91544,592
2014-09-17$46.02$44.5121.5%5.6%20.4%21.7%19.2%0.1%2.9%16.5M-127.4M-1.1M0.3373.373,6221,189137,91349,932
2014-09-18$46.40$44.5120.6%6.1%20.1%19.2%21.1%-0.6%3.7%17.4M-154.6M-1.1M0.8937.171,5211,350136,12549,909
2014-09-19$46.34$44.5121.8%6.1%19.8%22.4%21.6%-1.4%2.0%16.6M-151.4M-1.1M0.2335.4210,4712,422136,67150,917
2014-09-22$46.52$44.5123.5%6.3%19.3%27.1%23.0%-0.4%-0.2%15.1M-144.7M-1.1M0.3539.4313,5924,770116,78438,284
2014-09-23$46.02$44.5124.1%6.2%19.8%28.6%22.2%1.4%-0.1%14.5M-122.8M-1.1M0.8131.601,9751,602126,27041,657
2014-09-24$46.01$45.4524.5%6.2%19.4%29.8%21.9%1.5%0.2%14.1M-122.4M-1.1M1.0831.953,8894,213129,28743,126
2014-09-25$45.31$45.4525.8%6.5%20.1%33.1%22.0%0.1%-0.7%9.7M-70.7M-1.1M1.1536.821,8282,093128,97646,740
2014-09-26$45.69$45.4524.8%6.3%20.3%30.5%22.0%0.7%0.4%10.9M-88.0M-1.1M0.4833.33717343130,09148,216
2014-09-29$45.34$45.4525.5%6.3%20.4%32.4%24.3%1.7%-1.0%10.0M-75.7M-1.0M0.4531.423,2461,446124,96544,811
2014-09-30$45.21$45.4521.6%6.3%20.4%22.1%22.3%1.5%3.6%9.6M-70.1M-1.0M1.3332.332,2362,964127,18046,129