IP Options History — October 2014

In October 2014, IP traded between $43.05 and $47.95. ATM implied volatility averaged 28.0%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.7% (HV 20d: 22.3%). Max pain ranged from $44.51 to $45.45. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-10-21: Highest Volume — 42,260 contracts
  • 2014-10-09: Largest IV spike — 12.7% change
  • 2014-10-16: Highest IV Rank — 56.0%
  • 2014-10-15: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.38$43.05$47.95$44.71$47.95
Max Pain$44.92$44.51$45.45$45.45$45.45
ATM IV28.0%22.0%34.4%22.0%27.5%
Expected Move7.1%6.4%8.0%6.4%7.0%
HV 20d22.3%17.5%26.9%20.1%26.0%
HV 60d21.6%18.9%23.4%22.1%21.3%
IV Rank38.9%22.9%56.0%22.9%37.5%
IV Percentile89.3%65.1%97.6%65.1%88.9%
Term Structure-0.3%-2.8%3.3%3.3%-1.6%
VWIV24.9%22.9%27.5%22.9%25.4%
Skew 25d2.3%0.1%6.2%1.9%1.1%
Skew 10d3.6%-3.1%11.9%0.6%1.4%
Call IV 25d28.0%21.9%32.1%21.9%29.1%
Put IV 25d30.3%23.7%37.7%23.9%30.3%
Bid-Ask Spread %39.3729.3755.5432.9452.38
Gamma HHI0.140.120.160.130.16
Net GEX6.9M190.7K11.4M6.8M10.5M
Net DEX-59.1M-191.7M43.5M-32.7M-191.7M
Net VEX-1.1M-1.4M-838.4K-997.2K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.184.050.440.71
Total Volume10,720.2171,70742,2603,57812,257
Total OI177,022.696128,653192,498177,339185,075

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$44.71$45.4522.0%6.4%20.1%22.9%22.9%1.9%3.3%6.8M-32.7M-997.2K0.4432.942,4851,093128,91648,423
2014-10-02$44.25$45.4522.9%6.5%20.3%25.5%23.0%0.3%2.7%5.2M-12.9M-966.8K0.4629.371,967899130,19748,402
2014-10-03$45.26$44.5123.1%6.6%21.8%25.9%23.0%0.9%3.1%11.0M-74.8M-1.0M0.1832.516,4651,136131,44748,723
2014-10-06$44.86$44.5125.3%6.6%21.9%31.8%23.4%0.2%-0.7%9.4M-51.1M-984.6K2.4530.701,2192,988131,60947,181
2014-10-07$44.43$44.5126.0%6.7%21.7%33.7%23.4%0.4%-2.7%7.1M-24.9M-946.3K1.0139.721,1101,116132,20449,152
2014-10-08$45.28$44.5124.8%6.8%22.9%30.6%23.5%2.5%1.4%10.4M-67.2M-1.0M0.8038.275,9204,744133,03255,570
2014-10-09$44.49$44.5128.0%7.0%17.7%39.0%24.7%1.3%0.3%7.2M-30.2M-970.9K0.6638.891,7621,158133,27150,032
2014-10-10$44.07$44.5129.8%7.4%17.5%43.9%25.2%1.3%1.7%5.4M-8.1M-948.8K0.7633.035,4734,136134,92756,522
2014-10-13$43.05$44.5132.1%7.5%18.9%49.9%26.9%2.0%0.7%2.7M27.5M-852.5K4.0541.821,1484,650132,22149,533
2014-10-14$43.19$44.5131.1%7.4%18.7%47.2%26.7%0.4%-1.1%515.3K41.9M-868.6K0.9340.768,3877,782133,49759,001
2014-10-15$43.37$44.5133.2%8.0%18.7%52.8%27.5%5.0%-2.5%190.7K43.5M-838.4K0.7143.895,5483,929133,12159,364
2014-10-16$43.68$44.5134.4%7.9%18.7%56.0%26.6%6.2%-2.8%434.2K23.3M-872.3K0.4229.981,206501131,94852,618
2014-10-17$44.19$44.5130.4%7.4%19.3%45.4%26.3%3.9%-2.6%1.2M2.1M-889.1K0.6640.017,5735,032132,35452,862
2014-10-20$45.82$44.5128.9%7.0%23.7%41.4%24.5%4.7%0.0%7.0M-86.7M-993.8K0.3442.016,1972,08587,14341,510
2014-10-21$46.88$44.5127.9%7.1%24.8%38.8%24.6%3.5%-1.4%9.7M-139.9M-1.0M2.5542.6111,91830,34291,77343,653
2014-10-22$46.33$45.4527.8%7.1%25.2%38.5%24.8%1.4%-0.9%8.2M-88.0M-1.2M1.8632.5112,62423,49998,73263,438
2014-10-23$46.89$45.4528.5%6.9%24.8%40.2%24.7%3.7%-1.6%9.8M-107.8M-1.3M0.5138.8611,7125,943103,36471,224
2014-10-24$47.24$45.4528.1%7.0%24.8%39.1%25.1%3.6%-0.3%8.6M-127.6M-1.4M0.4638.828,4683,870109,94372,295
2014-10-27$46.36$45.4528.6%7.2%25.7%40.5%24.8%0.1%-0.5%7.6M-80.4M-1.3M0.3644.713,2791,178107,91764,563
2014-10-28$47.13$45.4527.0%6.9%26.2%36.3%24.8%3.3%-0.0%9.5M-121.8M-1.3M0.3137.391,582484110,10465,409
2014-10-29$46.55$45.4527.4%7.1%26.2%37.4%26.4%1.0%-0.7%8.8M-94.1M-1.3M0.5148.755,4792,811111,38367,664
2014-10-30$47.67$45.4528.3%7.1%26.9%39.7%25.5%3.8%0.2%11.4M-157.5M-1.3M0.4455.549,2834,127112,26467,941
2014-10-31$47.95$45.4527.5%7.0%26.0%37.5%25.4%1.1%-1.6%10.5M-191.7M-1.3M0.7152.387,1615,096115,83269,243