IP Options History — November 2014

In November 2014, IP traded between $47.90 and $52.07. ATM implied volatility averaged 21.4%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.6% (HV 20d: 23.0%). Max pain ranged from $45.45 to $47.35. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.90.

Notable Days

2014-11-19: Highest Volume — 35,796 contracts
2014-11-04: Largest IV drop — 18.3% change
2014-11-03: Highest IV Rank — 38.4%
2014-11-03: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.72	$47.90	$52.07	$47.90	$50.97
Max Pain	$46.60	$45.45	$47.35	$45.45	$47.35
ATM IV	21.4%	18.8%	27.8%	27.8%	18.8%
Expected Move	6.7%	6.3%	7.1%	7.1%	6.7%
HV 20d	23.0%	18.0%	28.2%	25.7%	18.0%
HV 60d	22.0%	21.2%	22.6%	21.2%	22.1%
IV Rank	21.5%	14.5%	38.4%	38.4%	14.5%
IV Percentile	56.9%	32.5%	89.7%	89.7%	32.5%
Term Structure	0.4%	-0.7%	2.5%	-0.2%	1.0%
VWIV	24.3%	22.3%	25.6%	25.6%	24.6%
Skew 25d	2.9%	1.3%	3.8%	2.8%	3.3%
Skew 10d	6.1%	2.4%	11.9%	2.6%	4.1%
Call IV 25d	21.4%	18.1%	26.6%	26.6%	19.2%
Put IV 25d	24.2%	21.7%	29.4%	29.4%	22.5%
Bid-Ask Spread %	58.09	41.51	66.75	52.92	61.17
Gamma HHI	0.23	0.15	0.30	0.15	0.29
Net GEX	12.7M	8.5M	15.8M	11.2M	10.2M
Net DEX	-300.1M	-385.9M	-168.8M	-168.8M	-267.0M
Net VEX	-1.2M	-1.3M	-1.1M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.29	2.52	0.68	0.29
Total Volume	13,413.158	931	35,796	13,775	931
Total OI	193,791.947	181,127	205,114	181,127	201,543

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$47.90	$45.45	27.8%	7.1%	25.7%	38.4%	25.6%	2.8%	-0.2%	11.2M	-168.8M	-1.3M	0.68	52.92	8,176	5,599	114,180	66,947
2014-11-04	$49.81	$45.45	22.7%	7.0%	28.2%	24.8%	24.9%	2.3%	2.4%	13.9M	-279.9M	-1.3M	1.04	41.51	7,052	7,338	117,180	69,163
2014-11-05	$49.63	$45.45	21.6%	6.8%	27.9%	22.0%	25.5%	1.3%	0.5%	14.5M	-278.2M	-1.3M	1.28	56.84	4,405	5,649	119,177	72,649
2014-11-06	$49.72	$45.45	21.6%	7.1%	26.6%	22.0%	25.2%	3.5%	1.5%	15.4M	-282.0M	-1.3M	1.23	52.19	4,297	5,279	120,301	73,564
2014-11-07	$50.05	$45.45	21.0%	6.9%	26.1%	20.4%	24.9%	2.8%	0.5%	15.1M	-310.7M	-1.2M	1.21	58.26	3,741	4,530	121,512	73,888
2014-11-10	$50.79	$45.45	20.6%	6.8%	23.7%	19.3%	23.2%	2.7%	2.5%	15.7M	-344.5M	-1.2M	1.17	53.28	4,040	4,726	118,617	71,727
2014-11-11	$50.73	$46.40	22.2%	6.7%	23.8%	23.6%	24.3%	2.8%	-0.1%	15.5M	-337.6M	-1.2M	0.62	61.20	10,932	6,744	117,965	71,193
2014-11-12	$51.20	$45.45	21.0%	6.5%	23.8%	20.4%	25.0%	2.4%	0.5%	15.8M	-381.7M	-1.2M	0.35	58.13	22,315	7,889	125,747	76,086
2014-11-13	$51.81	$47.35	21.9%	6.3%	23.8%	22.7%	22.3%	2.5%	-0.7%	12.6M	-385.9M	-1.1M	0.55	66.00	11,241	6,155	118,521	80,710
2014-11-14	$51.54	$47.35	21.9%	6.8%	24.3%	22.6%	24.0%	2.3%	-0.2%	12.7M	-310.3M	-1.2M	0.83	64.85	1,023	848	106,864	78,686
2014-11-17	$51.92	$47.35	22.8%	6.8%	21.8%	25.1%	24.1%	3.4%	-0.2%	12.5M	-347.4M	-1.1M	0.72	62.21	6,084	4,352	108,569	79,084
2014-11-18	$52.07	$47.35	22.1%	6.7%	20.9%	23.2%	24.9%	3.8%	-0.3%	12.7M	-361.0M	-1.1M	1.40	54.78	6,086	8,510	108,801	79,671
2014-11-19	$51.44	$47.35	21.2%	6.6%	20.9%	21.0%	23.1%	2.3%	0.1%	13.0M	-317.2M	-1.1M	0.47	66.75	24,276	11,520	106,095	81,931
2014-11-20	$50.91	$47.35	20.5%	6.6%	21.5%	19.0%	23.9%	3.2%	0.1%	11.0M	-272.7M	-1.3M	0.79	63.04	11,737	9,290	113,166	91,948
2014-11-21	$50.74	$47.35	20.6%	6.6%	21.6%	19.4%	25.6%	2.9%	-0.6%	11.6M	-274.9M	-1.2M	0.82	55.86	7,196	5,873	112,503	92,069
2014-11-24	$50.80	$47.35	20.5%	6.7%	19.9%	19.0%	22.9%	3.4%	-0.4%	8.5M	-252.9M	-1.2M	0.31	59.77	9,700	2,990	106,191	84,172
2014-11-25	$51.10	$47.35	19.1%	6.6%	19.4%	15.2%	22.9%	3.6%	1.2%	10.2M	-274.6M	-1.3M	0.89	61.10	6,077	5,396	115,097	87,042
2014-11-26	$50.54	$47.35	19.1%	6.8%	19.3%	15.2%	24.2%	2.8%	0.6%	10.0M	-254.3M	-1.2M	2.52	53.80	811	2,042	114,295	85,193
2014-11-28	$50.97	$47.35	18.8%	6.7%	18.0%	14.5%	24.6%	3.3%	1.0%	10.2M	-267.0M	-1.2M	0.29	61.17	722	209	114,497	87,046