IP Options History — December 2014

In December 2014, IP traded between $49.73 and $52.29. ATM implied volatility averaged 22.6%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.2% (HV 20d: 16.4%). Max pain ranged from $47.35 to $49.72. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-12-02: Highest Volume — 13,474 contracts
  • 2014-12-12: Largest IV spike — 20.3% change
  • 2014-12-16: Highest IV Rank — 35.3%
  • 2014-12-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.19$49.73$52.29$50.15$50.74
Max Pain$47.91$47.35$49.72$47.35$49.72
ATM IV22.6%20.0%26.6%20.8%25.4%
Expected Move6.9%6.6%7.7%6.8%7.2%
HV 20d16.4%14.7%20.1%19.2%14.7%
HV 60d21.2%20.4%22.6%22.4%20.5%
IV Rank24.7%17.6%35.3%19.8%31.9%
IV Percentile66.0%41.7%87.3%52.0%82.9%
Term Structure0.8%-4.4%3.9%-0.0%-0.8%
VWIV25.4%22.5%29.2%24.5%24.8%
Skew 25d4.2%1.5%7.1%1.5%4.0%
Skew 10d9.0%2.5%18.2%2.5%7.5%
Call IV 25d21.8%19.2%25.3%20.9%24.8%
Put IV 25d25.9%22.4%30.4%22.4%28.8%
Bid-Ask Spread %57.8345.6472.7764.7046.13
Gamma HHI0.260.210.360.280.24
Net GEX12.9M5.3M19.7M9.0M19.5M
Net DEX-293.7M-350.4M-182.0M-222.1M-290.9M
Net VEX-1.0M-1.2M-763.8K-1.2M-780.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.062.730.862.73
Total Volume9,910.3641,45213,47411,1514,566
Total OI202,971.273185,264212,789203,548189,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$50.15$47.3520.8%6.8%19.2%19.8%24.5%1.5%-0.0%9.0M-222.1M-1.2M0.8664.705,9865,165115,45288,096
2014-12-02$51.13$47.3521.0%6.7%20.1%20.3%22.7%4.0%0.7%10.1M-272.9M-1.2M0.6165.708,3785,096116,40988,373
2014-12-03$51.48$47.3520.8%6.6%15.0%19.7%22.5%3.1%1.1%12.4M-323.0M-1.2M0.5660.686,6233,696119,36588,474
2014-12-04$51.88$47.3520.0%6.7%15.1%17.6%23.4%2.4%1.3%12.2M-323.6M-1.2M0.1645.865,165804118,94086,796
2014-12-05$52.10$47.3520.4%6.8%15.1%18.7%25.6%3.7%1.3%15.1M-347.6M-1.2M1.2757.784,9586,302122,45089,283
2014-12-08$51.85$47.3521.8%6.8%15.2%22.4%26.3%2.7%0.2%12.6M-330.3M-1.2M0.7258.494,7673,417121,54990,441
2014-12-09$52.29$47.3521.2%6.9%14.7%20.8%26.2%5.3%0.1%12.7M-350.4M-1.2M0.6455.347,9375,050121,70190,672
2014-12-10$51.66$47.3523.0%7.0%15.4%25.6%27.1%3.6%1.2%12.4M-341.6M-1.1M1.4961.174,4256,581120,33292,349
2014-12-11$51.45$47.3522.1%6.9%15.2%23.3%28.1%4.5%3.5%11.6M-298.4M-1.2M1.5862.874,8997,750120,19092,094
2014-12-12$50.38$47.3526.6%7.4%16.3%35.2%29.2%3.7%-4.4%9.5M-224.1M-1.2M1.2861.164,8826,234119,43993,350
2014-12-15$49.95$47.3525.7%7.5%16.4%32.8%29.0%4.6%-0.5%7.5M-202.8M-1.1M1.6758.374,5087,523117,95191,611
2014-12-16$49.73$47.3526.6%7.7%16.1%35.3%28.0%6.3%-0.8%5.3M-182.0M-1.1M0.9060.955,9775,356117,78991,600
2014-12-17$50.68$47.3525.5%7.5%17.7%32.4%26.5%7.1%-0.8%8.4M-233.5M-1.1M0.7772.775,5934,282119,20192,262
2014-12-18$51.08$47.3522.0%6.9%17.5%23.0%25.4%5.2%1.2%12.9M-296.4M-976.1K0.4750.778,0783,759118,47991,754
2014-12-19$51.12$47.3521.1%6.9%17.1%20.7%24.3%5.0%1.6%12.5M-299.9M-935.7K0.0657.586,998435119,47689,943
2014-12-22$51.26$0.0022.0%6.8%17.1%23.0%23.8%4.0%3.1%13.5M-281.1M-941.4K0.8771.185,9375,151108,12777,137
2014-12-23$51.69$47.3520.7%6.6%17.3%19.5%23.4%4.1%3.9%16.4M-339.3M-820.4K0.8552.456,0565,164110,52376,918
2014-12-24$51.29$49.7221.2%6.7%17.4%20.9%24.1%3.4%3.2%16.2M-331.9M-810.0K0.6158.526,7924,142110,83578,801
2014-12-26$51.41$49.7222.7%6.8%16.9%24.9%23.7%3.6%2.5%16.2M-306.6M-877.4K0.9556.214,3814,155111,50678,899
2014-12-29$51.48$49.7223.5%6.6%16.7%26.9%24.7%5.6%0.6%17.6M-329.8M-771.7K0.6047.886,0023,606109,96777,976
2014-12-30$51.34$49.7224.3%6.8%15.6%29.0%24.7%4.1%-0.2%19.7M-332.1M-763.8K0.4845.64981471112,32276,704
2014-12-31$50.74$49.7225.4%7.2%14.7%31.9%24.8%4.0%-0.8%19.5M-290.9M-780.8K2.7346.131,2253,341112,78277,050