IP Options History — January 2015

In January 2015, IP traded between $48.86 and $52.20. ATM implied volatility averaged 24.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.2% (HV 20d: 17.7%). Max pain ranged from $49.72 to $50.66. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-01-12: Highest Volume — 41,365 contracts
  • 2015-01-29: Largest IV drop — 6.8% change
  • 2015-01-06: Highest IV Rank — 38.3%
  • 2015-01-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.59$48.86$52.20$50.48$49.93
Max Pain$49.95$49.72$50.66$49.72$50.19
ATM IV24.9%20.7%27.7%25.6%20.8%
Expected Move7.1%6.1%7.5%7.3%6.3%
HV 20d17.7%14.5%19.8%14.5%19.8%
HV 60d19.3%18.0%20.5%20.4%18.3%
IV Rank30.7%19.5%38.3%32.5%19.9%
IV Percentile76.4%44.8%88.9%84.1%48.4%
Term Structure-0.8%-3.4%1.0%-1.1%-0.5%
VWIV25.6%21.6%34.1%25.8%22.6%
Skew 25d3.7%1.6%5.3%4.9%2.6%
Skew 10d7.1%-1.4%13.7%3.5%6.2%
Call IV 25d24.1%20.6%27.5%25.7%20.9%
Put IV 25d27.8%23.2%30.6%30.6%23.5%
Bid-Ask Spread %37.0126.4358.5852.7828.95
Gamma HHI0.220.150.290.280.17
Net GEX10.4M5.2M16.4M14.6M7.6M
Net DEX-183.2M-300.0M-68.0M-277.5M-68.0M
Net VEX-905.6K-1.1M-730.5K-730.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.142.780.921.26
Total Volume16,567.552,26141,3659,22518,763
Total OI171,359.15122,790228,617194,831153,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$50.48$49.7225.6%7.3%14.5%32.5%25.8%4.9%-1.1%14.6M-277.5M-730.6K0.9252.784,8074,418113,95780,874
2015-01-05$49.62$49.7226.8%7.5%15.2%35.7%26.2%3.8%1.0%12.8M-216.4M-750.3K0.8550.5718,21815,559109,71277,551
2015-01-06$48.95$49.7227.7%7.4%15.5%38.3%27.3%3.0%-1.4%10.3M-158.5M-856.8K1.3858.581,7902,467110,62178,594
2015-01-07$48.86$49.7227.2%7.3%15.5%36.9%27.0%3.7%-0.1%10.0M-148.6M-836.5K1.4450.252,6193,763110,95779,066
2015-01-08$50.45$49.7225.4%7.2%19.5%32.1%24.0%3.9%-0.1%15.5M-266.7M-764.0K0.9741.586,3286,155113,34083,315
2015-01-09$50.25$49.7225.9%7.1%19.2%33.5%34.1%1.6%-0.4%14.9M-260.8M-779.0K1.2835.256,4628,276113,76483,633
2015-01-12$50.43$49.7226.2%7.3%19.2%34.1%28.4%3.6%-0.6%16.4M-265.1M-730.5K0.5840.6626,10215,263111,72583,307
2015-01-13$50.40$49.7225.9%7.3%17.7%33.3%29.5%3.7%-0.6%16.0M-240.8M-903.6K1.1230.9515,19116,947117,03591,568
2015-01-14$50.57$49.7226.9%7.5%17.5%36.2%25.9%4.4%-1.2%14.6M-250.7M-907.5K1.1838.3514,15016,701117,63297,190
2015-01-15$50.48$49.7226.3%7.5%17.4%34.4%25.8%4.0%0.4%13.7M-255.7M-898.7K1.2238.2214,04417,086117,73497,678
2015-01-16$51.21$49.7226.4%7.4%16.8%34.6%25.0%3.4%-3.4%7.5M-300.0M-1.0M0.1426.433,488478124,324104,293
2015-01-20$51.35$49.7224.9%7.1%16.6%30.9%25.5%4.1%-1.1%6.8M-121.0M-979.2K0.6628.461,36689568,04954,741
2015-01-21$51.70$49.7224.3%7.0%16.8%29.1%24.2%5.3%-0.8%7.2M-137.8M-961.4K0.3027.673,4811,03969,19455,498
2015-01-22$52.20$50.1923.8%6.9%17.1%27.8%23.3%4.4%-1.1%7.9M-156.6M-976.9K2.0128.254,2948,64871,70256,281
2015-01-23$51.23$50.6623.9%7.0%18.2%28.1%25.0%2.5%-2.6%7.0M-131.3M-986.4K2.7834.413,2268,97973,34056,561
2015-01-26$51.70$50.6623.4%6.9%18.3%26.9%23.9%4.7%-0.6%7.2M-130.8M-975.9K0.4527.437,0163,16470,50255,663
2015-01-27$50.93$50.6623.3%7.0%19.1%26.4%25.5%5.0%-0.4%7.0M-106.9M-995.8K1.7228.024,6107,94176,22557,821
2015-01-28$50.34$50.1922.2%6.3%19.4%23.5%21.6%2.1%-0.9%5.3M-82.8M-1.0M1.8834.255,72510,76779,82764,116
2015-01-29$50.66$50.1920.7%6.1%19.6%19.5%21.7%3.6%-0.7%5.2M-89.0M-1.0M1.2339.199,47511,65081,70865,049
2015-01-30$49.93$50.1920.8%6.3%19.8%19.9%22.6%2.6%-0.5%7.6M-68.0M-1.1M1.2628.958,28410,47986,88066,156