IP Options History — February 2015

In February 2015, IP traded between $49.97 and $54.54. ATM implied volatility averaged 21.0%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.3% (HV 20d: 19.7%). Max pain ranged from $49.72 to $52.08. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-02-12: Highest Volume — 19,804 contracts
  • 2015-02-12: Largest IV spike — 5.0% change
  • 2015-02-24: Highest IV Rank — 24.5%
  • 2015-02-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.95$49.97$54.54$49.97$53.41
Max Pain$51.66$49.72$52.08$50.19$52.08
ATM IV21.0%19.6%22.5%21.7%21.9%
Expected Move6.0%5.5%6.6%6.6%6.2%
HV 20d19.7%16.6%21.4%19.8%19.1%
HV 60d17.8%16.4%18.5%16.4%18.0%
IV Rank20.3%16.7%24.5%22.1%22.6%
IV Percentile50.3%34.5%68.3%56.3%59.9%
Term Structure-0.0%-1.7%1.1%-0.3%0.4%
VWIV21.7%19.7%25.5%22.5%22.2%
Skew 25d3.1%1.6%5.8%2.5%2.5%
Skew 10d8.5%4.3%16.9%5.4%5.3%
Call IV 25d20.4%17.0%22.9%21.9%21.2%
Put IV 25d23.5%21.8%25.9%24.4%23.6%
Bid-Ask Spread %25.9515.4343.0622.0022.40
Gamma HHI0.190.150.410.160.16
Net GEX15.4M6.5M28.8M6.5M18.3M
Net DEX-226.6M-331.6M-71.3M-71.3M-268.0M
Net VEX-948.0K-1.0M-833.2K-1.0M-997.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.111.410.690.38
Total Volume12,062.8421,58119,8041,58116,145
Total OI156,793.947144,349169,621144,349169,621

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$49.97$50.1921.7%6.6%19.8%22.1%22.5%2.5%-0.3%6.5M-71.3M-1.0M0.6922.0093664582,91361,436
2015-02-03$50.87$50.1921.1%5.8%19.8%20.6%23.8%3.8%-0.6%9.7M-105.0M-984.6K1.1838.387,9229,37083,02461,403
2015-02-04$51.37$50.1920.5%6.0%19.2%19.0%25.5%3.2%0.1%11.4M-128.7M-1.0M0.8843.068,6807,61183,86266,905
2015-02-05$52.02$49.7219.8%5.8%19.4%17.0%20.1%5.8%0.5%14.8M-168.6M-1.0M1.3831.417,59810,48485,25466,962
2015-02-06$51.51$52.0820.2%5.5%16.6%18.3%19.8%2.6%-0.8%10.5M-142.1M-1.0M1.2330.313,9624,86085,65569,857
2015-02-09$51.33$52.0820.4%5.7%16.6%18.9%21.1%3.4%-0.8%10.2M-124.5M-983.0K1.0615.433,6033,83381,86767,787
2015-02-10$52.59$52.0820.3%5.8%18.5%18.4%19.9%3.7%0.2%13.7M-189.9M-936.3K0.7621.526,1524,69582,48567,950
2015-02-11$52.53$52.0819.6%5.8%18.6%16.7%21.2%2.6%1.1%14.0M-202.8M-963.4K1.1319.454,1504,70683,25168,059
2015-02-12$54.18$52.0820.6%5.6%21.2%19.2%19.7%3.8%-1.4%12.9M-286.9M-833.2K0.4315.5013,8205,98483,46268,097
2015-02-13$54.26$52.0820.1%5.9%21.1%17.9%20.6%1.8%0.9%16.1M-291.3M-950.8K0.8226.566,4285,27692,64769,361
2015-02-17$53.88$52.0821.0%6.0%21.0%20.3%20.9%2.9%0.9%15.9M-294.5M-916.2K0.7124.764,9533,51194,08168,284
2015-02-18$54.14$52.0820.6%5.9%21.1%19.4%21.0%3.6%0.4%18.4M-294.7M-916.6K1.4121.892,4653,47695,88668,579
2015-02-19$53.83$52.0820.9%6.0%21.2%20.2%20.9%3.1%0.8%18.9M-278.9M-922.1K0.1820.564,51281595,39268,028
2015-02-20$54.54$52.0821.4%6.2%21.4%21.4%22.4%3.1%0.9%28.8M-331.6M-869.5K0.1123.898,83296598,49768,225
2015-02-23$54.32$52.0822.3%6.3%20.1%23.9%23.4%4.0%-1.7%14.5M-291.4M-877.8K0.5939.1411,7846,95292,68558,756
2015-02-24$53.75$52.0822.5%6.4%20.5%24.5%22.2%1.7%-0.9%18.5M-278.6M-897.8K0.5232.948,0944,18998,84761,687
2015-02-25$53.83$52.0821.9%6.3%19.5%22.9%21.6%1.6%-0.5%18.7M-276.0M-945.4K0.4021.799,1083,673100,48162,965
2015-02-26$53.79$52.0821.8%6.3%18.8%22.4%22.9%2.6%0.3%20.0M-279.9M-945.8K0.2022.0015,8743,131101,78963,045
2015-02-27$53.41$52.0821.9%6.2%19.1%22.6%22.2%2.5%0.4%18.3M-268.0M-997.1K0.3822.4011,7184,427106,24163,380