IP Options History — March 2015

In March 2015, IP traded between $51.04 and $53.91. ATM implied volatility averaged 24.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.2% (HV 20d: 15.9%). Max pain ranged from $49.72 to $52.08. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2015-03-06: Highest Volume — 29,285 contracts
  • 2015-03-06: Largest IV spike — 12.9% change
  • 2015-03-11: Highest IV Rank — 34.2%
  • 2015-03-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.09$51.04$53.91$53.91$52.57
Max Pain$50.04$49.72$52.08$52.08$49.72
ATM IV24.0%21.4%26.2%21.7%24.1%
Expected Move6.6%5.8%7.4%6.1%6.2%
HV 20d15.9%12.5%18.5%18.1%16.4%
HV 60d17.8%17.1%18.2%17.7%18.2%
IV Rank28.4%21.6%34.2%22.2%28.8%
IV Percentile73.0%54.8%85.7%57.9%74.6%
Term Structure0.6%-1.8%3.1%-1.2%0.5%
VWIV23.8%20.6%27.4%25.2%20.8%
Skew 25d2.6%-2.1%5.9%2.8%5.9%
Skew 10d9.1%2.4%19.4%5.8%19.4%
Call IV 25d23.7%20.9%26.6%21.6%22.1%
Put IV 25d26.2%23.3%28.2%24.3%28.0%
Bid-Ask Spread %36.9317.5069.7230.8630.56
Gamma HHI0.180.140.230.210.23
Net GEX14.9M10.9M19.3M18.8M19.3M
Net DEX-198.5M-303.2M-127.4M-303.2M-254.1M
Net VEX-953.5K-1.1M-837.1K-863.8K-837.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.011.600.630.47
Total Volume8,252.72790129,28511,20214,064
Total OI174,522.182163,504190,257163,504168,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$53.91$52.0821.7%6.1%18.1%22.2%25.2%2.8%-1.2%18.8M-303.2M-863.8K0.6330.866,8844,318100,98862,516
2015-03-03$53.66$52.0821.5%6.2%18.3%21.7%22.5%2.4%-0.2%16.2M-270.8M-964.6K0.2822.8111,3603,162102,11763,050
2015-03-04$53.28$52.0821.4%6.3%17.9%21.6%22.9%2.9%0.2%16.4M-262.4M-960.5K0.3325.1710,8773,639104,91363,578
2015-03-05$52.64$49.7221.8%6.1%18.4%22.5%22.1%2.7%0.1%15.1M-227.9M-922.2K0.5917.505,2503,100105,00564,660
2015-03-06$52.19$49.7224.6%6.8%18.2%30.0%24.3%-2.1%3.1%12.8M-191.4M-991.4K0.2569.7223,5065,779105,25865,075
2015-03-09$52.13$49.7225.3%7.1%17.8%31.8%23.9%1.5%0.3%16.3M-210.4M-961.4K0.0157.7316,103241109,34665,955
2015-03-10$51.41$49.7226.1%7.4%18.5%34.1%25.7%3.2%-1.0%10.9M-127.4M-926.1K0.0349.0311,161337101,16866,121
2015-03-11$51.17$49.7226.2%7.1%16.2%34.2%25.8%2.0%-1.8%11.2M-135.4M-1.0M0.1551.531,399214111,89166,382
2015-03-12$51.95$49.7225.9%7.2%17.2%33.5%25.7%3.6%-1.6%13.3M-169.8M-1.0M0.0551.817,389335112,00766,506
2015-03-13$51.79$49.7225.5%7.4%12.6%32.4%25.8%2.6%-0.4%13.9M-170.4M-1.1M0.1048.406,370610118,15066,736
2015-03-16$51.92$49.7225.1%7.2%12.6%31.3%25.6%2.8%1.3%15.7M-194.7M-1.1M0.5834.48861502122,21466,118
2015-03-17$51.83$49.7224.1%6.9%12.5%28.6%27.4%1.7%1.6%14.6M-179.5M-1.0M1.6035.60346555122,66066,429
2015-03-18$52.21$49.7224.6%7.1%12.7%29.9%24.6%2.6%0.5%15.5M-197.6M-1.0M0.7445.401,240918122,79666,637
2015-03-19$51.37$49.7225.1%7.1%13.6%31.2%25.5%0.9%1.8%11.0M-156.0M-990.1K0.8236.40883724123,32966,614
2015-03-20$52.41$49.7223.8%6.7%14.8%27.7%23.4%2.6%0.6%13.6M-215.5M-967.9K0.1930.157,2601,399123,30466,953
2015-03-23$51.76$49.7223.5%6.2%15.2%26.9%22.1%2.4%1.6%15.0M-194.9M-926.1K0.2137.123,167672104,31960,429
2015-03-24$51.70$49.7223.4%6.5%14.9%26.8%22.8%2.3%2.8%14.7M-182.2M-925.3K0.1029.661,561162105,27660,925
2015-03-25$51.04$49.7223.8%6.5%15.4%27.7%22.8%1.3%2.1%14.1M-156.2M-920.8K0.5426.34883476106,56661,048
2015-03-26$51.30$49.7224.5%6.3%15.6%29.8%22.1%3.3%1.7%15.0M-164.9M-900.6K0.5427.556,8373,674107,79660,968
2015-03-27$51.53$49.7223.3%6.0%15.7%26.6%21.5%4.1%2.1%16.0M-174.9M-854.0K0.4227.292,323975106,59360,670
2015-03-30$52.31$49.7222.9%5.8%16.3%25.4%20.6%5.1%0.2%18.4M-226.9M-853.6K0.7327.405,8034,241107,48660,302
2015-03-31$52.57$49.7224.1%6.2%16.4%28.8%20.8%5.9%0.5%19.3M-254.1M-837.1K0.4730.569,5944,470108,15360,481