IP Options History — April 2015

In April 2015, IP traded between $49.77 and $53.27. ATM implied volatility averaged 25.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.4% (HV 20d: 19.5%). Max pain ranged from $49.72 to $52.08. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-04-13: Highest Volume — 46,772 contracts
  • 2015-04-20: Largest IV spike — 6.9% change
  • 2015-04-21: Highest IV Rank — 38.1%
  • 2015-04-21: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.29$49.77$53.27$51.95$50.87
Max Pain$51.81$49.72$52.08$49.72$51.61
ATM IV25.0%21.9%27.7%24.9%21.9%
Expected Move7.0%5.6%8.0%5.8%5.8%
HV 20d19.5%15.8%22.7%16.7%22.1%
HV 60d18.3%16.7%19.5%18.0%18.9%
IV Rank31.0%22.7%38.1%30.8%22.7%
IV Percentile76.2%50.4%90.1%77.8%50.4%
Term Structure-0.7%-2.4%1.8%-1.2%-0.8%
VWIV24.7%19.5%27.6%21.1%19.7%
Skew 25d3.2%0.2%4.9%0.2%3.4%
Skew 10d8.6%1.3%17.0%17.0%13.8%
Call IV 25d24.0%20.7%26.3%25.2%20.7%
Put IV 25d27.2%23.4%29.3%25.4%24.0%
Bid-Ask Spread %33.6622.3850.3933.6541.90
Gamma HHI0.220.140.380.230.16
Net GEX13.4M-3.4M21.0M19.8M12.3M
Net DEX-155.2M-289.8M-67.1M-213.2M-107.0M
Net VEX-956.2K-1.2M-711.4K-828.1K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.251.540.951.11
Total Volume15,642.7141,40646,7728,0539,421
Total OI169,801.714126,276211,476170,872169,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$51.95$49.7224.9%5.8%16.7%30.8%21.1%0.2%-1.2%19.8M-213.2M-828.1K0.9533.654,1293,924109,44761,425
2015-04-02$51.83$52.0824.3%6.7%16.3%29.1%24.1%2.7%-0.3%17.7M-201.9M-829.3K1.1630.573,8604,474107,82162,050
2015-04-06$51.49$52.0825.2%6.9%16.1%31.6%24.7%4.3%-1.5%17.1M-182.9M-766.9K1.3527.372,4223,271105,85861,582
2015-04-07$51.12$52.0824.7%6.7%16.3%30.2%24.4%1.9%-1.5%16.4M-171.1M-739.4K1.5425.492,2203,413106,09762,400
2015-04-08$51.60$52.0823.4%6.6%15.9%26.8%25.6%4.4%-0.7%16.4M-177.9M-728.5K0.2931.051,091315105,95363,259
2015-04-09$51.59$52.0824.1%6.7%15.8%28.7%26.0%4.3%-1.6%18.2M-200.7M-711.4K1.0722.382,2852,446106,40863,226
2015-04-10$53.27$52.0825.2%7.4%18.8%31.5%24.0%4.9%1.1%18.3M-289.8M-726.6K0.5541.8413,6787,547106,40463,564
2015-04-13$52.70$52.0825.6%7.4%19.2%32.6%25.4%2.9%-1.3%17.7M-276.3M-757.5K0.3832.7333,87912,893114,12365,521
2015-04-14$52.02$52.0824.6%7.0%19.8%30.0%25.5%1.0%0.1%16.8M-199.6M-941.0K0.4726.566,8053,191116,14476,158
2015-04-15$51.81$52.0825.4%7.3%19.9%32.1%24.3%3.2%0.1%18.5M-199.1M-987.1K0.7826.0912,1939,477122,74781,899
2015-04-16$51.77$52.0824.5%7.0%19.7%29.7%24.2%3.3%1.8%21.0M-169.3M-987.2K0.3523.7729,99110,370119,06782,325
2015-04-17$51.21$52.0824.6%6.9%19.2%29.8%24.6%4.0%1.3%-3.4M-109.5M-1.0M0.2523.8018,5794,731122,87788,599
2015-04-20$51.73$52.0826.3%7.5%18.1%34.4%26.1%4.1%-1.1%10.7M-131.6M-1.1M0.6043.166,6893,98790,27536,001
2015-04-21$49.77$52.0827.7%8.0%22.3%38.1%27.6%2.3%-1.8%6.8M-67.1M-1.0M0.3327.1628,4269,49893,18138,237
2015-04-22$50.22$51.6126.9%7.6%22.6%36.2%27.6%4.4%-1.8%8.0M-84.8M-1.1M0.6433.0310,0696,458113,04743,707
2015-04-23$50.10$51.6126.6%7.4%22.2%35.1%26.4%3.1%-2.4%9.2M-86.9M-1.1M0.5141.137,2493,733116,03344,541
2015-04-24$50.74$51.6125.2%7.4%22.7%31.7%25.6%4.6%-0.6%10.5M-112.4M-1.2M1.1638.974,6195,357116,31944,777
2015-04-27$50.43$51.6125.8%7.9%22.7%33.2%27.2%3.4%-1.1%9.8M-101.5M-1.2M1.0150.393,7743,803113,68445,119
2015-04-28$50.63$51.6124.8%7.5%21.9%30.3%25.8%3.8%-0.4%10.3M-101.6M-1.1M1.3449.636,6198,898114,07345,422
2015-04-29$50.27$51.6123.1%5.6%21.9%25.9%19.5%1.1%-1.3%9.2M-75.9M-1.1M1.0536.266,1916,522117,73248,913
2015-04-30$50.87$51.6121.9%5.8%22.1%22.7%19.7%3.4%-0.8%12.3M-107.0M-1.1M1.1141.904,4694,952119,42250,399