IP Options History — May 2015

In May 2015, IP traded between $48.25 and $51.16. ATM implied volatility averaged 20.8%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 5.1% (HV 20d: 25.9%). Max pain ranged from $49.72 to $51.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2015-05-05: Highest Volume — 27,884 contracts
  • 2015-05-05: Largest IV spike — 14.7% change
  • 2015-05-05: Highest IV Rank — 30.4%
  • 2015-05-05: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.00$48.25$51.16$51.16$49.15
Max Pain$49.81$49.72$51.61$51.61$49.72
ATM IV20.8%18.3%24.8%21.6%19.7%
Expected Move5.8%5.2%6.6%5.7%5.5%
HV 20d25.9%22.2%29.5%22.3%24.1%
HV 60d20.6%18.7%21.8%18.9%20.9%
IV Rank19.9%13.1%30.4%22.0%16.8%
IV Percentile36.5%18.7%73.8%46.4%22.2%
Term Structure-0.0%-1.8%1.9%-1.2%-0.5%
VWIV20.3%18.0%22.6%20.4%19.9%
Skew 25d2.6%1.2%4.4%2.7%1.5%
Skew 10d6.4%1.8%11.8%7.5%1.8%
Call IV 25d20.0%17.5%25.1%21.0%19.9%
Put IV 25d22.6%19.4%29.3%23.7%21.4%
Bid-Ask Spread %43.6321.1058.0235.9949.87
Gamma HHI0.160.110.200.190.16
Net GEX7.1M515.6K12.8M12.8M5.3M
Net DEX-57.7M-139.6M10.0M-139.6M-21.3M
Net VEX-946.9K-1.1M-786.6K-1.1M-786.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.292.841.370.71
Total Volume9,169.551,28327,8847,8157,287
Total OI169,996.7157,305184,716170,831164,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$51.16$51.6121.6%5.7%22.3%22.0%20.4%2.7%-1.2%12.8M-139.6M-1.1M1.3735.993,2944,521120,30850,523
2015-05-04$50.89$49.7221.6%6.3%22.2%21.9%22.1%3.0%0.4%11.6M-106.1M-1.1M1.4646.70627916115,77545,164
2015-05-05$48.25$49.7224.8%6.6%29.0%30.4%22.6%4.1%1.9%4.7M-14.9M-973.9K1.9745.739,38718,497116,32945,982
2015-05-06$48.93$49.7224.2%6.0%29.3%28.9%22.0%3.9%-1.3%737.6K10.0M-968.2K1.2547.1710,68113,377120,57858,899
2015-05-07$49.20$49.7222.7%6.3%29.5%25.0%21.9%3.2%0.4%515.6K-4.6M-987.1K1.8349.237,25513,272121,99060,846
2015-05-08$49.71$49.7220.8%5.8%27.0%19.8%21.3%2.2%0.2%887.0K-37.4M-1.0M1.4650.781,9632,875123,19761,519
2015-05-11$50.06$49.7221.2%6.2%27.1%20.9%21.6%2.9%1.1%4.8M-49.6M-1.0M0.7041.39831582120,55257,690
2015-05-12$49.38$49.7221.4%6.2%27.1%21.4%18.6%2.6%0.4%3.1M-26.3M-970.6K2.8426.782,4066,837120,85458,133
2015-05-13$49.78$49.7221.1%5.9%27.4%20.6%21.5%2.4%-0.4%3.1M-29.9M-952.4K2.6125.402,2905,977120,91258,064
2015-05-14$50.71$49.7220.3%6.0%28.3%18.6%21.0%4.4%1.6%8.3M-92.5M-978.7K1.7221.104,1947,234120,88558,034
2015-05-15$50.42$49.7220.4%5.5%28.2%18.7%21.1%2.3%-1.7%9.6M-75.5M-949.7K2.3930.583,5358,453121,68858,899
2015-05-18$50.78$49.7220.4%5.8%28.0%18.7%19.4%1.2%0.5%10.8M-81.8M-930.5K0.5350.552,1511,140109,18748,118
2015-05-19$50.78$49.7219.4%5.6%24.2%16.2%18.5%1.8%0.5%11.5M-86.8M-935.5K0.2957.23997286110,91748,731
2015-05-20$50.45$49.7218.5%5.3%24.2%13.6%19.6%1.9%-0.3%9.7M-69.9M-884.1K2.0258.023,0966,241111,66748,872
2015-05-21$50.28$49.7219.0%5.4%24.2%15.0%20.0%2.0%0.8%9.6M-73.0M-929.8K0.3755.418,0632,981112,31651,718
2015-05-22$50.29$49.7218.3%5.2%23.8%13.1%19.0%1.8%0.1%10.1M-78.5M-910.3K0.6554.314,1292,701114,17751,802
2015-05-26$49.78$49.7220.8%5.6%23.9%20.0%19.3%2.1%-1.8%7.7M-51.0M-861.0K0.8841.463,3142,916112,35351,060
2015-05-27$50.14$49.7220.2%5.5%24.0%18.3%19.0%2.5%-0.3%9.3M-66.0M-864.4K0.9540.632,4842,359112,55051,454
2015-05-28$49.92$49.7219.8%5.3%23.9%17.0%18.0%3.3%-0.5%8.3M-58.4M-831.7K0.9044.272,2302,012113,25550,791
2015-05-29$49.15$49.7219.7%5.5%24.1%16.8%19.9%1.5%-0.5%5.3M-21.3M-786.6K0.7149.874,2623,025113,34650,799