IP Options History — June 2015

In June 2015, IP traded between $45.14 and $49.08. ATM implied volatility averaged 19.8%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.6% (HV 20d: 15.2%). Max pain ranged from $49.72 to $49.72. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2015-06-25: Highest Volume — 8,906 contracts
2015-06-29: Largest IV spike — 9.2% change
2015-06-29: Highest IV Rank — 25.0%
2015-06-30: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.58	$45.14	$49.08	$49.08	$45.14
Max Pain	$49.72	$49.72	$49.72	$49.72	$49.72
ATM IV	19.8%	18.4%	23.1%	19.1%	22.9%
Expected Move	5.6%	5.1%	6.5%	5.4%	6.5%
HV 20d	15.2%	12.0%	24.2%	23.9%	15.6%
HV 60d	20.6%	20.1%	20.9%	20.7%	20.7%
IV Rank	16.2%	12.7%	25.0%	15.2%	24.6%
IV Percentile	23.6%	13.1%	59.5%	19.8%	58.3%
Term Structure	0.6%	-1.3%	2.8%	1.3%	-0.8%
VWIV	19.7%	17.8%	23.6%	20.6%	23.6%
Skew 25d	2.4%	0.6%	4.3%	2.1%	1.1%
Skew 10d	5.4%	-3.6%	13.0%	5.7%	3.3%
Call IV 25d	19.3%	17.5%	24.1%	19.3%	24.1%
Put IV 25d	21.7%	19.5%	25.2%	21.4%	25.2%
Bid-Ask Spread %	24.11	15.12	62.34	24.17	23.99
Gamma HHI	0.19	0.15	0.27	0.16	0.22
Net GEX	90.7K	-3.9M	5.4M	5.4M	-3.8M
Net DEX	26.0M	-27.1M	76.5M	-27.1M	76.5M
Net VEX	-586.8K	-777.4K	-394.6K	-777.4K	-394.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.39	1.56	0.82	0.54
Total Volume	5,659.136	2,431	8,906	4,653	7,215
Total OI	161,007.455	149,409	166,752	163,310	151,324

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-06-01	$49.08	$49.72	19.1%	5.4%	23.9%	15.2%	20.6%	2.1%	1.3%	5.4M	-27.1M	-777.4K	0.82	24.17	2,557	2,096	112,532	50,778
2015-06-02	$48.46	$49.72	19.9%	5.7%	24.2%	16.6%	21.2%	1.5%	-0.3%	2.9M	902.2K	-729.5K	0.39	23.73	1,752	679	112,439	50,991
2015-06-03	$48.53	$49.72	19.4%	5.5%	15.0%	15.1%	19.6%	2.5%	-0.0%	2.6M	1.2M	-738.9K	0.77	22.17	3,264	2,523	114,348	51,250
2015-06-04	$48.41	$49.72	19.2%	5.8%	14.1%	14.7%	20.0%	3.1%	-0.4%	2.1M	9.3M	-719.0K	0.42	19.45	3,608	1,503	114,511	51,216
2015-06-05	$48.48	$49.72	19.3%	5.6%	13.9%	15.1%	19.4%	2.4%	0.3%	2.2M	7.5M	-700.0K	0.46	17.66	3,430	1,580	115,459	51,270
2015-06-08	$47.89	$49.72	20.0%	5.8%	13.9%	16.9%	20.1%	1.4%	1.0%	191.5K	25.0M	-651.8K	0.64	19.06	2,508	1,596	114,411	50,529
2015-06-09	$47.71	$49.72	19.1%	5.8%	13.5%	14.5%	19.9%	2.4%	1.3%	-504.5K	32.8M	-637.8K	0.52	19.32	3,066	1,602	114,649	50,519
2015-06-10	$48.24	$49.72	19.3%	5.8%	13.6%	14.9%	20.1%	2.5%	0.6%	502.1K	17.2M	-650.4K	0.59	19.83	3,410	2,009	114,486	50,709
2015-06-11	$48.79	$49.72	18.4%	5.1%	14.0%	12.7%	18.4%	2.5%	-1.3%	3.7M	-13.0M	-673.5K	0.77	22.38	3,178	2,436	115,442	50,846
2015-06-12	$48.50	$49.72	18.9%	5.7%	12.0%	13.9%	18.3%	0.6%	2.0%	3.3M	-7.7M	-690.0K	1.47	20.87	2,364	3,465	115,735	51,017
2015-06-15	$47.86	$49.72	19.7%	5.7%	12.6%	15.9%	19.5%	3.5%	-0.3%	-574.5K	29.0M	-600.9K	1.38	24.40	1,803	2,483	115,119	50,432
2015-06-16	$47.76	$49.72	19.3%	5.5%	12.1%	15.0%	18.4%	4.0%	-0.1%	-908.1K	34.8M	-598.8K	1.56	23.02	1,841	2,877	115,277	50,580
2015-06-17	$48.20	$49.72	19.7%	5.7%	12.8%	16.1%	21.0%	4.3%	-0.7%	-157.2K	17.7M	-598.6K	0.98	28.46	1,864	1,832	115,329	50,519
2015-06-18	$48.30	$49.72	19.2%	5.5%	12.8%	14.8%	18.4%	3.3%	-1.1%	157.2K	18.0M	-557.8K	0.92	15.12	2,002	1,847	115,373	50,145
2015-06-19	$48.45	$49.72	18.7%	5.4%	12.9%	13.2%	17.8%	2.8%	-1.2%	1.9M	4.7M	-554.9K	0.85	21.60	2,839	2,425	115,639	50,159
2015-06-22	$47.00	$49.72	19.3%	5.4%	16.4%	14.8%	18.5%	3.4%	2.4%	-1.5M	42.1M	-460.8K	0.90	62.34	4,237	3,814	107,757	41,652
2015-06-23	$46.67	$49.72	19.6%	5.3%	16.3%	15.8%	18.6%	2.4%	2.6%	-2.4M	46.1M	-458.0K	0.66	23.65	4,796	3,153	108,122	42,328
2015-06-24	$46.50	$49.72	19.6%	5.3%	15.8%	15.7%	18.6%	1.4%	2.8%	-2.7M	49.9M	-466.1K	1.02	24.59	2,788	2,836	109,111	42,784
2015-06-25	$45.80	$49.72	19.7%	5.4%	16.3%	16.1%	19.4%	1.1%	2.5%	-3.9M	66.8M	-425.6K	0.59	31.09	5,586	3,320	109,423	43,127
2015-06-26	$45.72	$49.72	21.1%	5.7%	15.7%	19.8%	21.0%	2.1%	2.8%	-3.1M	66.9M	-421.8K	0.55	16.97	5,633	3,072	109,747	43,613
2015-06-29	$45.19	$49.72	23.1%	6.4%	16.0%	25.0%	22.1%	1.6%	-0.6%	-3.3M	73.5M	-404.4K	0.72	26.62	4,419	3,193	109,200	42,267
2015-06-30	$45.14	$49.72	22.9%	6.5%	15.6%	24.6%	23.6%	1.1%	-0.8%	-3.8M	76.5M	-394.6K	0.54	23.99	4,680	2,535	108,897	42,427