IP Options History — July 2015

In July 2015, IP traded between $44.20 and $46.20. ATM implied volatility averaged 24.3%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.5% (HV 20d: 20.8%). Max pain ranged from $44.51 to $49.72. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-07-16: Highest Volume — 47,885 contracts
  • 2015-07-08: Largest IV spike — 10.7% change
  • 2015-07-29: Highest IV Rank — 40.0%
  • 2015-07-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.26$44.20$46.20$46.04$45.35
Max Pain$45.69$44.51$49.72$49.72$44.51
ATM IV24.3%20.8%26.7%23.2%20.8%
Expected Move6.8%5.9%7.8%6.1%5.9%
HV 20d20.8%17.6%26.9%17.6%25.9%
HV 60d20.5%19.7%22.4%21.2%19.7%
IV Rank30.6%25.3%40.0%25.3%34.2%
IV Percentile66.6%30.2%87.7%60.3%30.2%
Term Structure-0.7%-3.0%0.4%0.3%0.2%
VWIV24.4%21.6%27.1%21.6%24.9%
Skew 25d2.9%0.6%5.1%3.3%2.5%
Skew 10d6.7%3.0%11.7%6.8%4.8%
Call IV 25d23.3%20.4%26.1%21.8%20.4%
Put IV 25d26.2%22.9%28.5%25.1%22.9%
Bid-Ask Spread %27.1615.7943.7933.0918.22
Gamma HHI0.190.130.250.250.20
Net GEX2.5M-6.1M9.6M-3.5M8.3M
Net DEX6.6M-82.4M79.4M60.2M-60.9M
Net VEX-592.1K-836.0K-364.2K-408.3K-836.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.142.850.530.75
Total Volume15,5985,43147,88510,64814,288
Total OI136,747.27399,667177,603151,838134,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$46.04$49.7223.2%6.1%17.6%25.3%21.6%3.3%0.3%-3.5M60.2M-408.3K0.5333.096,9393,709109,20642,632
2015-07-02$45.46$49.7223.3%7.1%18.0%25.5%22.4%0.8%-0.9%-6.1M69.6M-395.1K0.3523.717,4552,585111,00943,349
2015-07-06$45.15$45.4525.1%7.0%17.9%30.6%25.3%4.5%-0.9%-3.3M72.3M-364.2K0.2324.5210,6332,470108,81342,229
2015-07-07$45.42$45.4524.1%7.0%17.9%27.8%24.8%5.1%0.3%-2.5M57.0M-436.9K0.4522.505,4942,481114,85442,525
2015-07-08$44.38$45.4526.7%7.2%19.3%34.8%24.4%0.6%-3.0%-2.8M75.2M-418.8K0.6940.843,8962,705115,43342,697
2015-07-09$44.20$45.4526.7%7.1%18.5%34.9%24.9%2.0%0.4%-3.3M79.4M-411.0K0.7727.653,7362,887115,71643,304
2015-07-10$44.47$45.4525.8%7.0%18.0%32.4%23.5%1.9%-0.2%-2.7M76.7M-398.0K0.6624.104,4582,958115,88643,599
2015-07-13$45.29$44.5124.4%6.7%19.8%28.7%23.4%4.7%-1.2%-554.4K60.7M-403.1K0.7025.8526,12818,267114,57342,470
2015-07-14$45.19$45.4524.0%6.4%19.4%27.5%23.0%3.1%-1.8%921.1K41.4M-538.2K0.8025.3920,04816,109115,41843,408
2015-07-15$44.66$45.4523.9%6.5%19.7%27.3%23.9%0.9%-1.0%2.0M52.5M-521.2K0.3731.869,6693,575115,77243,722
2015-07-16$45.57$45.4523.9%6.6%21.0%27.3%23.2%3.0%-0.9%1.8M-2.2M-545.3K0.4036.7134,16513,720115,92136,409
2015-07-17$45.14$45.4525.1%6.8%21.0%30.6%23.5%2.6%-2.0%4.4M17.2M-683.5K0.1432.5422,9943,330125,70451,899
2015-07-20$46.04$45.4524.4%6.9%22.5%28.5%24.4%4.3%-0.0%7.8M-70.8M-731.3K0.6531.585,3293,48766,52533,142
2015-07-21$45.51$45.4525.2%7.2%20.3%30.7%25.4%2.5%-2.0%7.9M-54.5M-735.5K0.8626.534,4743,87068,94534,331
2015-07-22$46.20$45.4524.4%7.0%21.0%28.6%25.5%2.3%0.1%9.3M-82.4M-745.1K1.3830.983,0364,18269,49734,811
2015-07-23$46.01$45.4524.1%6.9%21.0%27.9%25.2%2.9%-0.3%9.6M-76.1M-746.8K2.8521.032,7437,80670,15135,149
2015-07-24$45.24$45.4525.0%7.3%21.2%30.3%25.3%3.8%-1.1%5.3M-37.0M-746.1K1.0224.832,8442,89970,71239,420
2015-07-27$44.86$45.4525.8%7.8%21.4%32.4%27.1%3.0%-0.8%4.7M-23.3M-717.2K0.7218.303,1552,27667,64738,541
2015-07-28$46.16$44.9823.9%7.3%23.4%27.4%27.0%4.0%-0.6%7.4M-69.3M-746.5K1.9417.673,8397,45368,54438,684
2015-07-29$44.53$45.4522.0%6.4%26.9%40.0%24.3%3.4%-0.1%3.0M1.9M-695.6K0.2243.7921,4654,66369,33943,342
2015-07-30$44.93$44.5121.9%6.1%26.0%39.5%24.3%3.2%0.0%7.1M-41.3M-803.5K0.9515.797,6717,26584,09645,016
2015-07-31$45.35$44.5120.8%5.9%25.9%34.2%24.9%2.5%0.2%8.3M-60.9M-836.0K0.7518.228,1426,14685,48648,514