IP Options History — August 2015

In August 2015, IP traded between $38.98 and $45.57. ATM implied volatility averaged 27.1%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.2% (HV 20d: 25.9%). Max pain ranged from $44.51 to $45.45. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-08-21: Highest Volume — 29,873 contracts
  • 2015-08-24: Largest IV spike — 29.9% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.40$38.98$45.57$44.83$40.93
Max Pain$45.09$44.51$45.45$44.51$44.51
ATM IV27.1%21.1%41.8%21.8%31.5%
Expected Move8.0%5.9%12.7%6.2%9.6%
HV 20d25.9%22.8%30.3%26.1%30.2%
HV 60d21.0%19.2%25.0%19.8%25.0%
IV Rank56.9%35.3%100.0%38.8%63.3%
IV Percentile71.9%32.9%100.0%42.1%96.8%
Term Structure-0.5%-3.8%0.8%-0.3%-0.3%
VWIV27.8%20.3%40.0%21.6%34.3%
Skew 25d3.5%1.4%6.9%3.0%4.0%
Skew 10d6.6%1.1%16.5%7.1%12.1%
Call IV 25d26.6%20.7%40.9%21.1%29.9%
Put IV 25d30.1%23.2%46.7%24.1%33.9%
Bid-Ask Spread %36.1114.3575.0818.6753.10
Gamma HHI0.170.120.210.190.17
Net GEX5.8M-1.9M17.0M6.1M-1.7M
Net DEX-2.9M-131.3M118.8M-31.5M79.8M
Net VEX-758.2K-875.8K-534.4K-794.7K-667.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.091.790.090.60
Total Volume13,920.6192,46429,8732,4648,835
Total OI143,864.81128,274157,495128,274143,783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$44.83$44.5121.8%6.2%26.1%38.8%21.6%3.0%-0.3%6.1M-31.5M-794.7K0.0918.672,26220281,52346,751
2015-08-04$44.87$44.5121.1%6.0%26.0%35.3%23.1%2.4%-0.1%6.6M-36.6M-788.3K0.9919.645,3685,32881,75646,804
2015-08-05$45.27$44.5121.1%5.9%24.8%35.7%20.3%3.1%-0.2%8.6M-55.4M-796.1K0.9114.355,9295,42282,05547,057
2015-08-06$44.81$45.4521.7%6.2%25.1%38.5%21.8%3.0%-0.4%5.5M-21.3M-776.5K0.3818.427,9853,01982,83850,090
2015-08-07$45.03$45.4522.0%6.3%25.1%39.8%21.7%2.5%-0.1%6.8M-36.9M-801.1K0.2019.3016,2073,23084,05150,349
2015-08-10$45.42$45.4521.9%6.4%24.4%39.3%22.7%2.8%0.7%12.3M-80.6M-809.9K0.3522.058,2422,84590,06148,047
2015-08-11$44.76$45.4523.8%7.0%24.9%48.7%24.1%3.2%0.7%9.8M-47.3M-820.0K0.3119.425,1071,57793,21948,572
2015-08-12$44.66$45.4524.8%7.2%24.6%53.6%25.6%3.0%0.1%10.0M-57.9M-842.4K0.6823.6211,6607,92594,28049,744
2015-08-13$44.39$45.4524.7%7.1%23.4%52.9%26.6%2.1%0.1%9.4M-51.0M-856.4K0.9332.147,9907,44798,22750,930
2015-08-14$44.79$45.4524.6%7.1%23.5%52.5%25.5%3.1%0.2%11.5M-74.5M-875.8K0.4034.7110,0994,02198,55653,536
2015-08-17$45.57$45.4524.5%7.0%23.2%52.1%25.7%2.8%-0.1%17.0M-131.3M-860.9K0.4334.5115,8826,819100,44952,503
2015-08-18$45.07$45.4523.9%6.8%23.2%49.0%24.7%2.5%0.8%14.1M-83.5M-840.7K1.2127.625,1296,20197,46655,587
2015-08-19$44.53$45.4525.0%7.2%22.8%54.2%24.9%3.6%0.2%11.7M-35.5M-802.5K0.9024.963,8833,50397,39655,538
2015-08-20$43.60$45.4527.3%7.8%23.8%65.6%27.7%2.6%-0.4%538.1K16.3M-757.7K0.5325.079,8425,19998,47655,777
2015-08-21$41.99$45.4532.2%9.3%26.4%89.2%31.6%3.1%-0.7%535.4K77.7M-697.8K1.7933.0210,69119,182101,52955,966
2015-08-24$40.11$45.4541.8%11.8%30.3%100.0%40.0%5.8%-3.8%-978.1K97.6M-640.4K1.0775.085,7036,12083,89956,546
2015-08-25$38.98$44.5139.1%12.7%28.5%90.4%34.3%1.4%-3.0%-1.5M118.8M-534.4K0.5973.7810,8576,43484,31955,834
2015-08-26$39.76$44.5133.8%10.8%28.2%71.5%39.3%6.9%0.2%-1.6M115.1M-589.5K0.9866.2110,73510,57089,69257,019
2015-08-27$40.76$44.5132.3%9.9%29.8%66.0%35.0%5.8%-1.4%-1.9M100.5M-677.6K0.4163.0010,0154,09990,66560,423
2015-08-28$41.36$44.5129.9%8.7%30.2%57.7%32.5%6.9%-2.0%-1.3M76.8M-692.3K0.6459.586,5854,18491,55658,292
2015-08-31$40.93$44.5131.5%9.6%30.2%63.3%34.3%4.0%-0.3%-1.7M79.8M-667.2K0.6053.105,5253,31087,92355,860