IP Options History — September 2015

In September 2015, IP traded between $35.40 and $40.66. ATM implied volatility averaged 31.0%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.3% (HV 20d: 29.7%). Max pain ranged from $41.67 to $44.51. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-09-09: Highest Volume — 17,083 contracts
  • 2015-09-28: Largest IV spike — 17.1% change
  • 2015-09-01: Highest IV Rank — 77.8%
  • 2015-09-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.33$35.40$40.66$39.44$35.81
Max Pain$42.70$41.67$44.51$44.51$41.67
ATM IV31.0%27.4%36.1%36.1%32.4%
Expected Move9.0%7.8%11.3%11.3%9.1%
HV 20d29.7%20.3%34.2%32.2%20.3%
HV 60d26.2%25.7%26.7%25.9%26.5%
IV Rank55.0%38.6%77.8%77.8%59.8%
IV Percentile93.4%84.5%99.2%99.2%95.6%
Term Structure0.2%-2.4%5.1%-0.5%-0.3%
VWIV29.4%18.3%37.6%37.6%30.8%
Skew 25d5.7%2.6%8.7%5.8%5.0%
Skew 10d10.0%1.1%14.3%10.7%5.3%
Call IV 25d30.0%26.8%34.3%34.3%32.4%
Put IV 25d35.7%31.8%40.7%40.1%37.5%
Bid-Ask Spread %33.4916.8366.5966.5922.06
Gamma HHI0.180.120.250.180.16
Net GEX-1.5M-3.3M491.6K-1.9M459.9K
Net DEX112.7M88.9M152.8M112.4M90.8M
Net VEX-383.7K-568.9K-201.3K-568.9K-233.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.091.130.820.32
Total Volume9,061.2382,35417,0839,67513,854
Total OI130,668.619105,549148,068144,552114,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$39.44$44.5136.1%11.3%32.2%77.8%37.6%5.8%-0.5%-1.9M112.4M-568.9K0.8266.595,3184,35788,25356,299
2015-09-02$39.65$44.5133.1%11.0%32.0%65.7%37.2%2.6%-0.2%-2.4M117.8M-548.3K0.9564.274,1733,96288,48957,080
2015-09-03$39.96$43.5631.7%9.3%32.4%60.3%32.3%6.1%0.8%-2.7M110.4M-561.1K0.6938.624,9633,42688,93056,935
2015-09-04$39.64$43.5633.3%9.5%32.1%66.4%33.1%8.7%-0.0%-2.7M119.7M-541.7K0.5732.595,5153,15389,30156,902
2015-09-08$40.66$43.5632.6%8.8%33.7%62.1%29.4%6.9%-2.4%-3.3M92.4M-548.7K0.0931.838,90381185,99053,889
2015-09-09$39.70$43.5631.2%8.8%34.2%56.1%31.3%5.2%-0.1%491.6K102.2M-514.3K0.2037.1914,2552,82893,19954,517
2015-09-10$39.57$43.5631.7%8.7%34.2%58.3%29.7%5.6%-1.1%-1.0M114.3M-475.8K0.4235.986,8282,89792,27554,597
2015-09-11$39.37$42.6131.0%8.6%34.2%54.1%32.4%6.2%-1.9%-2.9M124.1M-457.4K0.4234.586,5872,76193,34554,723
2015-09-14$39.27$42.6131.1%8.9%33.8%54.4%30.3%7.0%-0.7%-2.9M127.8M-436.0K0.6934.433,7692,60686,25054,114
2015-09-15$38.92$42.6130.2%8.6%32.6%50.9%31.2%5.5%-0.3%-2.5M136.0M-398.4K0.8630.141,2671,08786,43854,357
2015-09-16$39.05$42.6129.3%8.4%32.8%46.7%29.2%6.4%-0.4%-2.8M140.7M-376.7K0.8733.763,8833,39386,14655,151
2015-09-17$38.66$42.6128.1%8.0%32.8%41.7%28.8%4.7%0.4%-1.9M146.1M-352.0K0.9539.513,9303,71986,28854,988
2015-09-18$38.14$42.6128.8%8.3%32.5%44.7%26.3%5.1%-1.5%-1.0M152.8M-320.8K1.1341.245,3906,11386,55955,179
2015-09-21$38.18$42.6127.4%7.8%30.4%38.6%26.7%4.9%2.7%-1.3M88.9M-287.9K1.0525.453,7843,99169,90535,644
2015-09-22$37.32$41.6728.9%8.3%27.2%45.3%19.5%5.2%2.3%-1.0M94.2M-271.3K1.0422.483,6883,83271,25837,253
2015-09-23$37.15$41.6728.6%8.3%25.6%44.0%18.3%5.8%2.1%-853.2K97.1M-266.4K1.0916.833,7094,04871,43737,599
2015-09-24$36.86$41.6728.3%8.4%24.2%42.7%25.3%7.0%5.1%-612.3K98.8M-241.6K0.7623.325,1183,89571,78736,890
2015-09-25$36.67$41.6729.1%8.7%21.8%46.1%25.3%5.9%3.3%-270.0K99.0M-236.4K0.8426.684,8054,03972,99137,015
2015-09-28$35.53$41.6734.1%10.0%22.3%67.3%30.0%5.2%-0.8%-206.8K100.9M-201.3K0.8023.774,0623,23372,07636,353
2015-09-29$35.40$41.6734.9%10.2%22.3%70.9%32.8%4.5%-1.4%65699.5M-220.1K0.3722.088,9803,35472,33436,565
2015-09-30$35.81$41.6732.4%9.1%20.3%59.8%30.8%5.0%-0.3%459.9K90.8M-233.0K0.3222.0610,5293,32577,90136,839