IP Options History — October 2015

In October 2015, IP traded between $35.96 and $41.58. ATM implied volatility averaged 29.4%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.2% (HV 20d: 27.2%). Max pain ranged from $35.04 to $41.67. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-10-07: Highest Volume — 38,956 contracts
  • 2015-10-09: Largest IV spike — 15.4% change
  • 2015-10-01: Highest IV Rank — 61.3%
  • 2015-10-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$35.96$41.58$35.96$40.51
Max Pain$37.13$35.04$41.67$41.67$37.88
ATM IV29.4%24.2%32.7%32.7%24.2%
Expected Move8.3%7.5%9.0%9.0%7.5%
HV 20d27.2%20.2%31.0%20.2%30.3%
HV 60d28.2%26.2%29.2%26.2%29.1%
IV Rank47.4%25.0%61.3%61.3%25.0%
IV Percentile85.2%53.6%96.0%96.0%53.6%
Term Structure-0.9%-2.6%0.9%-0.6%0.2%
VWIV29.7%26.0%38.2%29.8%27.9%
Skew 25d4.9%2.8%6.5%4.1%4.4%
Skew 10d9.9%2.9%14.1%7.2%6.3%
Call IV 25d27.7%22.8%32.3%32.3%23.1%
Put IV 25d32.6%27.6%36.4%36.4%27.6%
Bid-Ask Spread %34.4120.2359.7422.8921.43
Gamma HHI0.120.100.200.140.11
Net GEX1.6M-315.5K4.0M721.8K2.5M
Net DEX-106.3K-68.8M89.4M89.4M-27.6M
Net VEX-404.0K-485.7K-235.1K-235.1K-409.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.231.780.620.67
Total Volume15,221.1362,84138,9568,93725,152
Total OI108,356.40988,629122,543115,55694,439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$35.96$41.6732.7%9.0%20.2%61.3%29.8%4.1%-0.6%721.8K89.4M-235.1K0.6222.895,5253,41278,67536,881
2015-10-02$36.77$41.6731.7%8.1%22.0%57.2%26.8%6.5%-1.2%456.5K82.9M-245.0K0.7820.234,3303,38379,95036,968
2015-10-05$37.64$35.0430.3%8.4%24.0%51.0%28.4%5.9%0.9%255.5K76.8M-267.5K0.2333.522,31352876,93136,343
2015-10-06$37.67$35.0429.1%8.2%21.7%46.2%29.9%5.3%0.6%1.1M73.6M-276.5K1.2028.902,8013,35978,74236,679
2015-10-07$38.10$35.0429.6%8.1%20.9%48.2%29.3%5.4%0.3%1.1M69.5M-282.2K0.7731.7722,02416,93279,02936,763
2015-10-08$38.92$35.0428.2%8.0%22.5%42.2%27.8%5.0%0.7%1.7M20.9M-408.8K0.3730.8524,1598,98879,57739,061
2015-10-09$40.77$35.0432.5%8.8%28.0%60.7%31.6%5.5%-0.4%-315.5K-24.4M-483.2K0.4259.7420,1718,41680,19839,244
2015-10-12$39.72$35.0431.3%8.5%29.6%55.5%30.2%5.6%-1.9%1.4M-3.1M-435.4K0.9345.867,9337,35379,14737,816
2015-10-13$39.75$35.0430.4%8.4%29.4%51.7%30.4%5.9%-1.4%1.2M-4.2M-438.9K1.2546.705,9237,41279,83138,919
2015-10-14$39.85$35.0430.9%8.4%29.4%53.5%29.8%4.2%-1.8%1.8M-1.9M-437.4K1.7847.305,4579,71180,40139,761
2015-10-15$39.91$35.0430.3%8.3%29.1%51.3%26.0%4.5%-2.4%1.4M3.9M-434.9K0.9549.398,1017,68880,48442,059
2015-10-16$39.90$35.0429.5%7.9%28.6%47.6%27.5%2.8%-2.2%1.1M3.3M-437.4K0.7947.899,2227,33180,23641,971
2015-10-19$39.31$35.0430.4%8.6%29.2%51.5%32.6%4.7%-2.3%1.7M-16.5M-419.5K0.6838.927,8475,35858,67029,959
2015-10-20$39.16$38.8330.5%8.7%27.9%51.8%38.2%5.7%-1.3%1.4M-14.8M-423.3K0.5330.616,7943,59460,86432,403
2015-10-21$38.97$38.8330.4%8.7%27.9%51.4%31.5%4.6%-2.6%1.2M-7.8M-428.7K0.7630.114,2833,25862,17433,477
2015-10-22$40.39$38.8328.8%8.3%30.0%44.6%29.5%4.5%-2.3%1.8M-38.3M-442.9K1.0228.543,7083,79462,59233,920
2015-10-23$41.58$38.8328.2%8.3%31.0%42.3%28.9%4.1%-2.4%2.5M-68.8M-473.2K0.4028.957,5703,02163,46634,517
2015-10-26$41.19$38.8328.5%8.6%28.3%43.6%32.2%4.8%-0.5%2.8M-59.4M-474.2K1.7822.924,4247,88263,16932,345
2015-10-27$40.71$38.8328.3%8.3%28.8%42.6%29.4%4.5%-0.8%2.0M-43.3M-475.2K0.5625.655,7783,26063,57535,521
2015-10-28$41.52$38.8327.3%7.6%29.1%38.3%27.9%5.0%0.7%2.8M-60.7M-473.3K0.3940.738,7353,43764,97036,787
2015-10-29$40.72$38.3524.2%7.5%30.7%25.2%27.9%5.2%-0.0%4.0M-51.8M-485.7K0.7324.1414,12210,37669,23236,095
2015-10-30$40.51$37.8824.2%7.5%30.3%25.0%27.9%4.4%0.2%2.5M-27.6M-409.2K0.6721.4315,01910,13363,11531,324