IP Options History — November 2015

In November 2015, IP traded between $37.83 and $41.11. ATM implied volatility averaged 25.6%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.7% (HV 20d: 26.2%). Max pain ranged from $37.88 to $40.72. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-11-02: Highest Volume — 24,351 contracts
  • 2015-11-24: Largest IV drop — 5.6% change
  • 2015-11-17: Highest IV Rank — 43.6%
  • 2015-11-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.39$37.83$41.11$41.11$39.61
Max Pain$40.29$37.88$40.72$37.88$40.72
ATM IV25.6%23.4%28.5%23.9%23.4%
Expected Move7.4%6.8%8.2%7.3%6.8%
HV 20d26.2%22.3%30.6%29.7%22.3%
HV 60d28.0%25.5%30.1%29.2%25.5%
IV Rank30.9%21.8%43.6%23.9%21.8%
IV Percentile64.4%38.9%83.7%50.0%38.9%
Term Structure-0.1%-0.8%0.9%0.7%0.4%
VWIV25.2%17.8%29.0%25.9%24.4%
Skew 25d4.2%2.6%5.5%2.9%3.9%
Skew 10d8.3%1.9%16.1%9.5%5.8%
Call IV 25d24.3%22.4%27.0%23.1%22.4%
Put IV 25d28.5%26.1%31.9%26.1%26.3%
Bid-Ask Spread %40.9617.5663.6722.3817.56
Gamma HHI0.130.080.420.110.12
Net GEX1.7M-1.1M8.0M3.3M1.4M
Net DEX3.1M-40.2M36.3M-40.2M5.4M
Net VEX-324.4K-403.8K-278.8K-403.8K-279.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.155.460.670.37
Total Volume9,225.91,17724,35124,3513,335
Total OI91,032.479,510100,86791,42079,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$41.11$37.8823.9%7.3%29.7%23.9%25.9%2.9%0.7%3.3M-40.2M-403.8K0.6722.3814,6139,73861,73429,686
2015-11-03$40.87$37.8824.7%7.5%29.9%27.3%26.6%2.6%-0.3%3.0M-34.5M-390.4K0.7045.9814,2839,94961,88529,793
2015-11-04$40.26$37.8824.5%7.6%30.6%26.4%27.9%4.3%-0.3%2.2M-18.7M-370.0K2.0551.454,7499,75462,27530,115
2015-11-05$39.84$40.7225.0%7.2%30.1%28.6%23.5%3.9%-0.4%1.6M-8.4M-362.9K2.0557.734,7389,72562,47530,168
2015-11-06$40.29$40.7224.3%6.9%25.3%25.7%23.6%3.6%0.1%1.1M-15.4M-364.6K0.3563.671,12839062,67930,272
2015-11-09$39.88$40.7225.1%7.3%23.7%29.2%25.5%3.4%0.1%1.6M-7.5M-346.6K0.5762.5175042761,42428,826
2015-11-10$39.71$40.7224.7%7.1%23.8%27.2%26.1%3.9%-0.3%1.4M-2.4M-338.8K0.3942.955,0841,99562,08429,141
2015-11-11$39.76$40.7225.2%7.2%23.8%29.4%25.4%3.8%-0.1%1.7M-5.5M-329.8K0.3535.865,7021,99563,27629,335
2015-11-12$38.11$40.7226.4%7.7%28.1%34.3%25.4%5.0%0.9%-12.4K28.3M-289.7K0.3537.476,7252,37860,76529,949
2015-11-13$38.05$40.7227.8%7.8%28.1%40.5%24.6%5.3%-0.8%255.6K29.4M-286.0K1.2224.676,8288,35561,28930,147
2015-11-16$37.87$40.7228.0%8.0%27.8%41.5%28.6%5.1%-0.0%-240.8K35.4M-278.8K5.4626.726813,71660,73031,517
2015-11-17$37.83$40.7228.5%8.2%27.7%43.6%17.8%4.9%-0.4%-1.1M36.3M-296.9K1.1448.556,5467,49261,26834,656
2015-11-18$38.92$40.7227.7%7.9%29.7%39.8%29.0%5.5%-0.1%260.3K15.9M-316.3K2.0353.783,2356,55064,55934,834
2015-11-19$39.05$40.7227.6%7.9%26.6%39.5%25.5%4.4%-0.5%91.0K13.9M-315.0K1.4351.923,6405,20564,99534,864
2015-11-20$39.02$40.7226.3%7.6%23.9%34.1%25.3%5.3%-0.6%859.0K17.7M-307.1K0.6254.418,0114,99265,71235,155
2015-11-23$39.01$40.7225.7%7.3%23.9%31.4%23.8%4.4%-0.8%1.7M12.8M-298.4K0.4642.8590141555,27327,340
2015-11-24$39.61$40.7224.2%7.0%24.4%25.3%24.5%2.9%-0.1%3.1M267.3K-307.0K0.1539.491,42221955,97927,496
2015-11-25$39.44$40.7224.4%7.0%23.1%26.2%24.3%3.8%-0.1%3.9M60.6K-310.9K0.4921.542,9251,43457,02427,539
2015-11-27$39.63$40.7223.6%6.8%22.4%22.5%25.7%4.2%-0.2%8.0M-836.2K-295.4K0.6717.752,6831,81057,28827,591
2015-11-30$39.61$40.7223.4%6.8%22.3%21.8%24.4%3.9%0.4%1.4M5.4M-279.9K0.3717.562,43590053,32426,186