IP Options History — December 2015

In December 2015, IP traded between $34.91 and $39.03. ATM implied volatility averaged 26.5%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.2% (HV 20d: 23.2%). Max pain ranged from $37.88 to $40.72. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-12-30: Highest Volume — 20,570 contracts
  • 2015-12-16: Largest IV drop — 10.3% change
  • 2015-12-14: Highest IV Rank — 52.6%
  • 2015-12-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.58$34.91$39.03$39.03$35.80
Max Pain$39.26$37.88$40.72$40.72$37.88
ATM IV26.5%24.1%30.6%24.1%25.8%
Expected Move7.5%6.8%8.7%7.3%7.0%
HV 20d23.2%20.9%24.9%22.0%22.6%
HV 60d26.0%25.3%26.8%25.6%25.9%
IV Rank34.8%24.7%52.6%24.7%32.0%
IV Percentile69.3%45.6%90.9%45.6%64.3%
Term Structure0.3%-1.5%2.6%-0.2%0.2%
VWIV25.9%22.8%32.4%25.6%23.0%
Skew 25d4.8%3.7%6.6%3.7%4.5%
Skew 10d9.3%4.4%13.0%5.2%10.0%
Call IV 25d24.9%22.6%28.4%22.7%24.8%
Put IV 25d29.7%26.5%35.0%26.5%29.3%
Bid-Ask Spread %19.4412.5527.9112.5518.14
Gamma HHI0.140.110.190.110.17
Net GEX139.1K-1.3M1.7M949.3K-141.4K
Net DEX46.8M15.4M89.8M15.4M44.8M
Net VEX-226.8K-268.4K-204.6K-268.4K-209.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.191.960.750.94
Total Volume8,052.2271,16720,5701,1676,216
Total OI85,070.31877,01397,28982,26380,762

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$39.03$40.7224.1%7.3%22.0%24.7%25.6%3.7%-0.2%949.3K15.4M-268.4K0.7512.5566550255,34226,921
2015-12-02$37.92$40.7225.1%7.7%23.9%29.2%26.5%4.5%0.1%-27.8K32.3M-245.2K0.6320.103,9532,48855,52627,275
2015-12-03$37.46$39.7725.8%7.3%23.7%32.0%26.3%4.5%0.0%-258.2K39.9M-227.5K0.6623.443,8842,57855,54127,634
2015-12-04$38.11$39.7724.4%7.2%24.7%26.0%26.2%3.8%0.3%-65.1K33.4M-242.9K0.6817.088,9206,03655,67027,790
2015-12-07$37.67$39.7724.9%7.2%24.3%28.1%25.8%4.2%0.1%160.4K37.4M-239.8K0.9817.5976574956,90930,756
2015-12-08$37.20$39.7726.5%7.7%24.4%35.0%26.4%5.1%-0.1%-248.4K43.8M-223.9K0.8514.714,6593,96657,38731,213
2015-12-09$37.28$39.7726.7%7.9%24.5%35.7%26.8%5.3%0.7%-147.6K41.1M-226.0K0.8516.724,5663,87457,53130,932
2015-12-10$36.69$39.7727.4%7.7%24.9%38.8%27.4%5.1%-0.4%-670.6K50.2M-208.3K0.5620.034,7252,66657,72831,146
2015-12-11$36.08$39.7729.7%8.5%20.9%48.5%27.9%6.0%-0.2%-1.3M56.1M-205.2K1.9617.534,0357,92157,85431,206
2015-12-14$35.54$39.7730.6%8.7%21.4%52.6%32.4%6.6%-0.2%-897.6K69.9M-224.5K1.8419.804,0087,36756,15234,190
2015-12-15$36.13$39.7729.0%8.3%22.5%45.7%27.8%4.7%-0.3%-711.5K64.9M-240.3K0.5921.545,4333,21356,68434,651
2015-12-16$36.52$39.7726.0%7.5%23.0%32.9%25.8%4.9%0.8%-250.7K60.0M-234.2K0.6127.915,0383,06158,29635,125
2015-12-17$35.80$39.7725.9%7.5%20.9%32.5%26.5%4.0%-1.1%-65.5K66.1M-222.7K1.8121.483,4866,31958,61935,028
2015-12-18$34.91$39.7727.2%7.9%21.9%38.0%26.3%4.6%-1.5%-60.1K89.8M-208.0K0.7418.814,2623,15058,64938,640
2015-12-21$35.27$38.8328.1%7.9%22.5%41.8%26.3%6.1%1.3%-12.4K50.1M-204.6K0.5421.604,6562,50450,96826,045
2015-12-22$35.64$38.8326.2%7.4%23.2%33.7%24.9%4.7%2.4%436.2K46.1M-220.7K0.5323.514,3642,31551,16626,208
2015-12-23$36.31$37.8824.6%6.8%23.5%26.6%22.8%4.9%2.6%840.3K39.8M-232.0K0.4718.555,1822,42051,66026,284
2015-12-24$36.48$37.8824.8%6.8%23.7%27.9%24.2%5.0%1.9%1.4M35.5M-235.5K0.7019.603,4902,44153,69926,332
2015-12-28$36.12$37.8826.6%7.3%23.6%35.4%25.0%5.3%0.4%1.1M39.1M-225.2K0.7720.143,0052,30953,17525,692
2015-12-29$36.62$37.8826.6%6.8%24.5%35.2%23.2%4.3%-0.5%1.7M34.9M-225.1K0.6918.843,1822,20653,46325,898
2015-12-30$36.23$37.8826.2%6.9%24.3%33.8%22.8%4.7%-0.2%1.3M38.8M-220.5K0.1918.1217,3113,25953,75826,042
2015-12-31$35.80$37.8825.8%7.0%22.6%32.0%23.0%4.5%0.2%-141.4K44.8M-209.9K0.9418.143,2063,01053,79526,967