IP Options History — January 2016

In January 2016, IP traded between $30.88 and $35.90. ATM implied volatility averaged 32.4%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.1% (HV 20d: 28.3%). Max pain ranged from $32.20 to $37.88. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-01-25: Highest Volume — 13,279 contracts
  • 2016-01-25: Largest IV spike — 19.6% change
  • 2016-01-25: Highest IV Rank — 79.3%
  • 2016-01-25: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.60$30.88$35.90$35.60$31.42
Max Pain$35.11$32.20$37.88$37.88$32.20
ATM IV32.4%27.9%36.9%29.4%33.0%
Expected Move9.2%7.8%11.3%8.1%10.1%
HV 20d28.3%21.0%44.3%22.4%44.3%
HV 60d25.9%22.2%31.8%25.8%31.4%
IV Rank60.0%40.8%79.3%47.4%62.4%
IV Percentile92.8%79.0%99.2%86.1%93.7%
Term Structure-1.3%-4.6%1.0%1.0%-1.9%
VWIV31.9%27.8%38.9%28.1%36.2%
Skew 25d6.4%4.6%9.2%5.1%5.9%
Skew 10d13.6%2.1%23.2%12.1%14.7%
Call IV 25d29.8%26.1%33.1%27.7%32.0%
Put IV 25d36.2%31.0%40.9%32.8%37.9%
Bid-Ask Spread %38.6921.7977.7221.7929.95
Gamma HHI0.150.070.260.190.07
Net GEX-104.9K-958.7K1.1M551.7K-146.4K
Net DEX38.9M13.9M55.6M46.2M32.2M
Net VEX-196.1K-222.5K-152.7K-200.4K-203.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.342.040.591.25
Total Volume7,584.0534,80913,2796,3537,564
Total OI64,295.68433,75485,53379,58053,390

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$35.60$37.8829.4%8.1%22.4%47.4%28.1%5.1%1.0%551.7K46.2M-200.4K0.5921.793,9952,35853,49426,086
2016-01-05$35.90$36.9327.9%7.8%21.6%40.8%29.2%4.9%0.4%1.1M40.7M-209.2K0.5026.694,7752,40854,49825,916
2016-01-06$35.40$36.9328.6%8.2%21.7%43.7%30.1%4.7%0.6%782.5K43.5M-207.6K0.6038.374,9532,99055,56226,059
2016-01-07$34.42$36.9331.8%8.5%23.2%57.6%28.1%5.2%-4.3%-439.3K52.7M-194.4K0.5734.435,7573,27756,11126,857
2016-01-08$33.92$35.9831.3%8.6%23.4%55.5%28.1%5.2%-0.3%-840.5K55.6M-188.9K0.3436.917,9012,71055,98226,935
2016-01-11$34.53$35.9831.1%8.5%24.3%54.5%29.2%6.2%-1.4%-446.3K49.7M-190.2K0.8660.333,2462,79755,87226,659
2016-01-12$34.42$35.9830.3%8.4%23.8%51.1%27.8%5.1%-0.7%-694.7K50.7M-193.0K1.2277.722,1762,64856,26226,902
2016-01-13$34.16$35.9832.2%8.7%23.4%59.2%29.0%8.9%-1.5%-958.7K51.5M-199.6K1.2460.202,1502,65956,46227,128
2016-01-14$34.59$35.9834.6%9.2%23.0%69.6%29.7%6.7%-4.6%-754.0K48.9M-200.8K1.5337.082,3813,63756,70427,252
2016-01-15$34.53$35.0435.8%9.7%22.5%74.6%32.7%9.2%-1.5%-94.1K49.0M-205.9K2.0440.691,7853,64657,49028,043
2016-01-19$33.81$35.0432.8%9.3%22.6%61.6%31.8%7.3%-0.8%-30.2K23.8M-192.0K0.6645.273,8812,56518,05215,702
2016-01-20$33.46$35.0433.8%9.7%21.3%66.1%31.9%7.9%-2.0%142.4K24.0M-192.2K0.5935.624,5612,67020,42016,326
2016-01-21$33.64$34.5633.1%9.5%21.0%63.0%31.7%7.4%-0.0%264.6K20.9M-207.7K0.5033.035,4672,70821,78517,005
2016-01-22$34.50$34.5630.9%9.0%22.8%53.6%31.5%7.0%-1.3%502.6K13.9M-222.5K1.0730.252,5332,72323,52017,080
2016-01-25$30.88$34.5636.9%11.3%44.0%79.3%38.7%6.8%-2.0%-38.5K32.1M-152.7K1.2531.495,9027,37723,25016,404
2016-01-26$31.13$33.1434.8%10.4%44.1%70.4%38.9%4.6%-2.1%-201.4K33.5M-180.6K1.4030.654,2365,91526,52121,391
2016-01-27$31.15$32.2033.0%9.9%44.2%62.5%36.8%7.3%-0.9%-291.4K33.9M-191.7K1.5739.213,7285,86328,09423,557
2016-01-28$30.96$32.2034.1%10.3%43.5%67.2%36.6%5.4%-1.7%-371.2K35.7M-193.9K1.2425.383,6344,52128,84024,007
2016-01-29$31.42$32.2033.0%10.1%44.3%62.4%36.2%5.9%-1.9%-146.4K32.2M-203.0K1.2529.953,3634,20129,08124,309