IP Options History — February 2016

In February 2016, IP traded between $31.43 and $33.88. ATM implied volatility averaged 30.8%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 14.0% (HV 20d: 44.8%). Max pain ranged from $31.72 to $33.14. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-02-04: Highest Volume — 13,988 contracts
  • 2016-02-11: Largest IV spike — 19.5% change
  • 2016-02-11: Highest IV Rank — 84.8%
  • 2016-02-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.79$31.43$33.88$32.31$33.88
Max Pain$32.41$31.72$33.14$32.20$32.20
ATM IV30.8%26.5%38.2%31.5%26.5%
Expected Move8.9%7.7%10.3%9.5%7.7%
HV 20d44.8%33.2%52.9%45.9%33.4%
HV 60d33.6%32.0%35.1%32.1%35.1%
IV Rank53.1%34.8%84.8%56.4%34.8%
IV Percentile80.8%57.5%99.2%88.5%57.5%
Term Structure-0.5%-3.9%0.4%-0.3%-0.4%
VWIV31.7%26.7%36.4%34.4%27.0%
Skew 25d5.8%4.0%7.2%6.1%4.0%
Skew 10d15.6%6.5%25.9%25.9%18.0%
Call IV 25d29.2%25.6%35.4%29.8%25.6%
Put IV 25d35.0%29.6%42.6%36.0%29.6%
Bid-Ask Spread %58.0829.4774.7531.2060.11
Gamma HHI0.120.060.190.070.14
Net GEX1.3M141.1K2.6M308.4K2.0M
Net DEX7.5M-11.7M26.8M23.9M-11.7M
Net VEX-294.4K-355.5K-219.4K-219.4K-355.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.311.810.960.71
Total Volume9,978.46,11713,9887,92012,949
Total OI63,075.551,96171,38451,96160,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$32.31$32.2031.5%9.5%45.9%56.4%34.4%6.1%-0.3%308.4K23.9M-219.4K0.9631.204,0373,88328,58423,377
2016-02-02$32.02$32.2032.2%10.2%46.0%59.1%34.7%6.3%0.1%141.1K26.8M-228.7K0.5333.365,8723,13429,21624,513
2016-02-03$32.31$31.7232.6%9.5%46.0%60.9%32.2%7.2%-1.2%659.3K22.8M-240.3K0.3737.079,6913,54731,91725,020
2016-02-04$33.13$33.1429.1%8.4%47.1%46.2%29.7%5.7%0.2%1.6M7.8M-277.1K0.3129.4710,6983,29036,35825,908
2016-02-05$33.08$32.2029.4%8.5%46.2%47.4%31.2%6.2%-0.7%2.6M125.0K-292.3K0.6635.915,1633,39940,02225,926
2016-02-08$32.55$32.2032.9%9.5%46.2%62.0%34.3%6.1%0.2%1.8M8.9M-276.3K1.1757.952,8233,29438,56723,121
2016-02-09$33.31$32.2032.1%9.2%46.6%58.7%34.1%6.4%0.2%2.6M-3.2M-294.7K1.1370.302,8853,26141,14924,143
2016-02-10$32.92$32.2032.0%9.1%46.7%58.3%33.7%6.4%-0.1%2.6M386.0K-284.0K0.4972.236,0372,94241,66724,116
2016-02-11$31.43$33.1438.2%10.3%49.3%84.8%36.4%7.2%-3.9%441.9K23.4M-264.5K0.8560.144,4163,73536,41324,785
2016-02-12$32.32$32.2034.9%10.0%50.2%70.6%35.7%6.1%0.3%799.5K13.2M-290.9K0.7370.627,4935,44237,84026,178
2016-02-16$33.19$33.1433.4%9.6%51.4%64.3%35.2%5.5%-0.6%1.6M298.8K-319.2K1.8169.343,2255,84037,91527,355
2016-02-17$33.70$33.1430.5%8.8%51.2%52.1%30.0%6.5%0.1%2.0M-8.6M-328.5K1.1573.805,5826,44538,51828,649
2016-02-18$33.44$33.1429.2%8.4%51.1%46.3%32.4%5.4%-0.8%1.8M-2.9M-322.8K0.6474.757,6904,94839,75329,150
2016-02-19$32.16$32.2031.0%9.1%52.9%54.0%32.9%5.5%-1.7%1.3M18.5M-304.4K0.7266.186,7434,86741,85929,525
2016-02-22$32.49$32.2028.2%8.1%52.1%42.2%28.3%6.2%0.1%553.9K12.3M-312.2K0.5261.966,4483,35135,52426,126
2016-02-23$32.41$32.2028.6%8.4%33.2%44.0%28.3%5.0%-0.5%575.5K12.9M-313.3K0.5768.465,6143,22536,65426,893
2016-02-24$32.86$32.2028.5%8.4%33.4%43.7%28.1%4.0%-0.7%677.7K6.3M-316.7K0.5361.725,3902,84536,75727,130
2016-02-25$32.93$32.2027.9%7.8%33.3%41.0%29.2%5.2%0.4%617.8K4.7M-317.3K0.4962.556,1663,00037,46227,308
2016-02-26$33.39$32.2026.5%7.8%33.4%34.8%26.7%4.3%0.2%1.7M-6.5M-329.7K0.4564.517,0113,18737,94527,577
2016-02-29$33.88$32.2026.5%7.7%33.4%34.8%27.0%4.0%-0.4%2.0M-11.7M-355.5K0.7160.117,5885,36136,60023,990