IP Options History — March 2016

In March 2016, IP traded between $34.68 and $39.17. ATM implied volatility averaged 25.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.3% (HV 20d: 29.6%). Max pain ranged from $33.14 to $36.93. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-03-03: Highest Volume — 32,204 contracts
  • 2016-03-15: Largest IV spike — 14.9% change
  • 2016-03-15: Highest IV Rank — 40.4%
  • 2016-03-15: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.69$34.68$39.17$34.68$38.88
Max Pain$35.06$33.14$36.93$33.14$36.93
ATM IV25.3%23.8%27.8%25.2%26.6%
Expected Move7.1%6.3%8.0%7.2%6.3%
HV 20d29.6%24.9%35.6%33.0%25.7%
HV 60d36.1%35.0%36.4%35.1%36.0%
IV Rank29.9%23.5%40.4%29.5%35.6%
IV Percentile45.4%25.8%64.3%48.4%58.7%
Term Structure0.3%-2.4%2.7%0.3%-0.1%
VWIV25.7%22.0%28.2%28.2%22.0%
Skew 25d4.5%3.6%5.4%4.8%3.7%
Skew 10d11.0%4.5%23.3%17.1%8.1%
Call IV 25d23.7%22.4%25.7%23.5%24.8%
Put IV 25d28.2%26.7%30.9%28.3%28.5%
Bid-Ask Spread %22.518.5362.7153.3510.04
Gamma HHI0.200.110.280.130.23
Net GEX3.8M-1.1M6.5M1.9M4.9M
Net DEX-100.7M-147.4M-19.4M-19.4M-116.8M
Net VEX-500.1K-554.6K-363.0K-363.0K-526.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.162.790.580.70
Total Volume13,749.8186,81432,20410,8739,320
Total OI98,157.40964,543116,41564,543108,615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$34.68$33.1425.2%7.2%33.0%29.5%28.2%4.8%0.3%1.9M-19.4M-363.0K0.5853.356,8753,99838,13226,411
2016-03-02$34.81$33.6223.8%6.9%32.6%23.5%25.8%4.1%0.2%2.2M-25.2M-370.3K0.6535.386,8354,46340,53526,934
2016-03-03$36.30$33.1424.2%7.3%35.3%25.0%26.2%5.4%0.2%2.5M-50.5M-392.7K0.1624.0327,8644,34041,91327,801
2016-03-04$36.72$33.1424.1%7.1%34.6%24.6%24.4%4.4%0.4%5.3M-90.1M-478.6K0.5229.639,2984,86259,08228,085
2016-03-07$36.85$33.1424.4%7.2%34.5%26.0%25.0%4.6%0.5%5.7M-91.2M-492.3K0.3518.0910,5763,74559,78828,122
2016-03-08$35.85$33.1426.1%7.6%35.6%33.3%26.9%4.3%0.6%5.4M-68.6M-491.7K0.4862.717,3293,54062,48628,782
2016-03-09$36.45$33.1425.5%7.6%35.3%30.7%26.3%4.4%0.8%5.9M-81.6M-493.2K0.6026.446,1063,65162,54529,085
2016-03-10$37.14$33.1425.6%7.4%35.0%30.9%27.2%5.0%0.4%6.5M-104.3M-498.7K0.8819.024,9714,35564,07829,782
2016-03-11$37.73$33.1423.9%6.9%29.2%23.9%25.2%4.4%0.3%5.8M-121.6M-495.4K1.1715.144,2564,95964,97030,578
2016-03-14$38.13$33.1424.2%6.9%28.3%25.1%25.0%4.7%-0.7%5.5M-127.1M-490.9K1.068.533,7523,97264,17530,575
2016-03-15$37.40$33.1427.8%8.0%29.1%40.4%27.9%4.7%-2.4%5.4M-105.8M-500.1K2.7914.854,20811,76165,20731,925
2016-03-16$38.21$36.9325.8%7.4%29.5%31.9%27.6%4.7%-0.8%4.0M-121.0M-518.4K0.9338.016,4906,03765,95939,728
2016-03-17$39.14$36.9324.4%7.0%29.6%26.2%24.4%4.0%-0.4%3.4M-147.4M-519.7K0.4522.169,5204,30667,35441,165
2016-03-18$38.75$36.9325.2%7.3%24.9%29.6%26.2%4.7%-0.9%4.1M-144.4M-545.4K2.3124.948,07118,60572,72942,203
2016-03-21$39.17$36.9324.9%7.3%24.9%27.9%27.5%3.6%2.7%-243.5K-123.2M-551.3K2.5816.187,95120,51167,18348,157
2016-03-22$39.11$36.9325.1%7.3%24.9%29.2%26.7%4.4%1.8%-375.5K-120.5M-553.3K1.0312.826,5836,81368,21347,086
2016-03-23$38.59$36.9325.4%7.3%26.1%30.5%25.5%3.9%1.5%-1.1M-104.2M-552.3K1.1915.715,5666,63768,99344,721
2016-03-24$38.64$36.9325.3%7.0%26.1%30.0%24.3%4.9%2.5%3.6M-110.0M-554.6K0.6712.128,2485,49870,15046,265
2016-03-28$38.67$36.9326.8%7.0%26.1%36.1%24.5%5.2%-0.3%4.4M-107.3M-549.6K0.4915.316,2023,03068,63836,908
2016-03-29$39.08$36.9326.2%6.7%26.0%33.5%26.1%4.8%-0.1%4.4M-120.3M-533.2K0.4811.697,1383,44068,85937,398
2016-03-30$38.84$36.9326.4%6.5%25.7%34.5%22.9%4.1%-0.4%4.8M-115.8M-531.5K0.799.183,8152,99970,38137,767
2016-03-31$38.88$36.9326.6%6.3%25.7%35.6%22.0%3.7%-0.1%4.9M-116.8M-526.6K0.7010.045,4863,83470,56938,046