IP Options History — April 2016

In April 2016, IP traded between $37.47 and $41.86. ATM implied volatility averaged 26.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.1% (HV 20d: 19.9%). Max pain ranged from $36.93 to $39.77. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2016-04-13: Highest Volume — 18,116 contracts
  • 2016-04-21: Largest IV spike — 11.5% change
  • 2016-04-07: Highest IV Rank — 41.4%
  • 2016-04-21: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.53$37.47$41.86$38.81$40.99
Max Pain$39.14$36.93$39.77$36.93$39.77
ATM IV26.0%22.9%28.0%26.4%22.9%
Expected Move7.4%6.1%8.0%6.1%6.8%
HV 20d19.9%17.3%23.3%21.9%21.4%
HV 60d32.1%26.4%36.0%36.0%26.6%
IV Rank32.9%19.6%41.4%34.6%19.6%
IV Percentile49.0%19.0%65.5%56.0%19.0%
Term Structure-0.8%-2.4%0.3%-0.5%-0.9%
VWIV25.6%22.5%27.6%22.5%23.9%
Skew 25d4.2%2.7%5.4%4.1%4.8%
Skew 10d9.4%5.6%19.6%11.2%7.0%
Call IV 25d24.2%20.3%26.5%24.3%21.1%
Put IV 25d28.4%25.3%30.9%28.4%26.0%
Bid-Ask Spread %21.1912.5859.4912.9416.86
Gamma HHI0.200.130.380.220.18
Net GEX4.2M-51.1K7.3M5.8M6.5M
Net DEX-87.1M-133.7M-54.1M-115.7M-89.8M
Net VEX-494.9K-540.8K-453.0K-524.0K-540.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.432.790.891.66
Total Volume10,451.4766,48518,1169,04613,373
Total OI97,569.33372,719121,546110,43292,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$38.81$36.9326.4%6.1%21.9%34.6%22.5%4.1%-0.5%5.8M-115.7M-524.0K0.8912.944,7814,26572,46737,965
2016-04-04$38.41$39.7727.2%7.3%22.2%38.0%25.1%3.8%-0.3%5.1M-95.3M-510.7K1.0913.423,3883,69969,34236,386
2016-04-05$37.76$39.7727.8%7.8%23.3%40.4%26.2%4.4%-1.2%5.0M-68.5M-500.0K1.0612.583,8974,11770,00336,733
2016-04-06$38.07$39.7727.5%7.7%20.8%39.0%27.3%5.4%-0.8%5.1M-79.0M-499.2K1.2117.513,6544,41870,52536,893
2016-04-07$37.47$39.7728.0%7.8%21.1%41.4%26.2%5.2%-1.1%5.0M-56.2M-482.8K1.1115.943,4253,79970,85336,896
2016-04-08$38.01$39.7726.5%7.4%20.7%34.9%26.5%3.8%-2.4%4.9M-79.1M-484.5K1.4314.863,6145,17170,97736,860
2016-04-11$38.06$39.7726.4%7.5%20.0%34.4%26.4%4.7%0.3%4.8M-83.3M-472.2K2.2714.292,4385,54069,83637,322
2016-04-12$38.35$39.7726.4%7.5%19.8%34.5%27.6%3.6%-0.1%4.1M-92.6M-466.2K2.2514.092,7976,29770,22637,694
2016-04-13$39.13$38.8326.5%7.5%19.5%34.8%25.7%4.3%0.2%3.8M-125.7M-458.9K2.7952.484,78313,33370,84139,753
2016-04-14$38.79$38.8327.4%7.7%18.5%38.8%25.5%4.0%-0.7%-51.1K-105.7M-475.6K2.3459.494,43110,36971,49246,415
2016-04-15$39.49$38.8326.2%7.3%17.6%33.5%25.9%4.1%-1.2%1.1M-133.7M-461.6K1.2417.937,3309,07170,74750,799
2016-04-18$39.76$38.8324.9%7.2%17.3%28.4%25.3%4.3%-0.6%2.7M-54.1M-453.0K0.9526.903,5393,37542,85229,867
2016-04-19$40.62$38.8325.3%7.3%18.4%30.0%24.9%3.2%-1.0%3.3M-71.3M-463.1K1.0119.303,9924,01444,03130,509
2016-04-20$40.34$38.8324.8%7.1%18.6%27.7%25.4%4.1%-0.5%3.5M-68.7M-478.3K1.1717.592,9883,49745,63731,849
2016-04-21$40.35$38.8327.6%8.0%17.8%39.8%26.6%4.5%-1.5%3.5M-69.7M-475.2K2.2618.814,68510,57745,90232,018
2016-04-22$41.06$38.8327.0%7.9%18.6%37.2%27.2%2.7%-1.4%2.0M-76.5M-509.6K0.4316.9610,8744,71747,77639,103
2016-04-25$40.53$38.8326.2%7.6%19.4%33.8%26.7%4.1%-1.2%3.0M-66.1M-524.7K2.4415.944,11910,03453,93734,142
2016-04-26$41.11$38.8325.4%7.6%19.7%30.3%25.9%4.4%-0.7%5.0M-87.3M-535.8K0.6513.985,7453,73655,41730,722
2016-04-27$41.86$38.8323.3%6.7%20.1%21.3%23.5%4.9%-0.8%7.3M-114.1M-540.8K1.0222.434,1954,29958,62631,117
2016-04-28$41.17$39.7722.9%6.8%21.3%19.6%24.1%4.1%-0.8%7.0M-96.7M-536.6K1.2930.633,0974,00859,94131,920
2016-04-29$40.99$39.7722.9%6.8%21.4%19.6%23.9%4.8%-0.9%6.5M-89.8M-540.6K1.6616.865,0328,34160,24432,321