IP Options History — May 2016

In May 2016, IP traded between $38.14 and $41.11. ATM implied volatility averaged 22.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.7% (HV 20d: 22.2%). Max pain ranged from $38.83 to $39.77. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-05-25: Highest Volume — 21,275 contracts
  • 2016-05-24: Largest IV drop — 6.4% change
  • 2016-05-18: Highest IV Rank — 29.5%
  • 2016-05-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.63$38.14$41.11$41.11$39.98
Max Pain$39.50$38.83$39.77$39.77$38.83
ATM IV22.9%21.7%25.2%22.4%22.2%
Expected Move6.6%5.9%7.7%6.8%6.1%
HV 20d22.2%20.9%23.1%20.9%21.8%
HV 60d24.0%21.5%27.1%26.2%21.5%
IV Rank19.6%13.8%29.5%17.4%15.9%
IV Percentile20.0%9.5%42.5%18.3%13.9%
Term Structure-0.2%-1.2%1.0%0.5%-0.1%
VWIV23.4%20.5%27.3%24.6%20.5%
Skew 25d4.4%3.4%5.7%4.0%4.3%
Skew 10d9.4%3.9%16.5%8.0%12.3%
Call IV 25d21.3%19.8%23.5%21.0%20.6%
Put IV 25d25.7%24.0%28.5%25.0%24.9%
Bid-Ask Spread %38.2114.5361.1320.7033.87
Gamma HHI0.170.110.270.180.17
Net GEX4.6M333.6K8.9M5.8M5.4M
Net DEX-43.8M-83.6M9.9M-83.6M-54.5M
Net VEX-522.2K-564.1K-476.2K-564.1K-537.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.282.432.430.63
Total Volume9,173.9525,31421,27512,0987,202
Total OI93,04680,711100,85792,92783,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$41.11$39.7722.4%6.8%20.9%17.4%24.6%4.0%0.5%5.8M-83.6M-564.1K2.4320.703,5268,57259,37333,554
2016-05-03$39.93$39.7723.5%7.5%22.8%22.2%26.3%5.3%-0.1%4.0M-46.1M-542.1K0.8918.154,6714,15258,84833,616
2016-05-04$39.54$39.7724.1%7.7%23.1%24.8%27.3%4.8%-0.7%3.7M-36.5M-544.7K0.8123.073,4812,82060,16134,136
2016-05-05$39.30$39.7723.3%7.0%22.4%21.4%24.4%4.5%0.1%3.5M-31.0M-533.8K1.1037.782,5292,78560,49034,203
2016-05-06$39.87$39.7722.7%6.6%22.4%18.6%23.7%4.4%0.4%5.0M-46.5M-533.3K0.6521.534,5032,93560,56634,283
2016-05-09$40.27$39.7722.5%6.2%22.5%17.9%23.1%4.2%-1.2%5.5M-60.6M-528.3K0.6714.983,8112,55660,02632,509
2016-05-10$40.80$39.7721.9%6.0%22.7%15.3%20.8%4.2%-0.7%7.0M-76.6M-528.5K0.7514.535,0533,77560,80632,721
2016-05-11$40.58$39.7721.8%6.2%22.0%15.1%22.7%4.0%-0.3%6.4M-72.4M-545.8K0.5322.224,6212,46662,58233,730
2016-05-12$40.35$39.7722.2%6.1%21.8%16.8%22.2%4.5%-1.1%6.1M-66.1M-533.9K0.4121.415,8882,41362,78233,805
2016-05-13$39.73$39.7722.7%6.5%21.8%18.7%23.3%4.2%0.1%6.2M-44.2M-521.3K0.5261.134,8872,55163,57233,936
2016-05-16$39.96$39.7722.8%6.5%21.8%19.3%24.9%4.7%0.9%3.9M-47.8M-512.9K0.5961.014,1302,44662,00733,345
2016-05-17$38.94$39.7724.1%6.9%22.2%24.7%24.3%4.8%0.2%3.0M-19.9M-493.6K0.8360.144,0163,34062,46633,545
2016-05-18$38.14$39.7725.2%7.2%23.1%29.5%24.0%5.7%-0.7%931.0K4.9M-485.8K0.9957.563,7883,74862,89537,103
2016-05-19$38.16$39.7724.9%7.2%23.1%28.1%25.6%4.1%-1.1%499.8K9.9M-476.2K1.2248.742,5303,08563,13137,579
2016-05-20$38.24$39.7724.0%6.9%21.9%24.3%24.5%4.4%-0.5%333.6K6.3M-477.3K0.5343.628,0144,20763,27037,587
2016-05-23$38.76$38.8323.4%6.5%22.4%21.9%23.3%3.8%-0.3%2.1M-23.9M-490.9K0.6534.027,1704,67748,45932,252
2016-05-24$39.26$38.8321.9%6.0%22.3%15.0%22.9%4.7%-0.2%4.6M-37.2M-507.6K0.4552.538,9774,00952,05431,966
2016-05-25$39.92$38.8322.1%6.1%22.2%15.8%20.7%3.4%0.0%6.1M-60.9M-521.3K0.2842.2816,6804,59550,89232,187
2016-05-26$39.64$38.8321.8%6.0%21.6%14.1%21.7%4.1%0.4%8.9M-61.9M-542.7K0.4557.929,4444,23257,50434,261
2016-05-27$39.85$38.8321.7%5.9%21.8%13.8%20.9%4.0%1.0%8.3M-71.7M-545.3K0.4755.185,6792,68957,94434,388
2016-05-31$39.98$38.8322.2%6.1%21.8%15.9%20.5%4.3%-0.1%5.4M-54.5M-537.1K0.6333.874,4232,77952,17031,262