IP Options History — June 2016

In June 2016, IP traded between $37.52 and $41.77. ATM implied volatility averaged 23.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.8% (HV 20d: 21.8%). Max pain ranged from $37.88 to $38.83. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-06-02: Highest Volume — 17,506 contracts
  • 2016-06-24: Largest IV spike — 24.4% change
  • 2016-06-27: Highest IV Rank — 54.2%
  • 2016-06-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.05$37.52$41.77$39.84$40.04
Max Pain$38.48$37.88$38.83$38.83$38.83
ATM IV23.5%19.8%31.7%22.1%24.6%
Expected Move6.6%5.8%9.1%6.2%5.8%
HV 20d21.8%18.3%31.6%19.2%31.6%
HV 60d21.2%19.9%25.0%21.5%25.0%
IV Rank20.2%5.6%54.2%15.5%21.9%
IV Percentile25.6%4.4%85.7%13.1%31.3%
Term Structure0.4%-1.2%2.3%-0.3%0.0%
VWIV24.5%21.1%31.8%21.3%22.8%
Skew 25d4.8%3.2%7.8%4.0%3.6%
Skew 10d10.4%0.7%19.4%0.7%19.4%
Call IV 25d21.9%18.7%29.2%20.9%23.9%
Put IV 25d26.7%21.9%37.0%24.9%27.5%
Bid-Ask Spread %21.7112.3038.6638.6621.18
Gamma HHI0.150.080.240.170.15
Net GEX3.9M318.5K6.3M4.9M3.7M
Net DEX-45.4M-101.4M17.0M-49.2M-38.5M
Net VEX-514.6K-554.9K-449.5K-528.2K-483.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.302.440.611.10
Total Volume7,100.8644,36117,5066,4615,573
Total OI88,292.18281,40794,39484,26988,882

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$39.84$38.8322.1%6.2%19.2%15.5%21.3%4.0%-0.3%4.9M-49.2M-528.2K0.6138.664,0112,45052,40531,864
2016-06-02$40.62$37.8821.6%6.1%20.0%13.5%21.6%4.0%-0.8%6.2M-71.8M-547.1K0.3021.3913,4644,04252,69731,973
2016-06-03$40.66$37.8821.4%5.9%19.8%12.6%22.1%3.9%-0.4%6.3M-80.7M-554.9K0.4729.495,7002,65657,66033,635
2016-06-06$40.83$37.8820.7%6.1%19.3%9.5%21.8%3.9%0.2%5.6M-74.6M-522.9K0.7312.304,6573,39951,61033,252
2016-06-07$41.59$37.8819.8%5.8%20.0%5.6%21.6%3.2%0.7%5.5M-96.0M-527.0K0.6015.894,8942,94752,32234,115
2016-06-08$41.77$37.8820.2%5.8%19.6%7.3%21.1%3.4%0.3%5.7M-101.4M-531.0K0.6918.903,6462,50853,61334,884
2016-06-09$41.32$37.8820.4%5.8%19.9%8.1%21.8%3.8%-0.4%5.9M-88.2M-534.9K0.6918.223,2162,20553,79535,220
2016-06-10$40.87$37.8822.2%6.4%20.2%16.0%23.7%4.2%0.5%5.4M-74.3M-537.2K0.7918.573,1562,48653,97535,569
2016-06-13$39.73$37.8825.3%7.3%22.0%28.5%26.8%6.6%-1.2%4.3M-39.5M-530.9K0.9616.263,6433,49953,67335,816
2016-06-14$39.49$38.8325.2%7.2%22.0%28.5%28.2%6.3%-0.4%3.3M-23.6M-535.7K1.3217.742,2973,02854,01339,430
2016-06-15$39.38$38.8324.1%6.9%19.9%23.7%25.3%5.9%0.6%3.2M-19.8M-517.4K1.2437.562,1862,72054,23239,768
2016-06-16$39.52$38.8324.4%7.0%18.3%24.9%25.9%5.2%-0.5%3.3M-19.7M-516.9K1.2218.701,9622,39954,12739,794
2016-06-17$39.70$38.8323.9%6.8%18.3%22.5%26.1%5.8%0.5%2.5M-22.0M-515.5K1.0715.092,4032,57054,27240,122
2016-06-20$40.39$38.8322.3%6.3%19.1%15.9%22.8%4.3%1.9%3.5M-45.0M-498.6K0.6418.233,8852,48146,59334,814
2016-06-21$40.24$38.8322.4%6.5%18.8%13.7%24.8%4.8%1.9%3.8M-44.9M-509.6K2.3817.052,7716,60148,83235,139
2016-06-22$40.19$38.8322.8%6.8%18.4%14.5%26.4%4.9%2.2%3.7M-42.0M-514.7K1.8914.812,9545,59049,79836,214
2016-06-23$40.98$38.8321.6%5.9%18.7%8.9%25.0%5.1%2.3%5.0M-63.4M-521.6K2.4424.792,4265,92851,06137,150
2016-06-24$39.33$38.8326.8%7.8%23.9%32.2%27.7%6.2%1.0%2.1M-15.8M-503.3K0.7032.374,6333,25751,32737,563
2016-06-27$37.52$38.8331.7%9.1%28.9%54.2%31.8%7.8%-0.5%318.5K17.0M-449.5K0.7629.053,6582,77449,72536,167
2016-06-28$38.10$38.8328.0%7.6%29.6%37.2%26.3%5.0%-0.2%480.9K8.7M-460.4K1.0728.132,8773,07450,23336,898
2016-06-29$39.02$38.8326.4%6.6%31.0%29.9%23.2%4.8%0.8%1.7M-13.2M-479.6K1.1413.182,6142,97951,06537,131
2016-06-30$40.04$38.8324.6%5.8%31.6%21.9%22.8%3.6%0.0%3.7M-38.5M-483.1K1.1021.182,6482,92551,50237,380