IP Options History — July 2016

In July 2016, IP traded between $39.58 and $43.42. ATM implied volatility averaged 23.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 6.8% (HV 20d: 30.5%). Max pain ranged from $38.83 to $41.67. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-07-15: Highest Volume — 22,404 contracts
  • 2016-07-28: Largest IV drop — 14.4% change
  • 2016-07-07: Highest IV Rank — 29.9%
  • 2016-07-07: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.94$39.58$43.42$40.49$43.42
Max Pain$40.25$38.83$41.67$38.83$41.67
ATM IV23.7%19.4%26.4%24.2%19.5%
Expected Move6.6%5.3%7.5%5.5%5.3%
HV 20d30.5%20.1%33.9%31.9%20.1%
HV 60d25.3%24.3%25.9%24.9%24.3%
IV Rank18.1%0.0%29.9%20.1%0.6%
IV Percentile24.0%0.0%50.0%25.0%0.4%
Term Structure-0.5%-1.4%0.4%-0.1%0.3%
VWIV24.2%19.0%26.9%21.3%19.0%
Skew 25d4.8%3.9%6.0%3.9%4.5%
Skew 10d10.0%4.4%24.8%12.3%9.4%
Call IV 25d21.9%18.0%24.5%23.1%18.0%
Put IV 25d26.7%22.5%29.7%27.1%22.5%
Bid-Ask Spread %34.7818.1370.7421.4829.22
Gamma HHI0.150.100.260.190.11
Net GEX3.7M-327.9K6.1M4.1M4.1M
Net DEX-67.9M-127.6M-26.4M-52.6M-81.9M
Net VEX-508.8K-544.4K-474.9K-496.1K-522.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.562.020.701.17
Total Volume9,491.25,52422,4048,17010,692
Total OI84,427.2574,76895,08889,36379,126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$40.49$38.8324.2%5.5%31.9%20.1%21.3%3.9%-0.1%4.1M-52.6M-496.1K0.7021.484,7973,37351,86937,494
2016-07-05$39.58$39.7726.3%7.3%32.8%29.6%26.3%5.0%-0.3%2.5M-26.4M-488.9K0.7430.253,3272,47050,37537,696
2016-07-06$39.73$39.7726.1%7.3%32.1%28.6%26.9%5.2%0.1%2.8M-28.8M-475.3K0.8021.673,0612,46350,55838,005
2016-07-07$39.64$39.7726.4%7.5%32.0%29.9%26.7%4.5%-0.6%2.6M-27.7M-483.8K0.8027.813,9933,20851,02638,218
2016-07-08$40.54$39.7724.6%6.9%33.0%21.7%24.1%4.7%0.4%5.0M-53.1M-474.9K0.6426.874,2282,72352,84538,048
2016-07-11$40.77$39.7725.1%6.7%32.9%24.1%24.6%5.0%-1.4%5.8M-62.0M-475.0K0.6933.744,1922,90852,73037,321
2016-07-12$41.83$39.7725.2%6.9%32.3%24.9%25.1%4.9%-1.4%6.1M-95.3M-481.0K0.8470.744,4583,72552,35238,068
2016-07-13$41.91$39.7724.7%6.6%32.1%22.3%22.4%5.0%-1.2%6.1M-97.9M-476.1K1.1053.073,5183,87653,13238,119
2016-07-14$41.74$39.7724.3%6.6%32.2%20.6%23.5%6.0%-1.3%5.2M-96.2M-486.3K1.5628.233,3675,25453,94438,671
2016-07-15$43.08$39.7724.5%6.8%33.7%21.4%23.9%4.4%-0.9%4.8M-127.6M-491.8K1.4232.579,24713,15754,20640,882
2016-07-18$43.13$40.7223.6%6.6%33.8%17.5%24.6%5.1%0.0%887.0K-67.6M-525.6K0.7357.115,5384,01642,91735,125
2016-07-19$42.56$40.7223.9%6.8%33.9%19.0%25.4%4.9%-0.5%-327.9K-55.4M-542.3K2.0246.324,6969,47044,40236,594
2016-07-20$42.69$40.7222.9%6.6%33.8%14.4%25.2%4.4%-0.4%1.7M-62.8M-533.5K0.5624.634,5612,54144,91733,606
2016-07-21$42.47$40.7223.4%6.7%33.9%16.4%26.3%5.0%-0.3%1.3M-59.0M-532.8K1.6453.254,3597,16345,54733,803
2016-07-22$42.78$40.7222.5%6.5%33.4%12.3%25.2%4.8%-0.5%3.6M-67.4M-544.4K1.7921.214,0797,29245,98834,873
2016-07-25$42.67$40.7222.7%6.6%29.4%13.5%24.9%5.1%-0.1%3.6M-64.0M-538.7K1.2145.453,9454,77544,92029,848
2016-07-26$43.26$40.7222.4%6.5%22.4%12.0%22.1%4.5%-0.1%3.9M-74.6M-542.5K1.0325.004,8895,02445,36330,334
2016-07-27$43.09$40.7222.6%6.8%22.5%13.0%25.4%4.1%-0.9%4.5M-76.1M-541.0K1.6018.133,6955,92747,02730,466
2016-07-28$43.35$40.7219.4%5.8%21.5%0.0%21.3%4.9%0.2%5.5M-81.6M-524.0K1.5828.853,8076,01046,93631,194
2016-07-29$43.42$41.6719.5%5.3%20.1%0.6%19.0%4.5%0.3%4.1M-81.9M-522.5K1.1729.224,9175,77547,35131,775