IP Options History — August 2016

In August 2016, IP traded between $42.99 and $46.38. ATM implied volatility averaged 21.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.6% (HV 20d: 15.4%). Max pain ranged from $41.19 to $44.51. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-08-10: Highest Volume — 38,924 contracts
  • 2016-08-25: Largest IV spike — 18.7% change
  • 2016-08-25: Highest IV Rank — 32.3%
  • 2016-08-25: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.47$42.99$46.38$43.02$45.96
Max Pain$43.15$41.19$44.51$41.19$44.51
ATM IV21.0%19.0%25.2%20.0%21.8%
Expected Move6.0%5.3%6.9%5.9%6.3%
HV 20d15.4%10.6%20.5%20.5%18.9%
HV 60d23.6%22.6%24.4%24.4%23.9%
IV Rank9.0%0.0%32.3%2.8%14.9%
IV Percentile7.4%0.0%40.9%1.2%12.3%
Term Structure0.1%-0.6%1.1%-0.3%0.1%
VWIV21.6%18.8%25.1%23.4%22.6%
Skew 25d3.2%2.3%4.7%4.6%2.8%
Skew 10d6.3%-2.9%11.1%9.7%6.6%
Call IV 25d20.2%18.3%24.3%18.8%20.7%
Put IV 25d23.4%21.6%26.8%23.4%23.5%
Bid-Ask Spread %42.5315.2867.0315.2848.94
Gamma HHI0.150.100.490.110.15
Net GEX7.4M4.2M21.8M4.2M7.1M
Net DEX-97.0M-158.1M-64.9M-68.1M-126.9M
Net VEX-561.3K-601.9K-520.0K-530.4K-593.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.152.321.540.47
Total Volume10,685.8261,10138,9248,0728,452
Total OI87,964.04375,48399,53775,48396,189

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$43.02$41.1920.0%5.9%20.5%2.8%23.4%4.6%-0.3%4.2M-68.1M-530.4K1.5415.283,1754,89745,41330,070
2016-08-02$42.99$41.1920.5%6.0%18.2%5.1%23.2%3.8%-0.1%4.2M-67.6M-533.7K1.3118.503,7264,86645,69730,336
2016-08-03$43.28$41.6720.1%5.7%18.2%2.9%21.0%4.6%0.4%4.6M-73.4M-531.5K1.8933.972,5854,88046,21130,817
2016-08-04$43.38$42.6119.9%5.5%18.0%2.1%20.1%3.7%-0.3%5.0M-76.7M-530.6K1.1334.675,0135,65046,79530,986
2016-08-05$43.53$42.6119.2%5.4%16.7%0.0%19.1%4.7%0.2%5.6M-83.4M-530.7K1.1827.284,8345,69848,27431,787
2016-08-08$43.72$42.6119.3%5.6%16.7%0.4%19.3%3.5%0.4%5.5M-83.2M-536.3K1.0634.804,7005,00447,76631,018
2016-08-09$43.62$42.6119.0%5.3%14.6%0.0%18.8%3.3%-0.6%6.5M-84.8M-520.0K1.0637.714,5074,76549,73531,095
2016-08-10$44.32$42.6121.0%6.0%15.4%8.8%21.8%3.2%0.4%6.2M-100.6M-549.4K0.1537.5833,8575,06750,38231,120
2016-08-11$44.47$42.6121.4%6.0%15.2%10.7%21.2%2.3%-0.2%10.1M-110.4M-586.9K0.3653.709,3233,32957,57333,530
2016-08-12$44.03$42.6120.5%5.9%11.7%6.7%20.5%2.4%0.1%21.8M-96.7M-576.0K0.4654.806,8943,19158,48034,133
2016-08-15$43.91$42.6120.9%6.0%11.7%8.4%20.9%2.6%-0.6%6.5M-81.9M-566.6K0.8250.487,2045,90853,95834,142
2016-08-16$44.21$43.5620.9%6.0%10.6%8.6%22.6%3.6%1.1%5.7M-82.5M-584.3K0.7235.078,4686,13654,48537,633
2016-08-17$44.80$43.5621.1%6.1%11.4%9.4%21.5%2.5%0.2%7.5M-95.7M-578.1K0.5167.0372837355,21638,940
2016-08-18$45.09$43.5620.5%5.9%11.1%6.8%21.0%2.5%0.5%9.1M-109.3M-567.7K0.1952.761,17622755,49139,175
2016-08-19$44.95$43.5621.1%6.0%11.2%9.3%21.6%3.0%0.2%19.3M-110.3M-564.1K0.5156.925,4022,77456,97339,319
2016-08-22$44.13$43.5621.1%5.9%13.3%9.3%21.6%3.7%0.1%4.9M-71.0M-570.2K0.6742.764,4352,97952,38436,058
2016-08-23$44.51$43.5620.8%5.8%12.8%7.9%21.9%2.5%0.5%5.6M-86.4M-560.6K0.8142.053,3072,68053,83937,164
2016-08-24$44.09$43.5621.2%5.9%13.3%11.1%20.5%3.0%-0.1%4.9M-64.9M-560.5K2.3247.081,5443,58153,33637,430
2016-08-25$45.80$44.5125.2%6.9%18.6%32.3%25.1%2.5%-0.2%5.8M-127.1M-580.0K0.2347.0916,9513,94655,23037,975
2016-08-26$46.35$44.5122.5%6.4%18.9%18.3%22.7%2.8%-0.6%7.2M-158.1M-601.9K0.2747.8311,8093,20561,54237,995
2016-08-29$46.32$44.5122.2%6.3%18.4%17.0%23.8%2.9%0.5%6.7M-135.0M-587.8K0.4538.855,2162,37056,72536,563
2016-08-30$46.38$44.5121.7%6.2%18.4%14.1%22.6%2.8%-0.1%7.0M-137.4M-569.8K0.3352.978,2382,70457,35236,841
2016-08-31$45.96$44.5121.8%6.3%18.9%14.9%22.6%2.8%0.1%7.1M-126.9M-593.7K0.4748.945,7542,69859,09837,091