IP Options History — September 2016

In September 2016, IP traded between $44.92 and $46.87. ATM implied volatility averaged 23.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 20.5%). Max pain ranged from $40.72 to $44.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-09-30: Highest Volume — 15,897 contracts
  • 2016-09-26: Largest IV spike — 14.4% change
  • 2016-09-29: Highest IV Rank — 34.1%
  • 2016-09-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.79$44.92$46.87$46.05$45.59
Max Pain$42.03$40.72$44.51$44.51$42.61
ATM IV23.0%21.3%25.5%22.0%24.7%
Expected Move6.4%5.8%7.0%6.2%6.1%
HV 20d20.5%18.3%22.5%18.9%20.6%
HV 60d21.9%18.8%24.0%23.9%19.2%
IV Rank21.0%12.1%34.1%15.8%29.7%
IV Percentile25.0%9.1%55.2%13.5%44.8%
Term Structure0.6%-0.7%3.4%-0.2%-0.7%
VWIV22.9%20.3%26.4%22.4%20.6%
Skew 25d3.7%2.6%4.6%2.9%3.8%
Skew 10d7.2%4.2%10.4%4.6%6.3%
Call IV 25d21.5%19.0%23.9%20.6%23.3%
Put IV 25d25.1%22.5%28.3%23.5%27.0%
Bid-Ask Spread %29.6517.3353.0253.0223.04
Gamma HHI0.140.110.220.160.14
Net GEX5.7M2.8M8.5M7.5M4.4M
Net DEX-105.6M-152.5M-65.4M-131.7M-87.1M
Net VEX-560.0K-580.3K-535.7K-580.3K-554.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.302.100.480.30
Total Volume10,166.2386,93015,8977,99515,897
Total OI96,549.57187,260106,24896,87699,111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$46.05$44.5122.0%6.2%18.9%15.8%22.4%2.9%-0.2%7.5M-131.7M-580.3K0.4853.025,4052,59059,59237,284
2016-09-02$46.50$44.5121.6%5.8%19.0%13.7%21.9%2.6%0.0%8.2M-145.8M-569.9K0.5248.606,2783,25859,72437,561
2016-09-06$46.74$40.7222.0%6.4%19.0%15.8%23.3%2.7%0.2%8.2M-151.0M-545.4K0.6340.054,4842,84559,22637,540
2016-09-07$46.87$40.7221.4%6.4%18.9%12.8%23.5%2.9%0.5%8.5M-152.5M-549.3K0.4045.906,6762,69059,29837,835
2016-09-08$46.49$40.7221.8%6.4%18.8%14.7%24.0%2.7%0.4%8.0M-140.7M-552.2K0.6230.294,3742,71058,79838,052
2016-09-09$45.31$41.6723.0%6.6%21.2%20.8%25.2%3.5%0.4%6.2M-101.2M-569.1K0.6022.604,3362,59458,65938,297
2016-09-12$45.66$41.6724.1%6.9%21.0%26.8%26.4%3.9%0.1%7.0M-111.8M-552.3K1.0425.034,6304,79358,01638,284
2016-09-13$45.09$41.6725.1%7.0%21.5%31.7%24.3%4.3%-0.5%6.2M-91.5M-573.6K0.7334.096,6254,85258,91139,897
2016-09-14$45.03$41.6724.6%6.9%21.4%29.2%24.5%4.6%-0.7%5.9M-89.3M-560.2K1.0929.705,3075,78658,87640,864
2016-09-15$45.79$41.6723.4%6.7%21.7%22.8%23.3%4.2%-0.1%7.4M-113.3M-559.2K0.6435.737,5664,82458,63841,557
2016-09-16$46.63$41.6721.8%6.2%22.5%14.7%21.7%4.0%-0.1%8.0M-143.9M-564.1K0.7533.517,2295,41460,70445,544
2016-09-19$46.52$41.6721.9%6.3%22.5%15.2%23.6%4.3%2.9%4.3M-112.2M-546.7K1.2134.614,7775,76549,47337,787
2016-09-20$45.65$41.6722.9%6.5%22.5%20.3%23.2%3.8%2.7%3.9M-91.7M-548.1K1.2223.484,8405,92050,13538,707
2016-09-21$45.89$41.6721.3%6.1%22.4%12.1%21.6%3.4%3.2%3.9M-98.4M-535.7K2.1030.144,88610,28350,38340,044
2016-09-22$45.42$41.6721.3%5.9%22.5%12.3%20.9%3.6%3.2%2.8M-81.0M-563.3K0.8520.995,6164,78551,05043,756
2016-09-23$45.91$41.6721.5%5.8%18.3%13.2%21.2%3.5%3.4%5.0M-95.1M-563.3K0.7421.075,6994,19451,60544,601
2016-09-26$44.92$42.6124.6%6.5%19.3%29.2%23.0%4.2%-0.2%3.2M-65.4M-565.0K1.1217.373,9874,46451,13943,953
2016-09-27$45.05$42.6124.4%6.2%19.3%28.2%22.9%3.7%-0.4%3.2M-67.3M-569.4K1.0917.783,9954,33951,52945,274
2016-09-28$45.51$42.6124.2%6.1%19.8%27.4%20.3%4.0%-0.3%3.8M-80.4M-570.2K0.8118.335,2054,19851,99745,385
2016-09-29$44.96$42.6125.5%6.5%19.9%34.1%22.8%4.6%-0.6%3.3M-65.6M-568.8K0.9417.334,8314,54452,98845,467
2016-09-30$45.59$42.6124.7%6.1%20.6%29.7%20.6%3.8%-0.7%4.4M-87.1M-554.2K0.3023.0412,2013,69653,15345,958