IP Options History — October 2016

In October 2016, IP traded between $42.60 and $45.79. ATM implied volatility averaged 28.6%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.0% (HV 20d: 21.5%). Max pain ranged from $42.61 to $45.45. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-10-10: Highest Volume — 19,012 contracts
  • 2016-10-27: Largest IV drop — 12.1% change
  • 2016-10-20: Highest IV Rank — 68.3%
  • 2016-10-20: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.14$42.60$45.79$45.30$42.67
Max Pain$43.83$42.61$45.45$42.61$43.56
ATM IV28.6%24.4%32.1%25.0%24.4%
Expected Move8.1%6.2%9.3%6.2%7.4%
HV 20d21.5%19.7%23.8%20.4%22.5%
HV 60d19.3%17.8%20.8%18.8%20.8%
IV Rank49.8%28.1%68.3%31.5%28.1%
IV Percentile75.8%38.5%93.3%48.4%38.5%
Term Structure-0.8%-1.7%0.4%0.2%-0.1%
VWIV28.7%21.9%32.8%21.9%26.3%
Skew 25d4.3%3.6%5.3%3.6%4.2%
Skew 10d8.0%5.3%9.8%7.1%8.3%
Call IV 25d26.7%22.8%30.7%23.7%22.8%
Put IV 25d31.1%27.0%34.5%27.3%27.0%
Bid-Ask Spread %26.1913.6749.2721.0637.03
Gamma HHI0.120.080.420.130.08
Net GEX2.3M-7.8M8.1M4.4M242.6K
Net DEX-46.5M-131.8M16.4M-81.1M-1.7M
Net VEX-556.0K-597.5K-458.8K-566.0K-458.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.372.930.661.03
Total Volume12,240.2387,18019,0129,4207,371
Total OI117,516.76290,964146,749101,18990,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$45.30$42.6125.0%6.2%20.4%31.5%21.9%3.6%0.2%4.4M-81.1M-566.0K0.6621.065,6863,73455,36945,820
2016-10-04$44.63$42.6125.9%6.5%20.7%35.8%22.3%4.0%0.3%3.4M-60.6M-560.1K1.0622.233,8864,13755,83346,207
2016-10-05$44.20$42.6128.8%7.2%20.8%51.2%26.8%4.2%-0.4%2.5M-47.1M-564.2K2.6827.344,97313,31256,08446,871
2016-10-06$44.86$44.5127.6%8.0%21.6%44.9%28.0%4.0%0.4%1.7M-62.6M-597.5K2.9317.383,65210,71457,76856,467
2016-10-07$44.43$45.4527.8%7.9%20.0%45.9%28.1%4.3%-0.1%842.0K-46.4M-578.1K2.4516.714,24210,39858,02956,676
2016-10-10$44.29$45.4528.5%8.0%19.7%49.8%27.2%4.4%-0.8%1.0M-42.6M-558.1K1.4718.067,71311,29957,59154,200
2016-10-11$43.33$44.5129.6%8.3%20.7%55.2%29.6%5.3%-0.7%-582.5K-9.8M-560.3K1.0615.353,4913,68962,06656,009
2016-10-12$43.89$44.5130.4%8.2%21.3%59.1%29.1%4.8%-1.4%-540.6K-33.1M-569.3K0.5617.898,0224,51262,73958,700
2016-10-13$43.41$44.5130.4%8.3%20.5%59.2%29.7%4.8%-1.6%-1.4M-14.3M-564.6K0.8520.574,7254,02264,35457,953
2016-10-14$44.29$44.5130.1%8.3%20.7%57.8%31.2%4.3%-1.7%2.3M-50.2M-574.0K0.6619.1610,0386,60864,89959,303
2016-10-17$44.73$43.5630.3%8.6%21.2%58.6%31.3%4.5%-1.3%4.4M-81.9M-579.3K0.9029.824,9374,45370,33158,816
2016-10-18$44.57$43.5630.2%8.6%20.2%58.4%32.8%4.2%-1.1%4.2M-77.5M-579.9K0.8513.674,6803,98771,39359,746
2016-10-19$45.79$43.5631.2%8.9%22.5%63.6%31.4%4.3%-1.5%8.1M-131.8M-588.4K0.3723.3111,5544,31671,58959,761
2016-10-20$44.70$43.5632.1%9.3%23.8%68.3%31.7%3.8%-1.3%5.9M-89.7M-581.3K0.8830.048,9597,91077,84960,707
2016-10-21$44.43$43.5631.4%9.1%23.5%64.5%30.9%4.2%-1.1%6.2M-72.7M-596.6K0.9622.376,0945,86882,08864,661
2016-10-24$44.23$43.5629.0%8.6%22.3%52.0%29.4%5.0%-0.9%5.3M-41.0M-567.0K0.8341.177,4686,19365,10346,648
2016-10-25$44.10$43.5628.0%8.4%22.2%47.0%30.7%4.3%-1.5%5.5M-38.3M-549.5K1.0049.274,2284,23567,39847,537
2016-10-26$43.80$43.5629.1%8.6%21.9%52.7%31.4%4.5%-1.2%4.5M-25.9M-539.9K1.1231.037,9418,91267,83747,852
2016-10-27$42.68$43.5625.6%7.5%23.3%34.4%25.8%4.2%-0.7%-1.7M15.0M-467.0K0.9441.465,0954,77466,16545,948
2016-10-28$42.60$43.5624.4%7.4%22.4%28.5%26.8%4.3%0.1%-7.8M16.4M-475.9K1.4435.063,7795,43866,92645,595
2016-10-31$42.67$43.5624.4%7.4%22.5%28.1%26.3%4.2%-0.1%242.6K-1.7M-458.8K1.0337.033,6253,74650,89240,072