IP Options History — November 2016

In November 2016, IP traded between $41.32 and $46.26. ATM implied volatility averaged 23.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.4% (HV 20d: 21.2%). Max pain ranged from $41.67 to $43.56. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-11-09: Highest Volume — 12,376 contracts
  • 2016-11-17: Largest IV drop — 6.9% change
  • 2016-11-03: Highest IV Rank — 42.2%
  • 2016-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.33$41.32$46.26$41.88$46.16
Max Pain$42.57$41.67$43.56$43.56$42.61
ATM IV23.6%21.1%27.1%26.7%22.1%
Expected Move6.8%5.9%8.4%8.4%6.4%
HV 20d21.2%15.5%24.5%22.8%15.5%
HV 60d21.1%20.4%22.4%21.1%20.4%
IV Rank24.1%11.1%42.2%40.0%16.2%
IV Percentile33.6%8.3%71.0%69.8%19.8%
Term Structure-0.0%-0.6%1.0%-0.4%-0.3%
VWIV24.7%19.4%30.2%30.2%22.8%
Skew 25d3.7%2.6%5.1%4.5%3.0%
Skew 10d6.6%4.9%9.8%6.8%5.0%
Call IV 25d22.4%20.3%25.2%24.6%20.8%
Put IV 25d26.1%23.2%30.1%29.1%23.8%
Bid-Ask Spread %35.1018.5063.2232.9937.17
Gamma HHI0.120.080.200.080.16
Net GEX3.7M-2.6M8.1M-454.6K6.1M
Net DEX-60.8M-126.2M26.8M15.7M-112.0M
Net VEX-486.9K-526.2K-439.5K-451.0K-504.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.331.401.060.89
Total Volume9,475.9056,21312,3767,10310,829
Total OI94,594.71488,718104,12692,01894,366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$41.88$43.5626.7%8.4%22.8%40.0%30.2%4.5%-0.4%-454.6K15.7M-451.0K1.0632.993,4563,64751,46340,555
2016-11-02$42.00$43.5625.5%8.1%22.7%34.0%29.6%5.0%-0.3%-455.8K13.5M-445.0K1.3036.762,7043,50951,91440,990
2016-11-03$41.32$42.6127.1%7.2%22.3%42.2%24.8%4.8%-0.4%-959.2K26.8M-439.5K0.7423.164,5443,37952,35041,297
2016-11-04$41.67$42.6126.4%7.4%22.6%38.7%26.2%5.1%-0.4%-2.6M17.2M-447.4K0.8218.504,6373,78053,62841,291
2016-11-07$42.06$42.6125.8%7.3%23.1%35.3%27.0%4.6%0.2%447.3K5.6M-453.2K0.6324.535,1323,24653,12640,323
2016-11-08$42.41$41.6724.3%6.9%22.2%27.6%27.1%4.6%-0.0%997.7K-2.1M-468.4K0.8222.683,9473,24953,96940,594
2016-11-09$43.21$41.6723.1%6.6%22.8%21.7%27.1%4.2%-0.2%2.1M-21.1M-478.9K0.3728.679,0313,34554,49140,879
2016-11-10$43.49$42.6123.2%6.7%22.6%21.9%25.9%3.8%0.2%3.0M-33.0M-494.2K0.8626.624,7044,04152,85840,890
2016-11-11$43.26$42.6123.5%6.7%21.4%23.7%25.8%3.4%-0.3%2.7M-29.3M-486.9K0.7734.184,4983,44754,25741,586
2016-11-14$44.67$42.6124.3%7.0%24.2%27.9%23.0%4.1%0.4%4.9M-69.5M-488.8K0.5240.005,4832,87453,13941,018
2016-11-15$45.21$42.6123.6%6.8%24.5%24.1%23.8%4.0%0.8%6.4M-87.3M-491.2K0.5836.466,7683,89654,88741,203
2016-11-16$45.41$41.6725.1%7.2%22.5%32.0%27.1%3.5%0.3%5.9M-96.2M-514.2K0.3838.057,9343,05256,83542,008
2016-11-17$45.75$42.6123.4%6.7%20.9%23.0%19.4%2.6%0.6%8.1M-111.2M-521.5K0.3363.228,3912,80258,23842,922
2016-11-18$45.94$42.6122.6%6.4%20.7%19.0%25.1%2.6%1.0%6.9M-126.2M-498.6K0.6346.076,9634,37460,92843,198
2016-11-21$45.75$42.6121.4%5.9%20.7%12.5%23.3%3.4%-0.3%5.3M-102.2M-490.9K0.7144.975,5413,91250,93037,788
2016-11-22$46.05$42.6121.5%6.0%20.7%13.0%21.8%2.9%-0.3%5.5M-110.5M-496.0K0.9338.616,0055,58351,64138,074
2016-11-23$46.16$42.6121.6%5.9%20.4%13.8%21.8%2.9%-0.2%5.7M-114.1M-511.6K1.0539.785,2515,53952,97539,109
2016-11-25$46.26$42.6121.4%5.9%17.4%12.6%21.3%2.7%-0.6%6.0M-117.8M-526.2K1.2343.754,5605,62653,83140,349
2016-11-28$46.11$42.6122.1%6.4%17.5%16.4%22.3%3.1%-0.6%5.7M-109.8M-515.5K1.4030.504,0435,65752,77840,143
2016-11-29$46.22$42.6121.1%6.2%17.5%11.1%22.6%2.9%-0.1%5.9M-113.5M-501.4K1.1530.444,4705,14553,10240,566
2016-11-30$46.16$42.6122.1%6.4%15.5%16.2%22.8%3.0%-0.3%6.1M-112.0M-504.8K0.8937.175,7275,10253,66140,705