IP Options History — December 2016

In December 2016, IP traded between $46.90 and $51.45. ATM implied volatility averaged 20.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.1% (HV 20d: 15.3%). Max pain ranged from $42.61 to $43.56. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2016-12-08: Highest Volume — 24,212 contracts
2016-12-19: Largest IV drop — 7.4% change
2016-12-30: Highest IV Rank — 16.1%
2016-12-01: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.26	$46.90	$51.45	$46.90	$50.15
Max Pain	$43.31	$42.61	$43.56	$42.61	$43.56
ATM IV	20.4%	18.6%	21.9%	21.7%	21.7%
Expected Move	5.8%	5.2%	6.4%	6.4%	5.7%
HV 20d	15.3%	14.2%	16.8%	16.0%	16.8%
HV 60d	20.2%	19.2%	21.1%	20.7%	19.2%
IV Rank	8.2%	0.0%	16.1%	14.1%	16.1%
IV Percentile	8.2%	0.0%	23.0%	15.5%	23.0%
Term Structure	0.8%	-0.6%	3.3%	-0.5%	3.3%
VWIV	21.6%	18.5%	26.8%	22.7%	21.4%
Skew 25d	2.6%	2.1%	3.0%	2.9%	2.6%
Skew 10d	5.2%	3.4%	8.2%	5.0%	4.9%
Call IV 25d	19.6%	17.5%	20.9%	20.8%	20.0%
Put IV 25d	22.3%	19.9%	23.9%	23.7%	22.7%
Bid-Ask Spread %	29.66	15.27	37.62	36.48	15.27
Gamma HHI	0.17	0.14	0.21	0.18	0.15
Net GEX	5.7M	4.5M	7.2M	6.0M	5.1M
Net DEX	-196.6M	-225.0M	-133.1M	-133.1M	-171.0M
Net VEX	-575.5K	-650.6K	-472.6K	-500.5K	-574.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.50	0.93	0.74	0.61
Total Volume	11,662.905	8,102	24,212	12,074	8,920
Total OI	114,178.571	94,786	123,427	94,786	120,651

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-12-01	$46.90	$42.61	21.7%	6.4%	16.0%	14.1%	22.7%	2.9%	-0.5%	6.0M	-133.1M	-500.5K	0.74	36.48	6,944	5,130	53,912	40,874
2016-12-02	$47.70	$43.09	21.2%	6.1%	14.2%	11.8%	22.1%	2.6%	-0.3%	5.3M	-148.2M	-520.3K	0.80	34.06	7,804	6,228	55,064	41,346
2016-12-05	$48.68	$42.61	20.4%	5.7%	15.0%	7.4%	21.9%	2.8%	0.0%	5.3M	-176.1M	-475.2K	0.86	30.85	6,683	5,757	55,994	41,736
2016-12-06	$48.96	$42.61	20.0%	5.7%	15.0%	5.1%	23.0%	2.9%	0.1%	5.0M	-183.2M	-472.6K	0.80	26.56	8,557	6,842	56,467	42,621
2016-12-07	$50.40	$42.61	20.3%	5.9%	16.8%	6.7%	21.5%	2.8%	0.1%	4.5M	-206.9M	-501.3K	0.52	31.82	11,692	6,038	58,136	44,128
2016-12-08	$50.80	$42.61	20.9%	6.3%	16.3%	9.8%	20.5%	2.2%	-0.1%	5.1M	-221.2M	-543.0K	0.68	26.15	14,426	9,786	62,241	45,631
2016-12-09	$50.98	$43.56	20.6%	5.8%	16.4%	8.4%	26.8%	2.5%	0.2%	5.3M	-223.4M	-637.2K	0.93	29.19	7,648	7,124	69,575	50,511
2016-12-12	$50.81	$43.56	21.4%	6.3%	16.2%	12.8%	23.3%	2.7%	0.6%	5.1M	-211.4M	-640.3K	0.73	24.63	6,209	4,555	69,445	50,004
2016-12-13	$50.44	$43.56	21.4%	6.2%	14.4%	12.6%	21.5%	2.4%	0.0%	5.0M	-198.9M	-650.6K	0.80	28.24	5,851	4,660	69,874	50,806
2016-12-14	$50.34	$43.56	21.9%	6.3%	14.5%	15.1%	24.3%	2.9%	0.4%	5.3M	-200.3M	-638.6K	0.72	36.16	6,620	4,742	71,021	51,009
2016-12-15	$50.67	$43.56	21.7%	6.3%	14.5%	14.1%	21.3%	3.0%	0.3%	5.7M	-215.4M	-613.2K	0.67	31.42	6,079	4,051	71,175	51,192
2016-12-16	$50.95	$43.56	20.4%	5.7%	14.5%	7.5%	21.6%	2.9%	-0.6%	6.3M	-225.0M	-611.4K	0.79	23.88	5,662	4,455	72,140	51,287
2016-12-19	$50.76	$43.56	18.9%	5.4%	14.8%	0.0%	19.3%	2.6%	1.3%	5.9M	-189.6M	-613.9K	0.56	37.62	5,962	3,354	67,360	48,579
2016-12-20	$51.16	$43.56	18.7%	5.4%	14.5%	0.0%	20.1%	2.3%	0.7%	6.1M	-211.9M	-593.7K	0.69	31.54	4,782	3,320	69,048	49,439
2016-12-21	$51.10	$43.56	19.1%	5.5%	14.6%	2.0%	21.2%	2.3%	0.7%	6.0M	-210.8M	-589.9K	0.50	36.55	6,306	3,158	69,228	49,888
2016-12-22	$50.94	$43.56	19.3%	5.5%	14.9%	2.7%	20.7%	2.7%	0.9%	6.3M	-203.7M	-604.8K	0.52	29.94	5,709	2,946	70,484	50,174
2016-12-23	$51.16	$43.56	18.6%	5.2%	14.9%	0.0%	18.5%	2.4%	1.3%	6.7M	-215.6M	-579.5K	0.60	30.46	6,062	3,626	70,568	50,431
2016-12-27	$51.45	$43.56	19.4%	5.3%	14.6%	4.2%	19.3%	2.1%	2.6%	7.2M	-214.1M	-576.3K	0.63	31.32	5,056	3,192	68,898	48,795
2016-12-28	$50.52	$43.56	20.4%	5.4%	16.8%	9.2%	21.3%	2.6%	2.2%	6.6M	-182.4M	-575.3K	0.78	29.82	5,477	4,285	69,114	48,910
2016-12-29	$50.60	$43.56	20.9%	5.6%	16.7%	11.9%	21.3%	2.9%	2.8%	6.4M	-185.8M	-573.0K	0.66	20.99	5,566	3,657	69,703	50,291
2016-12-30	$50.15	$43.56	21.7%	5.7%	16.8%	16.1%	21.4%	2.6%	3.3%	5.1M	-171.0M	-574.1K	0.61	15.27	5,547	3,373	70,071	50,580