IP Options History — January 2017

In January 2017, IP traded between $49.89 and $54.95. ATM implied volatility averaged 24.6%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 9.0% (HV 20d: 15.6%). Max pain ranged from $43.56 to $49.72. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-01-27: Highest Volume — 16,518 contracts
  • 2017-01-26: Largest IV spike — 6.4% change
  • 2017-01-30: Highest IV Rank — 37.4%
  • 2017-01-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.72$49.89$54.95$50.49$53.63
Max Pain$47.73$43.56$49.72$43.56$49.72
ATM IV24.6%23.3%25.9%24.0%25.7%
Expected Move7.1%5.5%8.3%5.6%8.3%
HV 20d15.6%12.1%22.3%16.1%21.2%
HV 60d17.9%16.6%19.2%19.1%17.9%
IV Rank31.0%24.2%37.4%27.5%36.5%
IV Percentile56.0%39.7%73.4%44.8%71.8%
Term Structure-0.5%-2.3%1.1%-0.4%-0.4%
VWIV27.4%20.3%32.1%21.2%31.1%
Skew 25d3.3%2.2%4.6%3.3%3.5%
Skew 10d7.4%5.6%11.3%6.8%7.4%
Call IV 25d23.6%22.8%24.7%23.6%24.7%
Put IV 25d26.8%25.3%28.5%26.9%28.2%
Bid-Ask Spread %24.239.8433.0526.3127.81
Gamma HHI0.220.160.310.180.27
Net GEX6.4M3.8M8.9M6.9M5.6M
Net DEX-172.2M-213.7M-104.5M-177.5M-158.8M
Net VEX-555.3K-651.0K-511.4K-547.4K-651.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.332.060.670.66
Total Volume10,690.87,25116,5187,68411,680
Total OI111,44775,680127,442118,45096,396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$50.49$43.5624.0%5.6%16.1%27.5%21.2%3.3%-0.4%6.9M-177.5M-547.4K0.6726.314,6103,07468,57649,874
2017-01-04$51.26$44.5124.0%5.5%15.4%27.7%20.3%2.6%-0.3%7.2M-203.1M-549.1K0.8122.804,7073,79569,13050,777
2017-01-05$50.76$47.3524.2%7.0%15.9%28.6%24.1%3.0%-0.1%7.0M-184.4M-555.9K0.639.846,7844,28569,49151,494
2017-01-06$50.94$47.3523.3%6.4%12.3%24.2%28.1%2.6%0.0%7.4M-188.5M-562.4K0.5516.435,4983,04670,27752,898
2017-01-09$50.75$47.3524.0%6.9%12.1%27.7%25.7%2.2%0.5%7.0M-180.3M-543.3K0.9621.224,1704,01469,56352,733
2017-01-10$50.93$47.3524.2%6.6%12.1%28.6%25.9%2.5%-0.9%7.5M-183.4M-534.6K0.8931.393,9123,46369,78752,358
2017-01-11$51.23$47.3523.6%6.7%12.2%25.8%29.9%2.5%-0.6%7.7M-193.2M-540.3K0.7817.704,1563,26270,10853,246
2017-01-12$50.82$47.3524.8%7.2%12.3%31.6%28.8%2.6%0.4%7.5M-175.7M-538.9K1.0930.643,4633,78869,94753,521
2017-01-13$50.79$47.3524.4%7.2%12.2%29.8%29.2%3.3%1.1%8.9M-173.5M-532.0K0.7419.046,0774,48870,06654,176
2017-01-17$50.22$47.3525.5%7.3%12.7%35.2%29.7%4.1%-0.6%5.3M-150.1M-517.6K0.8919.264,8704,32569,55754,658
2017-01-18$50.24$47.3525.6%7.3%12.5%35.8%27.7%4.0%-1.5%4.7M-148.8M-511.4K0.5530.745,6903,10670,24155,627
2017-01-19$49.89$47.3525.3%7.3%12.7%34.3%28.9%4.6%-1.0%6.0M-140.7M-522.1K0.5030.596,8353,43471,43556,007
2017-01-20$50.70$47.3525.8%7.6%13.7%37.0%25.3%4.2%-2.3%3.8M-160.5M-520.7K0.3333.0511,2073,73670,94056,389
2017-01-23$51.34$47.3525.1%7.5%14.5%33.5%26.1%3.6%-0.7%6.1M-104.5M-533.2K0.4225.589,9394,21246,00629,674
2017-01-24$52.98$49.7224.0%7.2%18.1%27.8%26.5%3.5%-0.2%6.6M-155.9M-550.2K0.5724.859,1995,22750,39031,265
2017-01-25$54.95$49.7223.5%7.1%21.9%25.3%27.4%2.5%-0.6%5.7M-213.7M-535.5K1.0723.405,8896,31954,80534,243
2017-01-26$54.46$49.7225.0%7.6%22.3%32.9%30.1%3.3%-1.2%5.6M-196.8M-600.7K0.9115.925,5044,99556,52736,685
2017-01-27$54.29$49.7224.9%7.7%21.0%32.5%30.1%3.3%-0.7%5.7M-191.0M-611.9K1.4625.876,7199,79957,39137,623
2017-01-30$53.81$49.7225.9%8.3%21.5%37.4%32.1%3.6%-0.7%5.5M-164.1M-648.4K2.0632.154,7489,79156,66638,393
2017-01-31$53.63$49.7225.7%8.3%21.2%36.5%31.1%3.5%-0.4%5.6M-158.8M-651.0K0.6627.817,0354,64557,20539,191