IP Options History — February 2017

In February 2017, IP traded between $48.74 and $53.48. ATM implied volatility averaged 22.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 8.9% (HV 20d: 31.6%). Max pain ranged from $49.72 to $49.72. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2017-02-10: Highest Volume — 24,110 contracts
2017-02-06: Largest IV spike — 6.4% change
2017-02-01: Highest IV Rank — 35.1%
2017-02-01: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.01	$48.74	$53.48	$53.48	$49.82
Max Pain	$49.72	$49.72	$49.72	$49.72	$49.72
ATM IV	22.8%	21.4%	25.5%	25.5%	21.8%
Expected Move	6.5%	6.0%	8.1%	8.1%	6.3%
HV 20d	31.6%	21.2%	34.3%	21.2%	29.3%
HV 60d	22.6%	17.4%	23.4%	17.4%	23.4%
IV Rank	25.3%	18.9%	35.1%	35.1%	23.7%
IV Percentile	35.8%	17.9%	69.0%	69.0%	25.8%
Term Structure	0.0%	-0.8%	0.9%	-0.8%	0.2%
VWIV	23.4%	21.5%	29.6%	29.6%	22.1%
Skew 25d	2.4%	1.7%	3.8%	3.8%	2.2%
Skew 10d	5.0%	0.5%	7.4%	7.4%	4.8%
Call IV 25d	22.2%	20.9%	24.4%	24.1%	21.2%
Put IV 25d	24.6%	23.0%	27.9%	27.9%	23.4%
Bid-Ask Spread %	28.78	18.55	45.74	30.69	20.87
Gamma HHI	0.19	0.15	0.26	0.26	0.17
Net GEX	6.5M	3.2M	8.8M	6.3M	8.0M
Net DEX	-51.9M	-157.0M	-2.7M	-157.0M	-50.5M
Net VEX	-639.3K	-679.4K	-595.9K	-654.4K	-602.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.21	1.21	0.76	0.98
Total Volume	15,132.842	7,917	24,110	15,740	10,585
Total OI	108,729.474	92,899	123,994	98,906	92,899

Daily Data (19 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
2017-02-01	$53.48	$49.72	25.5%	8.1%	21.2%	35.1%	29.6%	3.8%	-0.8%	6.3M	-157.0M	-654.4K	0.76	30.69	8,949	6,791	59,398	39,508
2017-02-02	$50.27	$49.72	24.5%	7.1%	30.8%	30.2%	24.6%	3.2%	0.2%	4.8M	-45.7M	-641.6K	0.39	29.15	16,454	6,462	63,704	42,081
2017-02-03	$50.16	$49.72	23.4%	6.8%	30.6%	24.5%	26.0%	2.5%	0.0%	4.8M	-41.0M	-650.3K	0.67	33.78	7,318	4,868	68,452	44,346
2017-02-06	$48.74	$49.72	24.9%	7.0%	32.1%	32.1%	24.4%	1.9%	-0.7%	3.2M	-4.4M	-595.9K	0.39	29.15	11,697	4,596	67,096	41,311
2017-02-07	$49.37	$49.72	24.1%	6.8%	32.5%	28.4%	24.4%	2.2%	-0.3%	4.9M	-32.7M	-641.8K	0.35	25.74	12,165	4,214	71,960	42,816
2017-02-08	$50.24	$49.72	23.8%	6.9%	33.2%	26.8%	24.2%	2.9%	0.2%	6.9M	-72.5M	-679.4K	0.34	45.74	13,678	4,704	73,878	43,341
2017-02-09	$49.39	$49.72	23.8%	6.9%	33.6%	26.4%	23.8%	2.1%	-0.0%	5.8M	-39.7M	-650.0K	0.34	27.92	12,653	4,306	76,308	43,790
2017-02-10	$50.14	$49.72	22.3%	6.4%	34.0%	18.9%	25.7%	2.4%	0.1%	7.1M	-71.6M	-674.1K	0.21	25.90	19,993	4,117	79,125	44,869
2017-02-13	$49.91	$49.72	22.8%	6.5%	34.0%	26.0%	22.7%	2.5%	0.2%	6.9M	-54.1M	-654.9K	0.26	31.67	14,770	3,862	70,764	43,665
2017-02-14	$50.02	$49.72	22.0%	6.3%	33.8%	23.2%	22.3%	2.1%	0.4%	8.0M	-54.8M	-653.3K	0.21	27.83	14,730	3,146	72,132	44,313
2017-02-15	$50.00	$49.72	21.7%	6.2%	33.8%	23.3%	22.1%	2.7%	0.2%	7.3M	-53.9M	-647.2K	0.39	30.40	13,518	5,258	73,246	44,409
2017-02-16	$50.52	$49.72	21.8%	6.2%	33.9%	23.6%	21.7%	2.7%	-0.3%	8.0M	-73.5M	-655.6K	0.28	23.51	12,714	3,522	74,051	46,692
2017-02-17	$49.41	$49.72	21.5%	6.1%	34.3%	21.5%	21.6%	1.8%	0.9%	4.9M	-2.7M	-613.1K	0.24	24.36	14,611	3,511	74,337	46,999
2017-02-21	$50.02	$49.72	21.4%	6.0%	34.3%	21.0%	21.6%	2.4%	-0.2%	7.5M	-54.5M	-618.6K	1.09	18.55	4,614	5,031	59,436	33,586
2017-02-22	$49.28	$49.72	21.7%	6.1%	32.3%	23.4%	21.6%	1.7%	0.2%	6.0M	-27.1M	-622.7K	1.21	38.82	3,576	4,341	60,396	36,427
2017-02-23	$49.51	$49.72	21.9%	6.4%	28.9%	25.1%	22.4%	1.8%	0.5%	6.2M	-36.6M	-632.3K	0.71	25.02	5,634	4,024	60,819	36,799
2017-02-24	$49.81	$49.72	21.9%	6.2%	29.1%	24.3%	21.9%	2.4%	0.1%	8.8M	-48.0M	-637.0K	0.96	28.85	4,256	4,103	62,547	36,962
2017-02-27	$50.13	$49.72	21.8%	6.1%	29.4%	24.0%	21.5%	1.9%	-0.4%	8.6M	-65.1M	-621.6K	0.62	28.84	5,398	3,355	59,246	34,152
2017-02-28	$49.82	$49.72	21.8%	6.3%	29.3%	23.7%	22.1%	2.2%	0.2%	8.0M	-50.5M	-602.7K	0.98	20.87	5,349	5,236	58,610	34,289