IP Options History — March 2017

In March 2017, IP traded between $47.66 and $51.13. ATM implied volatility averaged 21.8%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.1% (HV 20d: 21.7%). Max pain ranged from $47.35 to $49.72. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-03-15: Highest Volume — 17,304 contracts
  • 2017-03-17: Largest IV drop — 10.0% change
  • 2017-03-29: Highest IV Rank — 40.8%
  • 2017-03-09: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.77$47.66$51.13$50.94$48.25
Max Pain$48.69$47.35$49.72$49.72$47.35
ATM IV21.8%19.2%24.1%21.3%23.7%
Expected Move5.9%5.1%6.6%6.0%5.1%
HV 20d21.7%19.3%30.7%30.7%19.5%
HV 60d23.8%23.1%24.4%23.6%24.1%
IV Rank24.2%4.5%40.8%20.0%37.7%
IV Percentile29.8%2.0%61.5%15.5%57.5%
Term Structure0.6%-1.6%3.9%-0.0%-0.7%
VWIV21.3%18.0%23.3%21.2%18.0%
Skew 25d2.5%1.6%3.6%1.7%2.3%
Skew 10d5.3%3.6%7.5%4.8%5.3%
Call IV 25d21.0%14.3%23.7%20.8%23.0%
Put IV 25d23.4%17.9%26.9%22.5%25.3%
Bid-Ask Spread %31.7215.6145.8926.8229.55
Gamma HHI0.150.100.290.170.10
Net GEX2.7M-3.1M10.6M9.4M1.3M
Net DEX-16.5M-98.3M15.6M-89.2M-13.0M
Net VEX-541.9K-621.0K-499.2K-621.0K-499.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.383.231.600.38
Total Volume8,054.8265,25017,3048,3158,984
Total OI87,394.08775,187101,40594,82879,705

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$50.94$49.7221.3%6.0%30.7%20.0%21.2%1.7%-0.0%9.4M-89.2M-621.0K1.6026.823,1945,12158,64736,181
2017-03-02$50.92$49.7220.8%5.7%30.7%16.6%20.9%2.0%-0.3%10.0M-91.3M-612.4K1.7215.612,9405,06959,01236,412
2017-03-03$51.13$49.7220.0%5.5%21.4%10.9%19.8%1.6%0.1%10.6M-98.3M-601.5K0.9031.684,7134,25359,19936,610
2017-03-06$49.60$49.7221.5%6.1%24.0%22.0%21.5%2.4%0.1%5.0M-37.1M-583.7K0.5829.814,4542,60255,44735,569
2017-03-07$48.81$49.7222.4%6.2%22.5%28.3%22.7%2.9%-0.4%2.7M-9.8M-561.7K0.5624.834,1232,32355,42036,516
2017-03-08$48.85$49.7221.9%6.1%22.0%25.0%22.2%2.7%-0.2%2.7M-11.9M-557.9K0.4526.993,8541,73856,03236,713
2017-03-09$48.03$49.7222.2%6.6%21.6%26.7%22.0%2.6%-0.2%1.1M11.4M-529.4K1.2929.734,0715,23255,68036,828
2017-03-10$47.94$49.7222.1%6.3%20.9%26.0%22.2%2.8%-0.3%866.8K15.6M-521.2K0.9931.353,8453,80955,83138,109
2017-03-13$47.99$49.7222.4%6.4%20.0%28.5%21.8%2.4%-0.3%909.2K13.2M-526.6K0.6143.515,6083,42452,05838,295
2017-03-14$48.01$49.7221.8%6.3%20.0%23.8%22.8%2.4%0.0%876.9K12.2M-527.5K1.2823.583,0533,91753,02238,567
2017-03-15$48.71$49.7222.2%6.1%20.8%26.7%23.2%2.4%-1.1%2.6M-9.0M-551.6K3.2331.044,09113,21353,34638,810
2017-03-16$48.71$49.7221.3%5.9%20.8%20.1%23.3%1.9%-0.9%-3.1M331.2K-539.1K2.0336.973,9628,03554,19147,214
2017-03-17$48.65$49.7219.2%5.7%20.4%4.5%20.7%3.6%3.3%3.1M-4.0M-528.6K0.4145.895,7552,37455,31345,521
2017-03-20$49.44$47.3519.8%5.7%19.8%8.9%20.0%2.1%3.3%2.4M-31.0M-541.7K0.4137.985,8052,39741,82033,367
2017-03-21$48.20$47.3520.8%6.0%21.2%16.8%21.6%2.6%3.4%1.6M-2.4M-524.9K0.7442.553,5812,66244,06234,545
2017-03-22$48.44$47.3520.6%5.9%20.8%15.3%21.3%2.4%3.6%1.6M-5.1M-542.6K0.8233.093,4772,85344,38835,620
2017-03-23$48.49$47.3521.2%5.9%20.7%19.4%20.9%2.5%3.8%2.4M-5.1M-536.4K0.6836.924,9963,39044,38735,629
2017-03-24$48.17$47.3521.9%5.9%20.6%25.0%21.4%2.3%3.9%1.7M3.9M-533.2K0.6139.423,6342,20045,06236,123
2017-03-27$47.66$47.3523.4%5.9%20.6%35.6%20.6%3.1%-0.3%796.0K3.1M-505.6K0.4726.944,6602,18643,23332,921
2017-03-28$48.27$47.3524.1%5.7%21.2%40.5%20.3%2.7%-1.6%1.6M-11.4M-509.6K0.4831.615,2012,47843,82133,313
2017-03-29$48.01$47.3524.1%5.6%19.3%40.8%21.4%2.8%-0.6%1.0M-6.4M-505.9K0.9229.582,7352,51544,91833,698
2017-03-30$48.38$47.3523.5%5.4%19.6%36.4%21.1%2.2%-0.5%1.6M-14.2M-503.0K0.5724.034,3002,43445,04333,866
2017-03-31$48.25$47.3523.7%5.1%19.5%37.7%18.0%2.3%-0.7%1.3M-13.0M-499.2K0.3829.556,4992,48545,78033,925