IP Options History — April 2017

In April 2017, IP traded between $47.12 and $52.03. ATM implied volatility averaged 22.6%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.6% (HV 20d: 17.0%). Max pain ranged from $47.35 to $49.72. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.11.

Notable Days

2017-04-27: Highest Volume — 18,110 contracts
2017-04-27: Largest IV drop — 14.1% change
2017-04-17: Highest IV Rank — 45.0%
2017-04-17: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.99	$47.12	$52.03	$47.45	$51.08
Max Pain	$47.70	$47.35	$49.72	$48.77	$47.35
ATM IV	22.6%	18.3%	24.6%	23.9%	18.3%
Expected Move	6.3%	5.2%	7.0%	5.5%	5.2%
HV 20d	17.0%	15.6%	18.8%	17.4%	18.8%
HV 60d	24.0%	23.0%	24.9%	24.2%	23.6%
IV Rank	29.6%	0.0%	45.0%	39.5%	0.0%
IV Percentile	44.0%	0.0%	75.0%	59.1%	0.0%
Term Structure	-0.6%	-1.2%	0.4%	-0.8%	-0.6%
VWIV	21.4%	17.9%	23.4%	19.9%	17.9%
Skew 25d	3.3%	1.8%	6.8%	3.1%	2.9%
Skew 10d	7.4%	3.8%	13.2%	5.7%	4.4%
Call IV 25d	21.2%	17.0%	22.9%	22.6%	17.0%
Put IV 25d	24.5%	19.1%	29.0%	25.6%	19.8%
Bid-Ask Spread %	36.66	26.02	45.64	30.49	43.02
Gamma HHI	0.14	0.07	0.55	0.12	0.16
Net GEX	1.4M	-11.0M	6.4M	-824.9K	6.4M
Net DEX	-26.8M	-91.0M	15.9M	9.9M	-71.3M
Net VEX	-504.5K	-573.8K	-470.8K	-470.8K	-573.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.56	3.11	0.74	0.92
Total Volume	7,888.421	4,956	18,110	6,921	12,193
Total OI	78,889.842	66,962	87,734	77,970	79,351

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
2017-04-03	$47.45	$48.77	23.9%	5.5%	17.4%	39.5%	19.9%	3.1%	-0.8%	-824.9K	9.9M	-470.8K	0.74	30.49	3,986	2,935	44,080	33,890
2017-04-04	$47.96	$48.77	23.2%	5.3%	17.2%	33.9%	19.2%	3.0%	-0.6%	-370.0K	-3.2M	-484.1K	0.67	28.07	3,666	2,453	44,167	34,554
2017-04-05	$47.95	$48.77	23.3%	5.3%	17.2%	34.6%	19.6%	3.0%	-0.9%	-1.1M	-191.5K	-471.7K	0.82	38.95	3,136	2,566	44,558	34,939
2017-04-06	$48.24	$49.72	23.0%	6.5%	16.2%	32.9%	21.2%	3.0%	-1.2%	-537.7K	-9.4M	-475.6K	0.56	34.46	4,582	2,584	44,892	35,388
2017-04-07	$47.82	$47.35	23.2%	6.5%	16.5%	34.5%	21.5%	3.3%	-0.9%	-11.0M	1.3M	-480.3K	0.89	30.33	5,719	5,117	45,985	36,235
2017-04-10	$47.74	$47.35	23.1%	6.8%	16.5%	33.6%	22.3%	3.5%	0.4%	1.6M	-3.0M	-475.6K	3.11	37.32	2,632	8,195	45,954	32,994
2017-04-11	$47.59	$47.35	23.8%	6.8%	16.6%	39.0%	21.8%	3.2%	-0.1%	861.8K	5.0M	-488.3K	1.13	44.64	2,688	3,038	46,354	35,500
2017-04-12	$47.37	$47.35	24.0%	6.7%	15.6%	39.9%	23.2%	3.1%	-0.2%	717.9K	8.7M	-481.9K	0.96	37.52	3,098	2,966	46,520	34,951
2017-04-13	$47.12	$47.35	23.5%	6.5%	15.7%	36.2%	21.8%	4.0%	-1.1%	459.7K	15.9M	-479.7K	1.10	33.12	2,699	2,972	46,383	35,144
2017-04-17	$47.29	$47.35	24.6%	7.0%	15.8%	45.0%	23.1%	6.8%	-0.6%	1.1M	8.1M	-488.3K	1.05	39.40	2,415	2,541	44,686	34,825
2017-04-18	$48.74	$47.35	23.3%	6.6%	18.4%	34.6%	23.4%	4.4%	0.2%	2.7M	-24.1M	-518.3K	1.06	33.33	3,870	4,095	45,855	37,265
2017-04-19	$49.53	$47.35	22.5%	6.4%	16.9%	28.9%	22.4%	3.2%	0.0%	3.6M	-46.6M	-507.1K	0.99	37.59	4,076	4,050	46,646	37,822
2017-04-20	$50.30	$47.35	22.9%	6.6%	17.6%	32.3%	22.7%	3.2%	-0.5%	3.8M	-69.2M	-531.9K	1.70	26.02	2,660	4,517	48,033	38,061
2017-04-21	$50.04	$47.35	23.2%	6.7%	17.8%	34.2%	21.9%	4.2%	-0.7%	1.4M	-66.0M	-528.8K	1.17	39.06	4,244	4,982	48,593	39,141
2017-04-24	$50.42	$47.35	21.5%	6.3%	17.6%	21.5%	22.5%	2.8%	-1.2%	3.8M	-47.9M	-526.7K	1.13	33.81	2,575	2,905	35,334	31,628
2017-04-25	$50.90	$47.35	21.2%	6.3%	17.1%	19.6%	22.3%	2.3%	-1.0%	4.3M	-60.6M	-532.7K	1.45	45.64	2,250	3,269	36,440	32,076
2017-04-26	$51.16	$47.35	21.5%	6.3%	16.7%	22.0%	22.0%	2.4%	-1.0%	4.5M	-66.5M	-541.7K	0.91	44.81	3,185	2,911	37,262	32,083
2017-04-27	$52.03	$47.35	18.5%	5.2%	17.1%	0.0%	18.7%	1.8%	-0.6%	6.3M	-91.0M	-528.1K	0.68	39.01	10,792	7,318	38,643	32,675
2017-04-28	$51.08	$47.35	18.3%	5.2%	18.8%	0.0%	17.9%	2.9%	-0.6%	6.4M	-71.3M	-573.8K	0.92	43.02	6,346	5,847	42,820	36,531