IP Options History — May 2017

In May 2017, IP traded between $48.18 and $51.00. ATM implied volatility averaged 18.4%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.8% (HV 20d: 17.5%). Max pain ranged from $48.30 to $49.72. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-05-26: Highest Volume — 12,154 contracts
  • 2017-05-17: Largest IV spike — 10.3% change
  • 2017-05-19: Highest IV Rank — 27.7%
  • 2017-05-19: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.82$48.18$51.00$51.00$50.09
Max Pain$49.59$48.30$49.72$48.30$49.72
ATM IV18.4%16.9%21.1%17.9%18.5%
Expected Move5.3%5.1%6.1%5.3%5.2%
HV 20d17.5%14.9%19.0%18.8%18.1%
HV 60d18.5%17.8%19.9%19.9%17.8%
IV Rank8.3%0.0%27.7%0.0%10.5%
IV Percentile5.4%0.0%23.4%0.0%6.3%
Term Structure0.0%-0.9%0.9%0.2%-0.2%
VWIV18.6%16.7%20.7%18.6%18.7%
Skew 25d2.6%1.5%5.3%2.3%1.6%
Skew 10d5.2%2.6%9.4%4.9%4.1%
Call IV 25d17.5%16.1%19.7%17.0%17.8%
Put IV 25d20.1%17.9%25.0%19.3%19.5%
Bid-Ask Spread %19.2110.7859.7838.5613.83
Gamma HHI0.140.090.190.190.13
Net GEX4.3M262.5K6.8M5.1M5.6M
Net DEX-35.5M-68.8M3.8M-59.2M-50.8M
Net VEX-530.3K-571.2K-495.0K-571.2K-570.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.321.180.841.18
Total Volume8,652.3185,35312,15412,0865,664
Total OI75,961.77370,29283,99370,29283,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$51.00$48.3017.9%5.3%18.8%0.0%18.6%2.3%0.2%5.1M-59.2M-571.2K0.8438.566,5845,50239,39830,894
2017-05-02$50.75$49.2418.0%5.2%17.6%0.5%18.2%2.4%0.1%5.4M-54.1M-562.0K0.8430.626,3465,34941,17731,417
2017-05-03$50.47$49.2417.6%5.3%17.6%0.0%18.6%3.0%0.2%5.2M-48.5M-556.8K1.0259.785,2995,38641,61731,432
2017-05-04$50.42$49.7217.8%5.2%17.6%1.2%18.1%2.1%-0.4%4.7M-48.3M-554.2K0.7321.945,2153,78441,69631,572
2017-05-05$50.58$49.7217.0%5.1%17.6%0.0%17.4%2.3%-0.2%4.7M-50.4M-544.8K0.7322.745,3773,93841,79032,069
2017-05-08$50.11$49.7217.0%5.1%17.6%0.5%17.9%2.4%0.9%4.7M-38.0M-529.5K0.5220.884,2582,21041,31031,246
2017-05-09$49.76$49.7217.4%5.1%17.9%2.7%17.8%2.4%0.5%4.1M-29.9M-538.9K0.4329.313,7361,61742,55031,491
2017-05-10$50.31$49.7216.9%5.1%18.1%0.0%17.7%1.7%-0.0%5.6M-45.7M-532.1K0.5011.553,9611,98642,12231,586
2017-05-11$49.73$49.7217.5%5.1%18.6%3.6%17.6%2.7%0.5%3.9M-29.4M-517.9K0.5815.544,1382,41242,36131,858
2017-05-12$49.49$49.7217.5%5.1%18.6%4.1%16.7%2.7%0.4%3.2M-24.0M-514.2K0.7613.303,2662,49542,66032,193
2017-05-15$50.20$49.7217.6%5.1%19.0%4.8%17.7%2.6%-0.3%4.8M-39.3M-501.5K0.6712.583,8602,57341,79031,566
2017-05-16$50.10$49.7217.5%5.1%16.2%4.0%18.0%2.5%-0.3%5.1M-39.6M-498.6K1.0013.013,2693,26742,73932,124
2017-05-17$49.00$49.7219.3%5.5%17.2%15.9%19.3%3.9%0.9%2.4M-12.0M-496.7K0.3219.336,2442,00042,84833,206
2017-05-18$48.18$49.7221.1%6.1%17.1%27.6%20.4%5.3%-0.7%262.5K3.8M-496.1K0.5013.885,5772,81346,04332,949
2017-05-19$48.33$49.7221.1%6.1%17.1%27.7%20.7%4.8%-0.9%567.6K-90.9K-495.0K0.5617.157,5384,22844,85833,706
2017-05-22$49.00$49.7219.9%5.5%17.7%19.5%20.2%2.8%-0.3%2.3M-13.9M-506.2K0.8210.935,3124,36342,56832,804
2017-05-23$49.19$49.2419.4%5.4%17.3%16.0%19.9%2.4%0.1%2.9M-19.0M-500.1K0.3813.078,3573,17343,37032,201
2017-05-24$49.39$49.7219.3%5.3%17.3%15.3%19.4%2.1%-0.0%5.1M-32.9M-532.9K0.4610.786,7153,11246,38432,261
2017-05-25$49.39$49.7218.9%5.3%15.9%12.7%19.7%1.8%0.1%5.6M-36.2M-531.8K0.5411.946,3313,42747,80632,577
2017-05-26$49.65$49.7218.2%5.1%14.9%8.3%18.2%1.5%0.4%6.8M-45.5M-548.4K1.1511.095,6616,49349,30132,963
2017-05-30$50.84$49.7218.3%5.2%17.4%8.8%18.3%1.8%-0.3%6.2M-68.8M-567.3K0.7210.874,3583,15745,29435,369
2017-05-31$50.09$49.7218.5%5.2%18.1%10.5%18.7%1.6%-0.2%5.6M-50.8M-570.9K1.1813.832,5943,07047,15736,836