IP Options History — June 2017

In June 2017, IP traded between $50.79 and $53.84. ATM implied volatility averaged 18.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.0% (HV 20d: 17.4%). Max pain ranged from $49.72 to $49.72. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-06-16: Highest Volume — 9,850 contracts
  • 2017-06-26: Largest IV spike — 10.5% change
  • 2017-06-29: Highest IV Rank — 27.6%
  • 2017-06-08: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.60$50.79$53.84$50.83$53.83
Max Pain$49.72$49.72$49.72$49.72$49.72
ATM IV18.4%17.0%21.1%18.3%21.0%
Expected Move5.1%4.8%5.5%5.1%4.9%
HV 20d17.4%13.9%19.8%18.8%14.6%
HV 60d17.4%16.7%18.2%17.7%17.1%
IV Rank9.8%0.5%27.6%9.2%27.0%
IV Percentile9.8%0.8%32.1%6.0%30.6%
Term Structure0.7%-1.1%3.8%-0.3%-0.0%
VWIV18.0%15.0%19.8%18.7%18.1%
Skew 25d2.2%1.5%3.0%1.5%2.5%
Skew 10d4.7%3.3%6.6%3.3%6.6%
Call IV 25d17.7%15.9%20.4%17.7%20.4%
Put IV 25d19.9%18.0%23.0%19.2%22.9%
Bid-Ask Spread %11.786.5318.4512.4615.74
Gamma HHI0.190.150.240.150.18
Net GEX7.2M5.6M8.4M6.6M8.4M
Net DEX-105.3M-136.2M-64.7M-68.5M-128.5M
Net VEX-595.8K-618.2K-570.4K-572.4K-587.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.632.670.961.44
Total Volume6,426.1824,5129,8504,9455,531
Total OI89,107.584,68592,61284,68592,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$50.83$49.7218.3%5.1%18.8%9.2%18.7%1.5%-0.3%6.6M-68.5M-572.4K0.9612.462,5282,41747,10537,580
2017-06-02$51.57$49.7217.7%4.9%19.5%5.3%18.1%1.5%-0.1%7.4M-93.6M-570.4K1.8414.532,8925,33348,12337,810
2017-06-05$51.34$49.7217.9%5.1%19.5%6.2%18.5%1.9%0.3%6.1M-77.2M-588.6K0.989.783,2503,17046,34939,574
2017-06-06$51.04$49.7218.0%5.1%19.4%7.2%18.8%1.7%0.3%6.3M-72.7M-580.3K1.1115.083,0823,41747,59838,231
2017-06-07$51.23$49.7218.1%5.2%19.1%7.6%19.8%1.9%-0.1%6.4M-76.4M-593.3K1.2813.203,1263,98948,39039,180
2017-06-08$50.79$49.7218.1%5.5%19.1%7.7%19.2%2.0%-0.2%5.6M-64.7M-609.1K1.2213.133,2804,01148,81440,101
2017-06-09$51.83$49.7217.7%5.2%19.8%5.2%18.8%1.9%-0.1%7.4M-94.0M-599.9K0.9914.934,9444,90248,89740,106
2017-06-12$52.06$49.7218.0%5.2%19.6%6.8%18.6%1.9%-0.1%7.8M-94.7M-614.3K1.6110.001,9083,07648,03640,003
2017-06-13$52.81$49.7217.1%5.2%19.6%0.8%17.4%1.5%0.9%7.7M-114.2M-580.9K0.886.533,8813,41147,21139,818
2017-06-14$52.85$49.7217.5%5.3%19.6%4.0%18.8%2.2%0.9%7.7M-118.9M-596.6K1.2218.453,1523,85049,90740,680
2017-06-15$52.82$49.7217.9%5.3%17.3%6.2%18.5%2.5%0.8%7.4M-116.9M-599.0K1.489.642,6703,94050,40041,497
2017-06-16$53.44$49.7217.4%4.8%15.7%3.3%18.3%2.2%-1.1%8.0M-136.2M-593.4K0.9811.044,9814,86950,60142,011
2017-06-19$53.84$49.7217.0%4.9%15.7%0.5%17.3%2.1%2.3%7.1M-128.1M-586.9K1.5111.392,0563,11347,86339,598
2017-06-20$53.70$49.7217.6%5.1%15.6%4.5%17.5%2.6%1.9%6.7M-122.3M-579.8K0.638.464,6462,93346,98439,774
2017-06-21$53.13$49.7217.8%5.1%16.5%5.9%17.8%2.4%3.0%6.7M-112.7M-618.2K0.678.653,7392,51849,79940,164
2017-06-22$53.43$49.7217.8%4.9%16.5%5.7%17.5%2.1%3.8%7.1M-122.5M-612.1K0.8611.482,8632,45350,27840,192
2017-06-23$53.79$49.7217.9%4.8%16.5%6.2%15.7%2.2%3.5%7.6M-132.9M-601.0K0.9011.432,7852,51250,38640,474
2017-06-26$53.80$49.7219.7%4.8%16.5%18.5%17.3%2.3%-0.5%7.7M-125.4M-603.7K1.018.602,2922,30349,68539,903
2017-06-27$53.30$49.7220.6%4.9%15.4%24.5%18.2%3.0%-0.3%7.4M-113.4M-604.4K1.7211.132,1353,67450,19740,151
2017-06-28$52.95$49.7220.9%4.8%14.4%26.3%15.0%2.8%-0.1%7.4M-105.5M-607.0K2.678.901,4263,80650,89041,329
2017-06-29$52.77$49.7221.1%5.1%13.9%27.6%18.0%3.0%-0.3%6.9M-97.3M-608.2K2.2214.511,4003,11251,03441,341
2017-06-30$53.83$49.7221.0%4.9%14.6%27.0%18.1%2.5%-0.0%8.4M-128.5M-587.5K1.4415.742,2683,26351,04041,261