IP Options History — July 2017

In July 2017, IP traded between $51.51 and $55.15. ATM implied volatility averaged 21.5%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.0% (HV 20d: 15.5%). Max pain ranged from $49.72 to $52.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-07-28: Highest Volume — 18,054 contracts
  • 2017-07-28: Largest IV spike — 10.5% change
  • 2017-07-13: Highest IV Rank — 44.0%
  • 2017-07-13: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.90$51.51$55.15$53.96$52.23
Max Pain$51.73$49.72$52.08$49.72$52.08
ATM IV21.5%18.7%23.6%21.0%19.1%
Expected Move6.1%5.0%6.6%5.0%5.9%
HV 20d15.5%13.8%25.4%14.4%24.9%
HV 60d16.9%15.4%19.9%17.1%19.9%
IV Rank30.3%11.8%44.0%27.0%14.2%
IV Percentile42.7%13.9%70.2%31.0%15.9%
Term Structure-0.5%-1.6%1.0%1.0%-0.3%
VWIV23.0%17.2%27.4%17.2%23.0%
Skew 25d2.9%2.2%3.5%2.6%3.0%
Skew 10d6.4%4.7%7.7%5.9%6.2%
Call IV 25d20.4%17.2%22.7%20.1%18.2%
Put IV 25d23.3%20.4%25.3%22.7%21.2%
Bid-Ask Spread %13.769.5024.1515.4211.68
Gamma HHI0.210.130.370.200.19
Net GEX7.5M2.5M9.7M8.1M6.1M
Net DEX-111.8M-165.8M-26.6M-129.7M-48.4M
Net VEX-525.9K-582.5K-477.9K-563.1K-507.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.241.821.040.48
Total Volume5,847.853,26718,0543,9477,032
Total OI86,247.0566,82494,69390,72778,736

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$53.96$49.7221.0%5.0%14.4%27.0%17.2%2.6%1.0%8.1M-129.7M-563.1K1.0415.421,9312,01649,93240,795
2017-07-05$53.83$49.7221.3%5.2%14.2%29.1%17.8%2.6%0.2%8.1M-123.8M-574.9K0.6215.813,7122,28850,06240,847
2017-07-06$53.10$52.0822.2%6.5%15.3%34.9%27.4%2.5%0.8%7.5M-103.6M-582.5K0.8016.692,7182,17551,11441,172
2017-07-07$53.44$52.0821.9%5.9%14.9%32.9%26.6%2.5%0.8%8.3M-114.4M-565.5K0.7813.532,8842,24151,25041,444
2017-07-10$54.33$49.7222.1%6.2%14.3%34.4%22.1%2.6%-0.8%9.0M-139.6M-540.6K0.7811.953,0282,35251,04540,714
2017-07-11$54.04$52.0822.7%6.2%14.5%37.9%23.3%2.7%-1.1%9.2M-132.3M-540.6K0.8312.422,8542,35851,49141,023
2017-07-12$54.26$52.0822.9%6.1%13.8%39.1%21.8%2.2%-1.6%9.1M-138.1M-540.3K1.8211.601,7713,22251,59241,227
2017-07-13$55.07$52.0823.6%6.6%14.6%44.0%23.1%3.3%-0.7%8.5M-160.5M-532.8K0.9012.413,7903,41851,67340,581
2017-07-14$55.15$52.0823.0%6.4%14.6%39.7%22.5%2.6%-1.0%8.9M-165.8M-531.4K0.9810.263,6483,56853,37040,969
2017-07-17$55.04$52.0822.8%6.4%14.2%38.5%22.4%2.9%-1.3%8.6M-154.7M-520.1K0.819.502,8362,29651,96541,543
2017-07-18$54.61$52.0822.6%6.4%14.4%37.4%24.9%3.4%-1.2%9.5M-140.8M-523.8K1.0912.312,0222,21252,33141,586
2017-07-19$54.47$52.0822.3%6.4%14.4%35.0%25.2%3.1%-1.6%9.7M-138.4M-518.4K1.2212.421,9422,37552,61541,619
2017-07-20$53.84$52.0821.4%6.1%14.5%29.5%24.3%3.2%-0.3%7.8M-115.1M-521.9K0.7310.282,4631,79952,61341,991
2017-07-21$53.75$52.0820.7%6.0%14.4%25.0%21.7%3.0%-0.6%3.8M-108.6M-506.3K0.2412.176,8721,68252,64242,051
2017-07-24$53.72$52.0820.7%6.1%14.2%25.0%24.2%3.5%-0.4%5.6M-70.3M-501.3K0.6111.562,3711,44537,57929,245
2017-07-25$53.85$52.0820.5%6.2%14.2%23.6%24.8%2.8%-0.9%6.0M-74.0M-491.3K0.8612.241,7561,51138,47129,730
2017-07-26$53.37$52.0820.3%6.2%14.2%22.2%23.2%2.8%-0.7%5.5M-64.9M-489.1K0.6317.643,0461,91938,72830,116
2017-07-27$54.43$52.0818.7%5.4%15.5%11.8%23.4%3.1%-0.2%8.0M-86.4M-490.0K0.6021.142,0971,25339,67630,631
2017-07-28$51.51$52.0820.7%6.1%25.4%24.7%21.4%3.0%-0.5%2.5M-26.6M-477.9K0.3624.1513,2784,77640,05130,721
2017-07-31$52.23$52.0819.1%5.9%24.9%14.2%23.0%3.0%-0.3%6.1M-48.4M-507.3K0.4811.684,7492,28345,77032,966