IP Options History — August 2017

In August 2017, IP traded between $49.51 and $52.51. ATM implied volatility averaged 19.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 5.7% (HV 20d: 25.0%). Max pain ranged from $50.19 to $52.08. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-08-16: Highest Volume — 10,436 contracts
  • 2017-08-16: Largest IV drop — 10.6% change
  • 2017-08-15: Highest IV Rank — 27.6%
  • 2017-08-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.96$49.51$52.51$52.51$50.98
Max Pain$52.00$50.19$52.08$52.08$50.19
ATM IV19.2%18.3%21.1%18.8%18.7%
Expected Move5.4%4.9%6.1%5.7%5.2%
HV 20d25.0%19.1%28.3%24.9%19.1%
HV 60d20.3%19.9%20.8%19.9%20.4%
IV Rank15.2%9.0%27.6%12.1%11.9%
IV Percentile19.4%11.9%35.7%14.7%16.7%
Term Structure0.1%-1.1%1.6%-0.2%0.1%
VWIV19.7%17.3%26.5%26.5%18.1%
Skew 25d2.7%2.1%3.1%2.9%3.0%
Skew 10d6.0%4.2%7.5%5.7%5.3%
Call IV 25d18.6%17.2%20.3%17.2%17.9%
Put IV 25d21.3%20.0%22.8%20.1%20.8%
Bid-Ask Spread %11.817.3416.4212.7114.98
Gamma HHI0.230.130.520.190.20
Net GEX5.0M470.0K13.4M7.2M4.8M
Net DEX-28.3M-57.7M9.9M-57.0M-37.2M
Net VEX-481.6K-517.4K-444.9K-517.4K-484.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.371.520.810.85
Total Volume5,856.2613,10210,4364,0853,896
Total OI80,687.56570,60189,23580,84576,217

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$52.51$52.0818.8%5.7%24.9%12.1%26.5%2.9%-0.2%7.2M-57.0M-517.4K0.8112.712,2621,82347,01833,827
2017-08-02$51.62$52.0818.6%5.6%25.6%11.3%24.0%2.9%-0.7%5.5M-33.4M-499.0K0.7111.992,2831,62746,94334,091
2017-08-03$50.71$52.0818.8%5.5%25.8%12.2%20.8%3.1%-0.4%3.6M-9.8M-482.7K0.6713.942,9091,94746,60934,192
2017-08-04$50.99$52.0818.4%5.1%25.8%10.0%18.8%3.1%-0.3%4.1M-17.4M-478.8K0.677.342,7101,81147,27834,493
2017-08-07$51.46$52.0818.4%5.1%25.2%9.9%18.0%2.1%-0.7%6.7M-31.8M-487.5K0.567.862,7421,53547,41833,926
2017-08-08$51.15$52.0818.4%5.1%25.2%9.8%18.5%2.7%-0.3%6.0M-23.7M-473.9K0.7711.661,7551,34748,36334,037
2017-08-09$50.57$52.0819.0%5.6%25.3%13.8%19.8%2.8%0.6%4.1M-8.3M-462.0K0.397.674,0891,59748,40334,187
2017-08-10$49.51$52.0820.3%5.7%25.0%22.5%20.5%3.1%-0.5%1.5M9.9M-444.9K0.8616.423,0482,61650,79934,353
2017-08-11$49.87$52.0820.1%5.8%25.3%21.0%19.3%2.8%-0.0%3.5M-3.3M-473.3K0.6011.274,5812,75451,02434,945
2017-08-14$50.73$52.0820.6%6.0%26.5%23.9%19.9%2.1%-1.1%7.4M-32.4M-490.2K0.469.515,9482,71551,04033,240
2017-08-15$50.70$52.0821.1%6.1%26.5%27.6%20.6%2.5%-0.5%7.2M-30.8M-487.7K0.478.285,1322,43052,82533,512
2017-08-16$51.46$52.0818.9%5.4%27.3%12.8%18.9%2.6%1.1%13.4M-57.7M-503.8K0.3710.987,6082,82855,51433,721
2017-08-17$51.13$52.0819.8%5.6%27.2%18.8%20.1%2.9%0.9%9.5M-42.0M-492.2K0.4915.673,5431,75153,88733,890
2017-08-18$51.50$52.0819.2%5.3%27.4%14.9%19.0%2.6%1.6%5.2M-44.8M-479.3K0.4711.553,8081,79254,15333,970
2017-08-21$50.45$52.0820.0%5.7%28.1%20.3%19.4%2.7%0.1%3.3M-25.9M-454.0K0.9414.064,7184,41440,31330,288
2017-08-22$50.76$52.0819.4%5.4%28.3%16.1%19.7%2.7%0.4%2.9M-20.8M-469.7K1.4714.772,9934,40141,76833,431
2017-08-23$50.89$52.0818.6%5.2%28.2%11.2%19.4%2.8%0.7%3.0M-23.0M-471.7K1.528.762,4823,78042,29533,713
2017-08-24$50.94$52.0818.8%5.1%27.1%12.5%18.8%2.8%0.4%3.6M-24.0M-482.6K1.2410.872,6543,30042,74833,852
2017-08-25$51.85$52.0818.3%4.9%19.9%9.0%17.3%2.3%0.4%470.0K-47.3M-486.8K1.0313.513,6013,71842,88933,940
2017-08-28$50.94$52.0819.1%5.2%20.3%14.1%18.7%3.0%0.7%4.6M-34.4M-485.7K0.5810.773,0021,74043,10231,774
2017-08-29$50.36$52.0820.0%5.3%20.4%20.5%18.5%2.7%-0.0%3.4M-22.6M-483.4K0.5915.522,7081,59443,33232,242
2017-08-30$50.94$52.0819.2%5.2%20.1%14.7%17.7%2.7%0.0%4.6M-33.1M-486.2K0.4811.443,1781,52443,58632,666
2017-08-31$50.98$50.1918.7%5.2%19.1%11.9%18.1%3.0%0.1%4.8M-37.2M-484.4K0.8514.982,1021,79443,54932,668