IP Options History — September 2017

In September 2017, IP traded between $51.79 and $54.80. ATM implied volatility averaged 19.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.0% (HV 20d: 17.7%). Max pain ranged from $52.08 to $52.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-09-11: Highest Volume — 14,194 contracts
  • 2017-09-05: Largest IV spike — 8.5% change
  • 2017-09-26: Highest IV Rank — 30.3%
  • 2017-09-14: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.14$51.79$54.80$52.00$53.76
Max Pain$52.08$52.08$52.08$52.08$52.08
ATM IV19.7%17.8%21.5%17.8%20.2%
Expected Move5.5%4.6%5.9%4.6%4.9%
HV 20d17.7%15.7%20.2%20.2%16.1%
HV 60d20.5%20.0%21.0%20.7%20.7%
IV Rank18.2%5.6%30.3%5.6%21.5%
IV Percentile28.8%6.3%51.2%6.3%34.5%
Term Structure0.9%-0.8%3.6%0.5%0.1%
VWIV19.0%16.0%21.9%16.0%16.7%
Skew 25d2.4%1.7%2.9%1.8%2.2%
Skew 10d5.4%3.4%7.3%4.5%6.1%
Call IV 25d19.0%17.3%21.5%17.3%19.7%
Put IV 25d21.4%19.1%24.2%19.1%21.9%
Bid-Ask Spread %15.127.0123.6115.4015.92
Gamma HHI0.180.140.250.250.19
Net GEX9.1M6.8M11.4M7.2M10.6M
Net DEX-87.7M-135.1M-55.7M-56.7M-99.7M
Net VEX-519.9K-550.7K-493.0K-495.6K-496.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.292.240.380.74
Total Volume7,669.254,66114,1948,08810,913
Total OI81,610.276,34587,74976,67187,749

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$52.00$52.0817.8%4.6%20.2%5.6%16.0%1.8%0.5%7.2M-56.7M-495.6K0.3815.405,8562,23243,66633,005
2017-09-05$51.85$52.0819.3%5.6%20.1%15.6%21.9%2.7%-0.4%6.9M-58.3M-525.8K0.4517.734,2271,89943,62832,940
2017-09-06$51.91$52.0819.1%5.6%19.9%14.2%20.4%2.6%0.2%7.0M-57.1M-532.5K0.637.012,8671,79443,76933,024
2017-09-07$51.79$52.0819.5%5.8%19.4%16.7%20.3%2.7%0.3%6.8M-56.0M-517.9K0.3912.724,5331,75843,90732,978
2017-09-08$51.89$52.0819.0%5.7%17.5%13.8%20.0%2.3%0.1%7.3M-55.7M-525.3K0.3515.825,4421,90945,55633,177
2017-09-11$53.08$52.0819.7%5.7%18.9%18.2%19.7%2.3%0.6%8.1M-86.2M-523.8K0.2916.9410,9663,22843,44132,904
2017-09-12$52.95$52.0819.1%5.8%18.2%14.3%19.9%2.3%1.0%9.6M-92.0M-527.8K0.5812.205,2173,02446,60334,493
2017-09-13$53.13$52.0819.4%5.9%18.2%16.6%19.1%2.3%1.3%9.4M-90.8M-534.7K0.7313.413,9642,88046,71735,282
2017-09-14$53.24$52.0819.8%5.9%17.6%19.1%19.5%2.4%0.8%9.8M-99.9M-522.5K0.5513.375,4102,97547,46935,562
2017-09-15$53.25$52.0819.5%5.8%17.4%16.8%20.3%2.5%1.2%8.2M-100.3M-528.3K0.9312.563,1742,94049,47735,778
2017-09-18$54.02$52.0819.0%5.5%17.8%13.7%18.6%1.7%2.6%9.0M-110.1M-508.5K0.5821.464,2932,48445,59433,084
2017-09-19$54.40$52.0819.2%5.5%15.7%15.2%19.5%2.5%2.2%9.3M-120.4M-512.3K0.4816.875,1722,48946,73433,512
2017-09-20$54.80$52.0818.6%5.3%15.7%10.9%20.2%2.6%3.4%9.8M-135.1M-507.5K0.3523.614,5761,60048,08633,709
2017-09-21$54.29$52.0819.6%5.5%16.4%17.8%19.0%2.4%2.8%9.8M-122.1M-550.7K0.7715.453,1782,45749,27233,791
2017-09-22$53.10$52.0819.7%5.3%18.7%18.2%18.6%2.4%3.6%10.6M-76.5M-529.0K0.6216.237,0654,36449,07934,925
2017-09-25$52.75$52.0821.3%5.6%18.0%29.0%19.0%2.7%-0.2%9.5M-66.0M-512.2K1.7216.202,4214,15749,66835,658
2017-09-26$52.97$52.0821.5%5.1%16.6%30.3%18.0%2.9%-0.8%10.8M-74.4M-493.0K1.2915.023,1204,01249,91735,479
2017-09-27$53.66$52.0821.1%5.1%16.3%27.7%17.4%2.3%-0.3%11.4M-94.2M-536.4K1.8815.112,4434,58250,46335,589
2017-09-28$53.94$52.0821.4%5.0%16.0%29.2%17.0%2.4%-0.4%11.2M-102.6M-516.8K2.249.452,3935,37150,64635,873
2017-09-29$53.76$52.0820.2%4.9%16.1%21.5%16.7%2.2%0.1%10.6M-99.7M-496.4K0.7415.926,2874,62650,78736,962