IP Options History — October 2017

In October 2017, IP traded between $54.02 and $55.53. ATM implied volatility averaged 20.6%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.0% (HV 20d: 12.6%). Max pain ranged from $52.08 to $54.45. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-10-20: Highest Volume — 14,092 contracts
  • 2017-10-25: Largest IV drop — 9.9% change
  • 2017-10-17: Highest IV Rank — 36.9%
  • 2017-10-16: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.63$54.02$55.53$54.30$54.25
Max Pain$52.94$52.08$54.45$52.08$54.45
ATM IV20.6%17.0%22.5%21.4%18.1%
Expected Move5.9%5.0%6.5%5.2%5.4%
HV 20d12.6%9.9%15.2%15.1%10.3%
HV 60d18.9%15.4%20.7%20.7%15.5%
IV Rank25.1%0.7%36.9%29.7%11.5%
IV Percentile41.7%0.8%69.4%50.8%12.3%
Term Structure-0.5%-2.1%0.3%-0.6%0.2%
VWIV21.7%17.6%26.2%18.3%19.0%
Skew 25d3.0%1.8%3.8%2.1%3.3%
Skew 10d6.4%4.8%8.0%6.0%6.3%
Call IV 25d19.3%16.2%20.6%20.3%16.7%
Put IV 25d22.3%19.3%24.2%22.4%20.0%
Bid-Ask Spread %12.118.8916.2016.0911.12
Gamma HHI0.220.170.460.180.19
Net GEX11.1M6.5M16.6M11.7M7.5M
Net DEX-108.3M-143.1M-69.9M-111.1M-71.6M
Net VEX-506.5K-575.3K-464.4K-504.5K-575.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.332.111.141.87
Total Volume7,645.54,27714,0926,8297,737
Total OI81,865.45568,83889,17683,60375,398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$54.30$52.0821.4%5.2%15.1%29.7%18.3%2.1%-0.6%11.7M-111.1M-504.5K1.1416.093,1853,64449,37634,227
2017-10-03$54.37$52.0821.6%5.0%15.0%30.9%17.6%2.9%-1.1%11.9M-111.8M-494.3K1.3413.852,4793,33549,24334,613
2017-10-04$54.66$52.0821.1%5.0%15.0%27.3%17.6%1.8%-0.4%12.4M-123.4M-483.7K1.0413.472,9273,03949,33134,706
2017-10-05$54.61$52.0820.5%6.0%14.9%23.6%22.8%2.3%-0.0%12.8M-118.7M-493.8K0.6610.824,6423,05049,18734,781
2017-10-06$54.38$52.0821.1%6.1%15.2%27.6%22.9%2.3%-0.3%12.4M-112.7M-479.0K1.5211.702,2703,44450,41135,066
2017-10-09$54.02$52.0821.3%6.1%13.4%28.6%22.1%3.2%-0.3%12.8M-99.8M-477.7K0.8011.072,5772,06249,60534,049
2017-10-10$54.55$52.0821.0%6.1%13.7%26.7%23.7%3.0%0.3%13.8M-122.0M-467.0K0.828.892,3561,92150,14134,166
2017-10-11$54.29$52.0821.2%6.0%13.9%28.2%23.0%2.6%-0.4%14.6M-116.0M-464.4K0.8610.632,8592,46450,66434,353
2017-10-12$54.18$52.0821.5%6.0%13.9%30.0%21.9%3.0%-0.7%15.1M-110.8M-475.1K0.998.972,6482,61051,29835,001
2017-10-13$54.41$54.4521.3%6.1%14.0%28.7%20.4%2.7%0.2%14.4M-119.4M-470.6K0.3312.498,1062,66751,45035,292
2017-10-16$54.64$54.4522.5%6.5%13.1%36.7%25.0%3.6%-2.1%12.2M-117.5M-484.3K0.6716.204,2662,86450,81435,211
2017-10-17$55.10$54.4522.5%6.5%13.2%36.9%26.2%3.8%-1.4%12.6M-134.8M-479.3K0.3913.746,8972,69251,65135,503
2017-10-18$54.97$54.4521.7%6.2%13.0%31.4%25.2%3.2%-1.1%14.0M-135.3M-485.3K0.6711.163,8352,56653,37035,619
2017-10-19$54.49$52.0821.7%6.3%13.0%31.7%25.5%3.1%-1.3%16.6M-114.8M-476.5K0.5111.004,9632,54053,53935,627
2017-10-20$55.05$52.0821.5%6.3%10.4%30.2%22.4%3.5%-1.6%6.6M-143.1M-469.5K0.4810.689,5464,54653,49435,682
2017-10-23$55.23$52.0821.0%6.3%9.9%28.4%23.2%3.2%-0.5%7.1M-94.5M-547.3K1.2110.263,6144,37440,32128,517
2017-10-24$55.53$52.0820.6%6.3%10.0%30.1%22.8%3.0%-0.3%7.5M-103.8M-555.6K1.6715.853,6726,12341,61728,913
2017-10-25$54.91$52.0818.6%5.5%10.3%13.5%20.5%3.4%0.1%6.5M-85.6M-555.9K1.0912.284,3314,72842,76830,886
2017-10-26$54.94$54.4517.5%5.1%10.2%5.1%18.8%3.3%-0.1%6.8M-87.2M-564.3K2.0210.392,3704,79443,88131,389
2017-10-27$54.84$54.4517.0%5.1%10.1%0.7%18.4%3.2%0.1%7.8M-79.7M-568.2K0.5813.107,3654,27544,04931,763
2017-10-30$54.26$54.4518.4%5.5%10.3%14.2%19.9%3.6%0.2%7.2M-69.9M-571.4K2.1112.692,5135,30544,33229,736
2017-10-31$54.25$54.4518.1%5.4%10.3%11.5%19.0%3.3%0.2%7.5M-71.6M-575.3K1.8711.122,7005,03744,66130,737