IP Options History — November 2017

In November 2017, IP traded between $51.01 and $54.65. ATM implied volatility averaged 18.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.5% (HV 20d: 11.9%). Max pain ranged from $52.08 to $54.45. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-11-29: Highest Volume — 10,358 contracts
  • 2017-11-06: Largest IV spike — 6.2% change
  • 2017-11-13: Highest IV Rank — 30.2%
  • 2017-11-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.34$51.01$54.65$54.65$53.65
Max Pain$52.53$52.08$54.45$54.45$52.08
ATM IV18.5%16.9%19.6%18.2%17.9%
Expected Move5.4%5.1%5.8%5.6%5.4%
HV 20d11.9%10.5%13.7%10.5%13.7%
HV 60d14.2%12.6%15.4%15.4%13.2%
IV Rank16.7%0.0%30.2%12.6%11.4%
IV Percentile17.9%0.0%34.9%13.1%13.1%
Term Structure0.1%-1.0%1.0%0.4%-0.4%
VWIV19.9%17.7%22.9%21.3%20.3%
Skew 25d3.1%2.3%3.9%3.2%2.3%
Skew 10d7.1%5.2%10.1%6.1%6.2%
Call IV 25d17.7%16.2%19.0%17.6%17.7%
Put IV 25d20.8%18.7%22.9%20.8%20.0%
Bid-Ask Spread %12.307.4534.2222.2734.22
Gamma HHI0.200.130.250.200.25
Net GEX5.5M3.0M11.0M8.4M11.0M
Net DEX-44.5M-90.4M-20.2M-79.7M-90.4M
Net VEX-511.8K-584.2K-469.2K-584.2K-545.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.162.261.410.49
Total Volume6,945.1434,99610,3589,2427,844
Total OI77,490.28673,33081,48774,03781,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$54.65$54.4518.2%5.6%10.5%12.6%21.3%3.2%0.4%8.4M-79.7M-584.2K1.4122.273,8305,41245,05028,987
2017-11-02$54.36$54.4519.1%5.5%10.6%21.2%21.9%3.1%0.1%8.5M-80.1M-570.3K2.2611.182,7056,11846,75229,448
2017-11-03$54.06$54.4518.1%5.3%10.7%11.8%22.9%3.5%0.8%7.9M-70.9M-571.3K2.008.932,6105,21247,39129,796
2017-11-06$52.86$54.4519.2%5.8%13.1%24.3%22.1%3.6%1.0%5.0M-44.6M-523.6K1.4914.433,4735,16746,61129,695
2017-11-07$52.36$52.0819.6%5.8%12.8%29.3%21.6%3.6%0.4%3.8M-34.6M-519.4K0.907.903,5023,16247,49630,291
2017-11-08$52.35$52.0818.9%5.6%12.8%21.9%19.6%3.1%0.5%4.0M-36.0M-510.9K0.498.434,0361,99347,89030,504
2017-11-09$52.02$52.0819.6%5.7%12.9%29.3%19.6%3.6%0.3%3.3M-27.2M-510.0K0.358.915,6091,96148,76030,862
2017-11-10$51.93$52.0819.2%5.5%12.6%25.4%18.6%3.1%0.1%3.6M-29.8M-507.2K0.417.994,2791,76249,62430,846
2017-11-13$51.52$52.0819.6%5.6%12.6%30.2%20.9%3.9%0.6%3.0M-22.2M-469.2K0.397.454,2221,64248,16130,414
2017-11-14$51.43$52.0819.4%5.6%11.8%28.1%20.3%3.5%0.1%3.7M-28.8M-506.5K0.429.194,0751,72247,97330,703
2017-11-15$51.01$52.0818.8%5.4%11.9%21.1%20.1%3.8%0.6%3.0M-20.2M-498.3K0.497.853,3621,63448,55030,654
2017-11-16$51.23$52.0818.3%5.2%12.1%15.7%18.8%3.3%0.6%3.3M-23.3M-493.0K0.399.944,0281,56448,70430,608
2017-11-17$51.34$52.0817.8%5.1%11.2%10.2%19.2%3.6%0.0%3.9M-28.2M-480.1K0.3010.735,9401,75648,49930,674
2017-11-20$51.26$52.0818.8%5.4%11.0%20.6%18.5%3.4%-1.0%3.9M-27.7M-473.3K0.4410.023,5631,55044,18529,145
2017-11-21$51.84$52.0817.7%5.1%11.8%8.6%17.7%2.6%-0.7%5.2M-37.7M-483.3K0.3310.005,6941,87044,81729,438
2017-11-22$51.86$52.0817.6%5.1%11.5%7.2%19.6%2.3%-0.6%6.1M-41.5M-500.8K0.3912.223,7401,46446,54829,971
2017-11-24$52.01$52.0817.6%5.1%11.6%7.9%19.9%2.9%-0.2%6.6M-48.7M-503.8K0.4819.173,4711,67246,65530,074
2017-11-27$52.13$52.0817.7%5.2%11.7%9.1%19.4%2.3%0.3%6.2M-48.9M-497.9K0.439.173,8051,64346,14029,759
2017-11-28$52.60$52.0816.9%5.2%12.0%0.0%18.2%2.5%-0.4%7.0M-52.7M-490.1K0.2314.086,8191,57946,38530,024
2017-11-29$52.65$52.0817.4%5.2%12.0%5.5%18.1%2.5%0.1%7.7M-60.3M-509.1K0.1614.258,9171,44147,56130,164
2017-11-30$53.65$52.0817.9%5.4%13.7%11.4%20.3%2.3%-0.4%11.0M-90.4M-545.1K0.4934.225,2552,58951,02930,458