IP Options History — December 2017

In December 2017, IP traded between $52.27 and $54.94. ATM implied volatility averaged 17.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.1% (HV 20d: 17.8%). 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 16 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2017-12-14: Highest Volume — 9,764 contracts
  • 2017-12-08: Largest IV drop — 10.7% change
  • 2017-12-01: Highest IV Rank — 33.5%
  • 2017-12-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.04$52.27$54.94$52.59$54.91
Max Pain$49.83$49.72$52.08$52.08$49.72
ATM IV17.7%16.2%19.9%19.9%17.2%
Expected Move5.1%4.5%6.4%6.4%4.5%
HV 20d17.8%14.8%20.7%15.2%19.6%
HV 60d14.4%13.8%15.0%13.8%14.9%
IV Rank10.6%0.0%33.5%33.5%10.2%
IV Percentile11.9%0.0%42.9%42.9%6.3%
Term Structure0.8%-0.8%3.4%-0.4%3.4%
VWIV18.6%15.3%24.3%24.3%16.3%
Skew 25d2.5%1.3%3.3%3.1%2.2%
Skew 10d5.6%4.4%7.2%6.3%4.8%
Call IV 25d16.9%15.1%19.5%19.5%15.3%
Put IV 25d19.3%17.5%22.5%22.5%17.5%
Bid-Ask Spread %11.615.5822.3214.7010.57
Gamma HHI0.240.180.350.210.20
Net GEX10.3M963.8K24.0M7.4M13.9M
Net DEX-86.1M-112.5M-32.8M-59.3M-101.9M
Net VEX-490.4K-527.3K-453.5K-519.0K-457.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.220.730.670.36
Total Volume6,091.353,3749,7649,6066,260
Total OI79,646.774,71684,49380,14279,504

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$52.59$52.0819.9%6.4%15.2%33.5%24.3%3.1%-0.4%7.4M-59.3M-519.0K0.6714.705,7633,84348,96131,181
2017-12-04$53.88$49.7219.4%5.6%17.6%27.6%24.1%2.7%0.4%9.6M-91.2M-515.4K0.4913.474,2642,09547,63532,854
2017-12-05$53.93$49.7219.2%5.5%15.5%25.9%23.3%2.9%0.4%10.0M-94.4M-520.0K0.399.093,7081,43748,12832,973
2017-12-06$53.79$49.7219.0%5.5%15.1%23.4%21.6%1.9%0.1%10.2M-88.9M-527.3K0.398.624,3511,71448,18633,090
2017-12-07$53.78$49.7219.1%5.4%15.1%23.8%21.5%2.6%0.1%11.2M-85.7M-526.3K0.6622.323,5822,36648,23633,390
2017-12-08$53.85$49.7217.0%5.0%14.8%1.1%19.0%1.3%0.5%9.3M-84.8M-509.0K0.588.572,9421,69449,00734,219
2017-12-11$54.28$49.7217.4%5.0%14.9%5.1%17.0%2.5%-0.1%10.9M-93.7M-496.0K0.325.584,8331,55146,59532,485
2017-12-12$53.68$49.7217.5%5.0%15.2%6.1%19.2%2.8%-0.2%9.9M-75.8M-489.2K0.417.384,1191,68147,74832,864
2017-12-13$53.53$49.7217.2%5.0%15.3%3.1%18.9%2.7%0.1%9.6M-71.1M-487.1K0.7016.343,7412,61647,82033,227
2017-12-14$52.27$49.7218.5%5.1%17.5%17.2%18.0%3.3%-0.8%3.5M-32.8M-453.5K0.4310.326,8482,91647,87934,019
2017-12-15$53.13$49.7217.8%5.3%18.3%9.3%17.3%2.2%1.4%963.8K-57.9M-465.2K0.4617.073,5111,61449,63334,860
2017-12-18$54.36$49.7217.1%4.9%19.7%1.9%17.2%2.6%0.5%9.2M-91.3M-483.6K0.2812.454,8231,34643,33131,385
2017-12-19$54.75$49.7217.0%4.9%19.7%1.0%16.9%2.0%0.3%10.6M-103.0M-499.5K0.3114.845,3121,62245,02031,593
2017-12-20$54.92$49.7216.8%4.8%19.5%0.0%16.5%2.4%0.3%12.1M-112.5M-482.2K0.259.026,0831,50047,30031,875
2017-12-21$54.42$49.7216.8%4.8%20.0%0.6%17.1%2.2%0.4%10.9M-95.9M-493.5K0.6110.582,1451,31246,17632,075
2017-12-22$54.94$49.7216.2%4.6%20.1%0.0%16.5%2.5%0.3%24.0M-109.1M-490.1K0.468.713,4871,62146,32532,202
2017-12-26$54.37$49.7217.3%4.7%20.7%11.2%16.2%2.6%2.8%10.4M-86.9M-458.6K0.7310.622,2011,60244,70631,721
2017-12-27$54.59$49.7216.6%4.7%20.5%4.2%16.5%2.3%3.2%11.1M-91.2M-475.9K0.6910.051,9951,37945,22732,043
2017-12-28$54.73$49.7216.8%4.6%20.5%6.4%15.3%2.6%3.3%11.5M-93.9M-459.8K0.2211.836,5241,42645,30232,159
2017-12-29$54.91$49.7217.2%4.5%19.6%10.2%16.3%2.2%3.4%13.9M-101.9M-457.2K0.3610.574,6071,65347,20632,298