IP Options History — January 2018

In January 2018, IP traded between $56.63 and $61.62. ATM implied volatility averaged 22.2%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.5% (HV 20d: 18.7%). Max pain ranged from $49.72 to $56.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2018-01-18: Highest Volume — 24,037 contracts
  • 2018-01-18: Largest IV spike — 10.3% change
  • 2018-01-31: Highest IV Rank — 93.4%
  • 2018-01-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.22$56.63$61.62$56.63$59.61
Max Pain$54.74$49.72$56.82$49.72$56.82
ATM IV22.2%19.2%25.1%19.2%25.1%
Expected Move6.5%4.6%8.2%4.7%8.0%
HV 20d18.7%16.5%20.7%20.6%18.2%
HV 60d17.0%16.1%18.2%16.1%18.2%
IV Rank61.8%30.8%93.4%30.8%93.4%
IV Percentile74.4%38.1%99.2%38.1%99.2%
Term Structure-0.4%-1.5%0.7%0.2%-0.9%
VWIV23.4%17.8%29.3%17.8%28.7%
Skew 25d2.2%1.8%2.8%2.8%2.5%
Skew 10d4.8%3.1%7.2%7.2%4.7%
Call IV 25d21.5%18.8%24.0%18.8%24.0%
Put IV 25d23.7%21.6%26.5%21.6%26.5%
Bid-Ask Spread %14.028.9521.759.4418.69
Gamma HHI0.190.110.270.240.12
Net GEX8.7M4.9M11.9M11.9M5.4M
Net DEX-168.5M-246.3M-98.6M-148.6M-98.6M
Net VEX-567.3K-692.2K-461.2K-461.2K-666.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.180.890.460.40
Total Volume8,995.5244,23624,03712,4087,862
Total OI79,353.23864,490100,96578,24164,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$56.63$49.7219.2%4.7%20.6%30.8%17.8%2.8%0.2%11.9M-148.6M-461.2K0.469.448,5263,88246,57331,668
2018-01-03$57.40$49.7220.1%4.6%19.5%40.3%18.2%2.5%-0.4%11.4M-173.6M-505.1K0.8120.394,7683,85049,40634,147
2018-01-04$58.33$54.4520.9%6.0%20.0%48.0%20.9%1.9%-0.4%9.5M-195.0M-504.3K0.4212.789,9304,12450,20834,378
2018-01-05$58.49$54.4520.4%5.9%19.9%43.1%22.6%2.2%-0.1%9.6M-205.2M-490.3K0.8610.175,0304,33152,16734,748
2018-01-08$58.89$54.4521.2%6.1%19.8%51.7%23.6%2.0%0.1%9.1M-200.6M-492.1K0.298.957,5692,19050,27834,251
2018-01-09$58.18$54.4521.8%6.2%20.7%57.7%22.5%1.9%-0.1%10.4M-185.7M-511.1K0.3910.715,9362,31451,76034,516
2018-01-10$58.34$54.4521.1%5.9%20.6%50.2%21.7%2.4%-0.4%9.8M-192.0M-515.2K0.6810.413,4682,36852,15935,372
2018-01-11$58.91$54.4520.8%5.9%20.0%47.3%22.1%2.3%-0.4%9.2M-207.0M-504.6K0.6915.972,8932,00252,34435,426
2018-01-12$58.94$54.4520.7%5.9%19.8%46.2%21.1%1.9%-0.3%8.5M-209.5M-502.6K0.329.845,7471,82452,64835,748
2018-01-16$58.01$54.4521.8%6.2%18.5%57.3%22.6%2.6%0.3%10.7M-176.8M-495.8K0.6012.373,3442,00951,95535,660
2018-01-17$58.24$54.4521.6%6.2%18.0%55.9%22.7%2.2%0.7%9.6M-179.2M-506.8K0.529.113,8331,97552,23636,057
2018-01-18$59.28$54.4523.8%6.9%17.4%78.7%23.9%2.1%-0.6%8.2M-210.6M-519.1K0.4419.3016,7487,28953,13436,147
2018-01-19$60.13$54.4522.8%6.6%17.7%67.5%22.8%1.8%-0.3%7.9M-246.3M-598.6K0.1812.7510,9952,03359,04541,920
2018-01-22$60.09$54.4522.9%6.6%17.8%68.7%23.6%1.9%-0.4%8.5M-119.6M-632.3K0.5112.855,4622,77839,28325,258
2018-01-23$60.01$55.8723.1%6.8%17.2%71.4%25.3%2.4%-0.8%8.3M-120.3M-652.1K0.8520.752,7192,32240,29126,641
2018-01-24$60.26$56.8222.9%6.8%17.1%68.5%24.1%2.4%-0.7%8.7M-127.8M-673.7K0.8913.392,2451,99140,85527,086
2018-01-25$60.06$56.8223.1%6.9%16.5%71.2%24.3%2.6%-0.9%9.8M-122.8M-660.3K0.3512.495,9052,06741,15827,223
2018-01-26$61.34$56.8223.7%7.2%17.4%77.2%26.5%1.9%-1.5%4.9M-155.2M-672.9K0.1820.4811,4952,04442,61527,515
2018-01-29$61.62$56.8224.3%8.0%17.4%83.5%27.8%2.5%-1.4%6.1M-142.4M-656.4K0.3021.756,2201,88240,82224,405
2018-01-30$60.88$56.8224.9%8.2%18.5%89.4%29.3%2.3%-0.8%5.6M-121.0M-692.2K0.4911.733,3041,63240,03924,786
2018-01-31$59.61$56.8225.1%8.0%18.2%93.4%28.7%2.5%-0.9%5.4M-98.6M-666.4K0.4018.695,6052,25739,60724,883