IP Options History — February 2018

In February 2018, IP traded between $53.32 and $58.83. ATM implied volatility averaged 23.8%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.3% (HV 20d: 27.1%). Max pain ranged from $54.92 to $59.19. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2018-02-14: Highest Volume — 10,737 contracts
2018-02-08: Largest IV spike — 23.3% change
2018-02-06: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.96	$53.32	$58.83	$58.37	$56.51
Max Pain	$56.34	$54.92	$59.19	$56.82	$54.92
ATM IV	23.8%	20.8%	29.4%	20.8%	22.0%
Expected Move	6.7%	5.8%	8.6%	5.8%	6.4%
HV 20d	27.1%	18.8%	30.0%	19.5%	29.3%
HV 60d	22.0%	18.1%	23.5%	18.7%	23.3%
IV Rank	61.8%	35.2%	100.0%	50.0%	44.2%
IV Percentile	85.5%	57.1%	100.0%	57.1%	77.0%
Term Structure	-0.5%	-2.3%	0.4%	-0.1%	-0.3%
VWIV	24.0%	20.7%	28.3%	20.7%	23.2%
Skew 25d	4.1%	2.4%	8.9%	2.9%	3.7%
Skew 10d	7.9%	4.3%	13.2%	4.8%	7.2%
Call IV 25d	22.6%	19.6%	27.1%	20.1%	20.7%
Put IV 25d	26.7%	22.9%	35.9%	22.9%	24.4%
Bid-Ask Spread %	27.09	14.96	51.49	14.96	15.73
Gamma HHI	0.11	0.08	0.28	0.15	0.10
Net GEX	3.5M	806.3K	9.7M	7.6M	3.7M
Net DEX	-39.7M	-92.1M	8.9M	-76.7M	-59.0M
Net VEX	-698.4K	-740.7K	-655.8K	-664.1K	-740.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.33	1.37	0.80	0.64
Total Volume	7,884.895	5,826	10,737	7,088	7,897
Total OI	73,794	67,421	78,743	68,043	76,148

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$58.37	$56.82	20.8%	5.8%	19.5%	50.0%	20.7%	2.9%	-0.1%	7.6M	-76.7M	-664.1K	0.80	14.96	3,946	3,142	42,009	26,034
2018-02-02	$58.83	$59.19	21.4%	5.9%	18.8%	57.9%	23.5%	2.4%	-0.3%	7.6M	-92.1M	-687.7K	0.72	21.00	4,056	2,911	43,946	27,080
2018-02-05	$56.69	$56.82	23.3%	6.5%	23.0%	80.1%	22.9%	2.8%	-0.4%	3.5M	-42.2M	-663.1K	1.06	46.70	3,049	3,223	40,972	26,449
2018-02-06	$56.41	$56.82	27.7%	7.5%	22.8%	100.0%	25.9%	4.6%	-1.8%	3.1M	-35.7M	-688.2K	1.02	51.49	4,864	4,962	41,617	27,279
2018-02-07	$56.21	$56.82	23.5%	6.9%	22.5%	64.0%	23.6%	3.7%	0.1%	2.7M	-32.8M	-689.6K	1.37	27.05	3,145	4,300	43,050	29,592
2018-02-08	$53.32	$56.82	29.0%	8.6%	28.8%	100.0%	28.3%	6.2%	0.1%	806.3K	8.9M	-655.8K	0.58	39.21	6,673	3,848	43,559	29,637
2018-02-09	$54.21	$56.82	29.4%	7.9%	29.4%	100.0%	27.7%	8.9%	-2.3%	2.0M	-3.7M	-686.9K	0.87	45.01	4,484	3,905	46,796	29,714
2018-02-12	$54.75	$56.82	25.3%	7.3%	29.7%	69.0%	25.9%	3.9%	-1.1%	1.6M	-12.7M	-667.7K	0.97	34.03	3,727	3,629	43,582	28,925
2018-02-13	$55.02	$56.82	24.6%	7.1%	29.5%	63.3%	24.8%	4.8%	0.2%	1.5M	-15.7M	-672.5K	0.98	22.27	3,386	3,318	44,445	29,889
2018-02-14	$55.30	$56.82	23.5%	6.7%	29.6%	55.5%	23.2%	4.6%	0.2%	1.7M	-22.9M	-668.0K	0.61	28.36	6,665	4,072	44,741	30,131
2018-02-15	$55.45	$56.82	23.4%	6.7%	28.7%	54.4%	24.8%	4.0%	-0.7%	1.6M	-22.8M	-712.9K	1.10	18.85	3,514	3,880	46,424	31,695
2018-02-16	$55.91	$56.82	22.4%	6.4%	28.2%	47.3%	23.2%	3.0%	0.4%	1.4M	-35.1M	-722.6K	0.69	21.51	5,681	3,929	46,824	31,919
2018-02-20	$54.95	$56.82	24.8%	7.2%	28.6%	65.0%	24.6%	4.6%	-0.3%	1.7M	-25.9M	-711.6K	0.33	22.69	7,730	2,541	41,251	29,674
2018-02-21	$55.36	$54.92	23.4%	6.4%	28.9%	54.6%	22.7%	3.2%	-0.6%	3.3M	-39.8M	-715.5K	0.36	25.63	6,437	2,306	43,949	30,076
2018-02-22	$55.23	$54.92	23.0%	6.5%	28.8%	51.2%	23.2%	3.8%	-0.6%	3.3M	-36.5M	-726.5K	0.71	20.30	3,432	2,420	46,765	30,331
2018-02-23	$56.30	$54.92	21.6%	5.9%	30.0%	41.2%	22.0%	3.9%	-0.8%	9.7M	-59.8M	-740.3K	0.96	17.68	3,508	3,361	46,923	30,480
2018-02-26	$57.27	$54.92	20.8%	6.0%	29.6%	35.2%	21.8%	3.7%	-0.3%	4.8M	-76.5M	-719.9K	0.88	20.64	3,223	2,823	44,612	30,121
2018-02-27	$57.05	$54.92	21.6%	6.3%	29.4%	40.8%	23.5%	3.4%	-0.1%	4.4M	-73.0M	-736.0K	1.04	21.60	2,854	2,972	44,873	30,574
2018-02-28	$56.51	$54.92	22.0%	6.4%	29.3%	44.2%	23.2%	3.7%	-0.3%	3.7M	-59.0M	-740.7K	0.64	15.73	4,829	3,068	45,065	31,083