IP Options History — March 2018

In March 2018, IP traded between $47.52 and $55.80. ATM implied volatility averaged 25.4%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.5% (HV 20d: 26.8%). Max pain ranged from $52.08 to $54.92. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2018-03-07: Highest Volume — 24,006 contracts
  • 2018-03-22: Largest IV spike — 13.0% change
  • 2018-03-27: Highest IV Rank — 100.0%
  • 2018-03-23: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.63$47.52$55.80$55.40$50.67
Max Pain$54.02$52.08$54.92$54.92$52.08
ATM IV25.4%21.6%30.5%23.6%29.0%
Expected Move7.1%6.0%8.1%7.1%7.4%
HV 20d26.8%23.2%31.7%29.2%31.7%
HV 60d25.0%22.8%27.5%23.3%27.0%
IV Rank68.3%40.7%100.0%56.4%89.3%
IV Percentile93.1%71.0%100.0%92.9%98.4%
Term Structure0.1%-1.1%2.3%-0.6%-0.5%
VWIV25.0%21.2%28.5%26.0%26.6%
Skew 25d4.3%3.8%4.8%4.7%4.5%
Skew 10d8.9%7.7%10.6%9.7%8.3%
Call IV 25d23.9%20.3%28.9%22.2%27.3%
Put IV 25d28.1%24.1%33.6%26.9%31.8%
Bid-Ask Spread %19.589.9361.5617.1715.72
Gamma HHI0.150.070.240.090.13
Net GEX3.1M-187.2K6.0M2.5M3.5M
Net DEX-8.1M-46.2M39.4M-34.0M-24.5M
Net VEX-808.3K-914.6K-655.6K-713.8K-913.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.131.151.020.41
Total Volume10,535.195,42224,0066,5909,653
Total OI101,352.61974,291116,07974,971115,519

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$55.40$54.9223.6%7.1%29.2%56.4%26.0%4.7%-0.6%2.5M-34.0M-713.8K1.0217.173,2663,32443,73831,233
2018-03-02$55.48$54.9222.8%6.7%28.5%49.9%26.3%4.5%-0.3%2.9M-32.7M-710.8K0.7614.804,9673,79543,80331,729
2018-03-05$55.80$54.4521.6%6.0%28.5%40.7%21.9%3.8%-0.1%3.7M-46.2M-715.3K1.0917.112,5942,82843,01231,279
2018-03-06$54.58$54.4523.4%6.7%26.5%54.4%23.8%4.3%-0.1%2.2M-22.3M-701.3K1.1553.442,6753,07343,41131,700
2018-03-07$52.19$54.4526.1%7.3%30.6%75.1%24.6%3.8%-0.3%-187.2K18.4M-655.6K0.3061.5618,4225,58443,75632,765
2018-03-08$51.85$54.4525.4%7.1%30.6%69.5%22.9%3.9%-0.1%3.3M5.5M-713.3K0.1733.0517,1022,92756,75336,006
2018-03-09$52.22$54.4524.1%6.9%24.8%59.7%24.4%4.0%-0.1%6.0M-11.8M-798.4K0.4633.277,7543,60367,66536,454
2018-03-12$52.15$54.4524.9%7.0%23.9%65.8%25.4%4.1%-0.4%5.1M-18.3M-813.6K0.3715.206,2712,35167,65135,202
2018-03-13$52.03$54.4524.6%6.9%23.5%63.4%24.2%4.0%-0.2%6.0M-22.4M-828.6K0.1315.2420,5252,62469,69535,366
2018-03-14$51.89$54.4524.3%6.8%23.3%61.4%23.7%4.1%-0.7%5.6M-22.7M-914.6K0.7610.724,1653,15878,86735,918
2018-03-15$51.54$54.4523.9%6.7%23.2%58.7%24.8%4.3%-0.9%5.2M-8.3M-896.4K0.7912.813,8443,04779,09836,387
2018-03-16$51.78$54.4522.0%6.1%23.2%43.6%21.2%3.9%-1.1%2.9M-11.0M-883.5K0.7514.224,8453,61279,42736,652
2018-03-19$50.48$54.4524.2%6.9%24.0%60.4%24.9%4.6%2.2%2.0M3.8M-828.4K0.4210.157,1083,02070,57033,357
2018-03-20$50.41$54.4524.4%7.0%23.6%62.5%25.0%4.2%2.2%2.0M-838.2K-882.2K0.4810.945,4232,60873,81534,468
2018-03-21$50.75$54.4523.6%6.8%23.6%55.9%24.1%4.0%2.3%2.4M-6.9M-892.2K0.5116.174,6322,37875,52534,698
2018-03-22$48.75$54.4526.6%7.5%26.8%79.1%26.0%4.7%1.9%945.4K26.8M-790.2K0.5012.805,0512,51476,03634,880
2018-03-23$47.52$53.9828.9%8.1%25.8%96.4%27.4%4.8%2.3%681.4K39.4M-744.2K0.3614.627,9662,88376,51434,854
2018-03-26$49.61$52.0828.5%7.5%30.5%93.1%25.5%4.5%-0.9%2.3M1.0M-834.3K0.4610.229,2214,27476,65534,404
2018-03-27$49.46$52.0830.0%7.9%30.5%100.0%27.5%4.6%-0.9%2.7M1.3M-863.6K0.4712.036,4413,02978,20336,060
2018-03-28$49.68$52.0830.5%7.9%30.7%100.0%28.5%4.7%-0.6%2.9M-3.5M-880.4K0.459.935,9822,70078,58636,694
2018-03-29$50.67$52.0829.0%7.4%31.7%89.3%26.6%4.5%-0.5%3.5M-24.5M-913.0K0.4115.726,8512,80278,74836,771