IP Options History — April 2018

In April 2018, IP traded between $48.45 and $51.28. ATM implied volatility averaged 28.1%, placing in the 72.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.2% (HV 20d: 31.3%). Max pain ranged from $49.72 to $52.08. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2018-04-25: Highest Volume — 29,432 contracts
  • 2018-04-26: Largest IV drop — 13.1% change
  • 2018-04-02: Highest IV Rank — 100.0%
  • 2018-04-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.06$48.45$51.28$48.45$49.03
Max Pain$50.05$49.72$52.08$52.08$49.72
ATM IV28.1%22.9%32.5%32.5%23.2%
Expected Move7.9%6.5%8.9%8.9%6.8%
HV 20d31.3%20.4%36.3%34.6%20.4%
HV 60d28.6%28.2%28.9%28.2%28.4%
IV Rank72.9%41.3%100.0%100.0%42.6%
IV Percentile93.1%77.0%100.0%100.0%78.6%
Term Structure-0.9%-1.6%0.6%-1.0%-0.6%
VWIV27.6%22.6%29.9%29.9%24.8%
Skew 25d4.8%3.9%5.4%5.1%4.6%
Skew 10d10.2%7.9%12.0%12.0%9.8%
Call IV 25d26.2%20.9%30.0%30.0%20.9%
Put IV 25d31.0%25.5%35.1%35.1%25.5%
Bid-Ask Spread %11.545.1320.7810.808.76
Gamma HHI0.130.100.340.110.16
Net GEX4.5M1.3M15.5M1.3M4.1M
Net DEX-16.7M-44.1M22.8M22.8M-8.8M
Net VEX-810.0K-882.7K-710.2K-801.6K-710.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.090.600.510.57
Total Volume9,344.0486,37529,43211,4978,216
Total OI113,987.90592,972120,487113,267106,861

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$48.45$52.0832.5%8.9%34.6%100.0%29.9%5.1%-1.0%1.3M22.8M-801.6K0.5110.807,5933,90476,94136,326
2018-04-03$49.71$52.0830.5%8.1%36.3%87.5%29.6%5.2%-0.8%2.4M1.6M-860.2K0.4812.375,6302,69178,70838,026
2018-04-04$50.38$52.0829.5%7.7%36.3%81.5%28.4%4.7%-0.7%3.4M-15.4M-882.7K0.6011.055,6573,39979,43438,131
2018-04-05$50.48$49.7228.8%8.1%33.0%77.4%27.5%4.7%-0.8%3.8M-16.3M-867.6K0.559.275,3742,93779,76937,973
2018-04-06$49.37$49.7230.5%8.3%33.8%87.9%27.3%5.4%-1.0%2.0M8.2M-832.2K0.4317.716,7482,90979,96938,142
2018-04-09$49.50$49.7229.8%8.2%33.7%83.7%26.7%5.2%-1.0%2.3M4.1M-822.1K0.298.086,6381,93679,03436,746
2018-04-10$49.75$49.7230.0%8.2%33.8%84.9%28.4%5.2%-1.2%2.5M-2.3M-820.5K0.3512.775,4171,89679,53636,795
2018-04-11$49.64$49.7228.9%8.1%33.8%78.0%28.2%4.5%-0.7%2.4M124.6K-819.3K0.2817.016,2951,77880,03236,906
2018-04-12$49.96$49.7228.6%8.1%33.9%76.1%29.3%4.7%-0.1%3.0M-8.5M-819.3K0.377.795,4442,02480,74736,909
2018-04-13$50.38$49.7229.0%8.3%34.1%78.4%28.8%5.4%-0.2%3.9M-17.2M-835.0K0.4720.785,3912,51481,32037,244
2018-04-16$50.86$49.7228.1%8.1%34.2%73.3%25.8%4.8%-0.8%5.3M-28.9M-826.7K0.439.884,4621,91380,31436,269
2018-04-17$50.75$49.7228.3%8.1%33.0%74.0%27.8%4.8%-0.9%5.4M-26.1M-810.8K0.4612.084,9102,24081,01436,372
2018-04-18$51.28$49.7226.0%7.4%33.2%60.0%28.2%4.9%0.6%7.2M-44.1M-826.6K0.557.255,0912,77782,36736,428
2018-04-19$50.72$49.7228.0%8.1%33.3%72.3%28.4%4.9%-1.1%6.1M-33.4M-795.7K0.3718.636,2972,31683,02835,652
2018-04-20$50.60$49.7227.6%8.0%29.8%69.7%27.4%4.8%-1.1%4.3M-28.6M-788.5K0.495.135,7372,81383,85535,999
2018-04-23$50.86$49.7226.9%7.7%28.0%65.5%26.8%4.8%-1.2%4.1M-37.8M-785.4K0.487.585,5232,62464,88728,085
2018-04-24$49.76$49.7228.0%8.1%25.1%72.3%28.9%4.7%-1.5%3.2M-21.4M-760.0K0.5310.054,9542,61866,80528,770
2018-04-25$50.48$49.7228.2%8.3%25.6%73.8%28.6%3.9%-1.6%4.2M-37.4M-809.9K0.0911.1026,9022,53068,24229,168
2018-04-26$49.54$49.7224.5%6.9%26.5%51.1%25.1%4.3%-1.2%15.5M-38.1M-781.5K0.4311.136,0642,59090,20030,255
2018-04-27$49.76$49.7222.9%6.5%25.5%41.3%22.6%4.4%-1.2%8.0M-23.5M-755.2K0.3513.197,0282,44589,79230,695
2018-04-30$49.03$49.7223.2%6.8%20.4%42.6%24.8%4.6%-0.6%4.1M-8.8M-710.2K0.578.765,2492,96777,30429,557