IP Options History — May 2018

In May 2018, IP traded between $47.43 and $52.77. ATM implied volatility averaged 22.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.5% (HV 20d: 21.7%). Max pain ranged from $47.35 to $51.14. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-05-15: Highest Volume — 45,459 contracts
  • 2018-05-15: Largest IV spike — 16.1% change
  • 2018-05-29: Highest IV Rank — 47.1%
  • 2018-05-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.55$47.43$52.77$48.25$50.76
Max Pain$49.33$47.35$51.14$49.72$51.14
ATM IV22.2%20.3%23.9%23.5%23.3%
Expected Move6.4%5.8%7.3%7.0%7.1%
HV 20d21.7%18.8%23.9%18.9%21.1%
HV 60d27.0%26.3%28.6%28.4%26.6%
IV Rank37.1%24.9%47.1%44.5%43.5%
IV Percentile67.3%45.6%82.9%80.2%76.6%
Term Structure-0.3%-1.6%1.0%-0.4%-1.1%
VWIV23.1%21.2%27.0%24.1%25.1%
Skew 25d3.4%1.9%4.5%4.5%2.2%
Skew 10d7.2%3.4%9.7%9.3%5.1%
Call IV 25d21.2%19.6%23.3%21.6%23.0%
Put IV 25d24.6%22.4%26.5%26.0%25.2%
Bid-Ask Spread %12.616.3428.879.197.12
Gamma HHI0.220.110.470.130.18
Net GEX11.5M1.4M26.6M2.6M10.8M
Net DEX-75.9M-214.4M19.0M7.0M-74.1M
Net VEX-817.7K-936.7K-645.8K-685.9K-916.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.050.780.770.51
Total Volume11,604.6365,29545,4597,65012,624
Total OI119,137.5108,686138,509108,686133,317

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$48.25$49.7223.5%7.0%18.9%44.5%24.1%4.5%-0.4%2.6M7.0M-685.9K0.779.194,3113,33978,37530,311
2018-05-02$47.43$49.7223.6%7.0%18.8%45.4%24.1%4.2%-0.3%1.4M19.0M-645.8K0.5325.094,5482,42278,54430,629
2018-05-03$48.42$49.7223.3%6.8%20.5%43.6%22.4%4.3%-0.4%3.2M-1.5M-706.5K0.529.324,9482,56980,47530,739
2018-05-04$49.52$47.3522.4%6.3%20.8%38.1%23.9%4.2%-0.6%5.8M-28.1M-761.4K0.359.975,9862,10981,66431,120
2018-05-07$49.06$47.3522.9%6.3%21.0%41.1%24.2%4.5%-0.5%4.6M-13.9M-717.5K0.499.083,9571,93280,85630,574
2018-05-08$48.98$47.3522.9%6.4%20.9%41.1%27.0%4.5%-0.7%4.3M-12.4M-716.0K0.5528.873,5631,97281,56330,885
2018-05-09$49.31$47.3522.4%6.2%21.1%37.9%22.1%4.4%-0.7%5.3M-20.4M-728.5K0.4911.593,5531,74281,95631,179
2018-05-10$50.04$47.3521.1%6.2%21.6%29.9%22.8%4.0%0.5%8.1M-38.8M-745.5K0.329.166,8052,15582,40331,242
2018-05-11$50.86$47.3521.9%6.4%22.2%34.9%21.7%4.1%1.0%12.9M-73.0M-796.5K0.2313.7710,6092,48984,78231,038
2018-05-14$51.38$49.7220.3%5.8%22.3%24.9%22.0%3.9%0.2%18.2M-104.2M-797.0K0.1816.2511,7972,11190,37830,342
2018-05-15$50.84$49.7223.5%6.8%22.6%45.0%21.9%4.2%-1.6%21.8M-96.4M-822.3K0.0521.0143,1472,31296,87330,606
2018-05-16$52.06$49.7222.1%6.3%23.9%35.9%22.0%3.5%-0.3%25.3M-198.3M-920.2K0.239.8310,0322,298104,12631,090
2018-05-17$52.16$49.7221.8%6.3%23.5%34.4%24.0%3.1%-0.1%25.7M-214.4M-936.7K0.429.776,6162,751107,28731,222
2018-05-18$52.05$49.7221.2%6.1%23.5%30.5%21.5%3.1%-0.0%26.6M-209.7M-892.1K0.387.946,5612,474105,93131,631
2018-05-21$52.16$49.7220.7%5.9%23.4%27.4%21.2%2.7%-0.1%11.7M-101.7M-889.4K0.736.343,1682,30382,28828,683
2018-05-22$52.77$49.7220.7%6.0%22.0%27.5%21.5%2.4%0.0%13.0M-122.9M-900.4K0.787.303,8482,99783,07829,050
2018-05-23$52.17$49.7220.8%6.0%22.1%28.4%22.8%2.6%-0.0%12.2M-98.6M-891.1K0.5222.616,4153,32184,03229,961
2018-05-24$51.62$49.7222.3%6.3%21.3%37.1%22.3%1.9%0.0%11.0M-93.0M-906.4K0.2221.6921,7984,69283,82631,194
2018-05-25$51.20$51.1421.9%6.3%21.6%34.9%22.5%2.1%0.1%10.9M-79.7M-905.5K0.737.615,0573,70890,81932,901
2018-05-29$50.09$51.1423.9%7.3%22.4%47.1%25.5%3.2%-0.5%6.9M-39.5M-820.8K0.467.286,7243,08187,95231,982
2018-05-30$50.97$51.1423.1%6.9%22.2%42.1%23.9%2.2%-1.2%10.1M-74.4M-888.2K0.356.5512,2264,23291,34532,776
2018-05-31$50.76$51.1423.3%7.1%21.1%43.5%25.1%2.2%-1.1%10.8M-74.1M-916.2K0.517.128,3514,27399,45233,865