IP Options History — June 2018

In June 2018, IP traded between $49.51 and $55.95. ATM implied volatility averaged 23.1%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.1% (HV 20d: 27.2%). 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 7 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2018-06-07: Highest Volume — 33,131 contracts
  • 2018-06-25: Largest IV spike — 12.6% change
  • 2018-06-28: Highest IV Rank — 69.5%
  • 2018-06-25: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.70$49.51$55.95$52.43$49.51
Max Pain$51.54$49.72$52.08$51.14$51.14
ATM IV23.1%20.2%27.5%21.9%26.7%
Expected Move6.4%5.8%7.2%6.7%6.7%
HV 20d27.2%22.8%30.0%22.8%25.6%
HV 60d26.2%23.2%28.1%25.9%23.2%
IV Rank42.3%24.5%69.5%34.8%64.3%
IV Percentile68.2%38.1%90.5%63.5%88.9%
Term Structure0.5%-0.9%3.3%-0.6%-0.9%
VWIV22.6%20.2%25.1%23.8%23.7%
Skew 25d2.4%1.8%3.7%2.1%3.2%
Skew 10d5.2%3.6%7.2%5.9%5.8%
Call IV 25d22.5%20.1%26.5%21.8%25.7%
Put IV 25d24.9%21.9%30.0%23.9%28.9%
Bid-Ask Spread %10.394.8020.926.429.36
Gamma HHI0.220.120.300.190.12
Net GEX14.0M3.6M25.9M22.0M3.6M
Net DEX-148.3M-346.0M-8.4M-151.7M-8.4M
Net VEX-863.7K-1.1M-645.3K-980.5K-645.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.130.800.460.43
Total Volume14,196.6195,59133,13115,1178,504
Total OI140,529.476131,160155,999137,540134,898

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$52.43$51.1421.9%6.7%22.8%34.8%23.8%2.1%-0.6%22.0M-151.7M-980.5K0.466.4210,3484,769102,89534,645
2018-06-04$54.41$49.7221.6%6.0%24.8%32.8%21.1%1.8%-0.2%18.0M-254.3M-1.0M0.3411.5814,6394,952102,51833,870
2018-06-05$54.21$49.7222.9%6.4%24.5%41.0%22.2%1.8%-0.2%21.6M-271.8M-1.1M0.2920.0121,0566,021114,59535,753
2018-06-06$55.82$52.0822.7%6.3%25.8%39.7%22.3%2.5%-0.1%21.5M-346.0M-1.1M0.338.9820,9676,876112,44937,746
2018-06-07$55.60$52.0822.4%6.5%26.1%38.3%22.1%2.2%-0.1%20.5M-325.1M-1.0M0.1313.7429,3523,779110,25339,599
2018-06-08$55.69$52.0821.6%6.1%25.9%33.0%23.3%1.8%0.2%25.9M-320.9M-1.0M0.387.2511,1304,217115,85440,145
2018-06-11$55.95$52.0821.5%6.2%25.6%32.6%21.9%1.9%-0.1%19.6M-300.5M-1.0M0.346.277,5232,591109,00136,187
2018-06-12$55.65$52.0820.2%5.8%25.7%24.5%20.2%1.8%-0.1%20.2M-286.9M-971.2K0.268.1511,4173,011109,43636,506
2018-06-13$54.23$52.0821.0%6.0%27.4%29.5%21.3%2.1%-0.0%19.1M-203.4M-948.7K0.299.8511,1713,264106,48136,590
2018-06-14$53.85$52.0820.3%5.8%26.5%24.8%20.2%1.9%-0.1%19.1M-176.5M-909.9K0.187.3818,0983,247109,44737,723
2018-06-15$52.52$52.0821.2%6.1%28.2%30.6%21.0%2.5%0.3%17.0M-119.8M-860.3K0.3510.5710,7803,783115,63238,084
2018-06-18$52.76$52.0821.9%6.3%28.2%35.1%21.8%2.3%3.1%14.6M-102.4M-857.3K0.4910.585,2022,53399,57131,589
2018-06-19$51.88$52.0822.4%6.4%28.8%37.7%23.4%2.5%2.4%11.6M-69.9M-809.0K0.589.583,7552,177100,82531,932
2018-06-20$51.21$52.0822.3%6.4%28.8%37.1%22.8%2.3%3.0%9.0M-46.4M-762.7K0.609.434,2412,545101,28632,246
2018-06-21$49.85$52.0824.3%6.8%30.0%49.4%23.8%2.7%2.4%4.6M-11.7M-695.3K0.2914.8012,5523,698101,55832,468
2018-06-22$50.23$51.1423.8%6.5%30.0%46.3%22.9%2.4%3.3%6.2M-22.0M-703.6K0.409.208,2053,242101,72833,207
2018-06-25$50.30$51.1426.7%7.2%29.9%64.7%25.1%3.7%-0.6%5.7M-23.9M-698.3K0.4311.945,7392,463100,70232,510
2018-06-26$50.54$51.1425.7%6.5%28.9%58.3%23.2%3.0%-0.3%6.1M-32.6M-697.6K0.807.443,1012,490100,95032,006
2018-06-27$50.26$51.1426.7%6.7%28.3%64.5%23.4%3.3%-0.5%5.2M-24.5M-680.7K0.544.805,0022,719101,39932,163
2018-06-28$49.75$51.1427.5%7.0%28.5%69.5%24.7%3.5%-0.8%4.3M-14.7M-673.1K0.4920.924,6712,299102,34432,328
2018-06-29$49.51$51.1426.7%6.7%25.6%64.3%23.7%3.2%-0.9%3.6M-8.4M-645.3K0.439.365,9522,552102,53132,367