IP Options History — July 2018

In July 2018, IP traded between $48.82 and $50.74. ATM implied volatility averaged 24.6%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.6% (HV 20d: 17.0%). Max pain ranged from $49.72 to $51.14. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2018-07-24: Highest Volume — 16,243 contracts
  • 2018-07-26: Largest IV drop — 7.9% change
  • 2018-07-03: Highest IV Rank — 69.2%
  • 2018-07-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.94$48.82$50.74$48.82$50.74
Max Pain$49.85$49.72$51.14$51.14$49.72
ATM IV24.6%20.9%27.5%27.3%20.9%
Expected Move7.1%6.2%7.6%7.0%6.3%
HV 20d17.0%13.6%21.1%21.0%15.2%
HV 60d22.7%21.5%23.3%22.9%21.5%
IV Rank51.5%29.0%69.2%68.2%29.0%
IV Percentile77.2%40.1%90.1%90.1%40.1%
Term Structure-0.5%-2.1%1.2%-0.5%-0.5%
VWIV24.8%22.8%26.3%24.7%22.9%
Skew 25d2.9%1.7%4.3%3.4%3.0%
Skew 10d6.0%4.2%8.5%6.5%4.7%
Call IV 25d23.4%19.8%25.7%25.7%19.8%
Put IV 25d26.3%22.7%30.0%29.1%22.7%
Bid-Ask Spread %13.293.4843.414.9011.05
Gamma HHI0.140.100.240.110.24
Net GEX4.2M2.2M6.6M2.5M6.6M
Net DEX-23.2M-47.7M1.9M1.9M-47.7M
Net VEX-601.1K-624.3K-555.6K-620.2K-615.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.261.070.310.65
Total Volume7,203.5245,20916,2439,7345,727
Total OI114,636.90575,347131,793125,05291,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$48.82$51.1427.3%7.0%21.0%68.2%24.7%3.4%-0.5%2.5M1.9M-620.2K0.314.907,4522,28293,16831,884
2018-07-03$48.87$51.1427.5%6.8%21.1%69.2%23.7%4.3%0.1%3.2M-2.2M-620.8K0.3412.336,0152,01993,85532,135
2018-07-05$49.26$49.7226.4%7.3%17.6%62.3%26.1%2.9%-0.4%4.0M-11.0M-616.1K0.6329.673,1932,01694,45632,102
2018-07-06$49.59$49.7225.2%7.2%18.2%55.4%26.3%1.7%-0.5%4.9M-17.9M-607.0K0.3711.754,4451,64094,95132,498
2018-07-09$50.32$49.7224.6%7.1%19.4%51.8%24.6%2.6%0.6%5.9M-34.4M-623.7K0.405.454,0991,62695,08631,988
2018-07-10$50.59$49.7224.6%7.1%19.4%51.8%24.6%2.8%0.7%6.3M-40.7M-624.3K0.594.923,3791,98495,67432,125
2018-07-11$50.11$49.7224.6%7.3%19.5%51.8%24.5%2.7%0.7%6.0M-29.5M-608.9K0.643.483,4612,19896,13932,449
2018-07-12$50.54$49.7225.4%7.3%18.5%56.1%24.1%3.0%-0.4%6.3M-40.1M-620.0K0.494.264,8432,35496,34632,887
2018-07-13$50.29$49.7225.1%7.4%18.4%54.9%25.9%2.8%1.2%4.2M-29.1M-612.1K0.416.885,0522,05696,60134,708
2018-07-16$49.61$49.7225.5%7.3%17.0%57.1%25.0%3.6%-0.9%2.2M-5.1M-577.2K0.544.264,1862,28194,63734,452
2018-07-17$50.36$49.7225.2%7.2%18.0%55.2%24.4%3.1%-1.5%3.4M-22.1M-588.6K0.667.173,4262,25194,90734,944
2018-07-18$50.23$49.7224.9%7.1%17.2%53.4%24.5%2.8%-1.7%3.0M-19.3M-585.3K0.688.953,6802,52095,59935,133
2018-07-19$50.45$49.7225.3%7.3%16.8%55.5%25.5%3.2%-2.1%3.8M-28.4M-576.1K0.726.643,6102,60296,07935,057
2018-07-20$50.13$49.7225.0%7.3%13.9%54.0%26.3%2.6%-1.9%3.3M-20.6M-570.6K0.8415.543,2452,71796,39735,396
2018-07-23$49.91$49.7224.8%7.4%13.7%52.4%26.3%3.1%-0.6%2.8M-22.6M-555.6K0.7319.293,3772,48247,76727,580
2018-07-24$50.12$49.7225.1%7.6%13.7%54.6%25.4%3.3%-1.5%3.0M-26.7M-587.4K0.2612.8112,9333,31049,04928,627
2018-07-25$50.17$49.7223.9%7.4%13.6%47.3%26.2%2.9%-0.7%5.4M-39.3M-616.4K1.0716.003,8114,07058,25729,578
2018-07-26$49.24$49.7222.0%6.7%15.0%35.7%23.2%2.1%-0.3%3.4M-10.5M-587.1K0.7123.865,8944,20658,87631,288
2018-07-27$49.29$49.7221.6%6.2%14.6%32.8%22.8%2.8%-0.6%3.0M-11.5M-598.6K0.5543.415,5823,07560,36132,938
2018-07-30$49.97$49.7221.5%6.4%15.4%32.3%22.8%3.1%-0.2%4.7M-29.5M-612.8K0.4926.394,1432,03258,13332,074
2018-07-31$50.74$49.7220.9%6.3%15.2%29.0%22.9%3.0%-0.5%6.6M-47.7M-615.4K0.6511.053,4762,25158,69032,504