IP Options History — August 2018

In August 2018, IP traded between $48.33 and $50.80. ATM implied volatility averaged 19.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 18.6%). Max pain ranged from $49.72 to $49.72. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.66.

Notable Days

2018-08-03: Highest Volume — 13,087 contracts
2018-08-24: Largest IV drop — 7.4% change
2018-08-15: Highest IV Rank — 33.6%
2018-08-15: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.38	$48.33	$50.80	$49.63	$48.37
Max Pain	$49.72	$49.72	$49.72	$49.72	$49.72
ATM IV	19.7%	18.1%	21.7%	21.0%	18.7%
Expected Move	5.7%	5.1%	6.5%	6.4%	5.3%
HV 20d	18.6%	16.9%	20.3%	17.4%	18.5%
HV 60d	21.1%	18.1%	22.0%	21.9%	18.2%
IV Rank	21.6%	11.8%	33.6%	29.6%	15.4%
IV Percentile	26.9%	10.7%	52.8%	40.9%	14.7%
Term Structure	0.1%	-0.7%	1.0%	-0.2%	0.4%
VWIV	20.2%	18.4%	24.3%	23.5%	19.3%
Skew 25d	2.5%	1.8%	2.9%	2.7%	2.7%
Skew 10d	5.4%	3.9%	8.1%	5.3%	5.7%
Call IV 25d	19.0%	17.3%	20.7%	20.1%	17.9%
Put IV 25d	21.5%	19.6%	23.6%	22.9%	20.6%
Bid-Ask Spread %	13.15	6.03	35.49	18.66	10.27
Gamma HHI	0.14	0.08	0.26	0.19	0.10
Net GEX	2.8M	-101.6K	7.0M	3.5M	825.4K
Net DEX	-17.7M	-48.9M	6.5M	-17.1M	2.8M
Net VEX	-576.0K	-616.2K	-548.6K	-593.0K	-550.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.33	0.95	0.72	0.60
Total Volume	6,346.696	4,081	13,087	5,934	5,871
Total OI	87,437.043	73,344	100,571	91,809	79,203

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$49.63	$49.72	21.0%	6.4%	17.4%	29.6%	23.5%	2.7%	-0.2%	3.5M	-17.1M	-593.0K	0.72	18.66	3,444	2,490	59,226	32,583
2018-08-02	$49.33	$49.72	21.1%	6.4%	17.4%	30.2%	24.3%	2.8%	-0.4%	2.2M	-7.2M	-576.2K	0.66	32.62	4,599	3,044	59,462	32,846
2018-08-03	$49.76	$49.72	20.4%	6.2%	17.5%	25.5%	21.5%	2.3%	-0.2%	3.5M	-20.0M	-587.0K	0.42	25.55	9,219	3,868	59,698	33,769
2018-08-06	$50.11	$49.72	20.3%	5.8%	16.9%	25.0%	20.7%	2.4%	0.2%	4.8M	-29.8M	-598.2K	0.63	9.44	4,834	3,046	59,199	32,919
2018-08-07	$50.80	$49.72	19.3%	5.7%	17.5%	19.3%	19.9%	1.8%	0.6%	7.0M	-48.9M	-616.2K	0.65	8.79	4,291	2,790	60,461	33,776
2018-08-08	$50.18	$49.72	19.6%	5.7%	17.7%	20.9%	20.8%	2.3%	0.3%	5.4M	-33.2M	-587.3K	0.85	9.13	3,556	3,023	61,026	34,029
2018-08-09	$50.37	$49.72	19.6%	5.6%	17.5%	20.6%	19.7%	2.3%	0.4%	5.6M	-35.7M	-601.5K	0.95	12.14	3,143	2,974	61,221	34,654
2018-08-10	$49.29	$49.72	20.5%	5.9%	19.0%	26.2%	21.0%	2.6%	0.3%	1.8M	-6.8M	-580.5K	0.90	24.68	3,286	2,947	61,720	34,831
2018-08-13	$48.84	$49.72	20.8%	5.9%	18.7%	28.1%	21.1%	2.5%	-0.4%	433.9K	4.8M	-550.9K	0.64	14.05	3,638	2,336	60,753	34,218
2018-08-14	$49.17	$49.72	20.4%	5.8%	18.0%	25.5%	20.8%	2.6%	-0.2%	2.1M	-10.8M	-569.3K	0.82	6.03	3,059	2,508	61,095	34,729
2018-08-15	$48.33	$49.72	21.7%	6.5%	18.9%	33.6%	21.9%	2.8%	1.0%	-101.6K	6.5M	-556.3K	0.57	12.31	5,018	2,851	61,659	35,479
2018-08-16	$48.87	$49.72	20.8%	5.8%	19.3%	28.4%	20.6%	2.9%	-0.7%	1.0M	-6.7M	-578.5K	0.33	6.99	5,178	1,705	62,580	36,199
2018-08-17	$49.24	$49.72	19.8%	5.6%	19.5%	22.2%	20.2%	2.3%	-0.4%	2.2M	-16.3M	-581.7K	0.61	7.46	3,165	1,922	64,217	36,354
2018-08-20	$49.20	$49.72	18.7%	5.4%	19.4%	15.5%	18.8%	2.5%	0.4%	2.7M	-18.3M	-570.0K	0.51	7.39	3,579	1,824	43,017	30,327
2018-08-21	$49.68	$49.72	18.7%	5.4%	19.7%	15.5%	18.4%	2.9%	-0.1%	4.1M	-29.5M	-582.5K	0.63	9.28	3,483	2,189	44,476	31,015
2018-08-22	$48.96	$49.72	20.0%	5.7%	20.3%	23.3%	19.8%	2.6%	-0.5%	2.2M	-14.2M	-566.1K	0.64	35.49	2,579	1,657	44,910	31,377
2018-08-23	$48.52	$49.72	19.6%	5.6%	19.5%	20.7%	19.3%	2.5%	0.1%	274.2K	-3.5M	-548.6K	0.74	7.24	3,424	2,546	45,150	31,887
2018-08-24	$49.11	$49.72	18.1%	5.2%	20.0%	11.8%	18.5%	2.3%	0.2%	3.6M	-19.3M	-561.6K	0.64	7.42	4,519	2,892	46,249	32,892
2018-08-27	$49.73	$49.72	18.3%	5.2%	19.9%	13.0%	18.6%	2.2%	0.4%	3.6M	-32.7M	-582.9K	0.54	9.95	3,608	1,949	44,935	31,982
2018-08-28	$49.42	$49.72	18.9%	5.4%	19.1%	16.6%	19.4%	2.8%	0.6%	3.2M	-26.3M	-573.1K	0.60	10.83	3,056	1,842	45,555	32,114
2018-08-29	$49.73	$49.72	18.5%	5.1%	17.7%	14.2%	19.1%	2.3%	0.2%	3.6M	-32.0M	-578.8K	0.65	7.78	2,999	1,942	45,665	32,673
2018-08-30	$48.99	$49.72	18.6%	5.3%	18.4%	14.9%	18.5%	2.7%	0.1%	2.0M	-13.2M	-557.3K	0.83	8.88	2,227	1,854	45,910	33,012
2018-08-31	$48.37	$49.72	18.7%	5.3%	18.5%	15.4%	19.3%	2.7%	0.4%	825.4K	2.8M	-550.3K	0.60	10.27	3,670	2,201	45,932	33,271