IP Options History — September 2018

In September 2018, IP traded between $46.52 and $51.75. ATM implied volatility averaged 20.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 17.1%). Max pain ranged from $49.24 to $49.72. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2018-09-26: Highest Volume — 28,873 contracts
2018-09-24: Largest IV spike — 15.6% change
2018-09-28: Highest IV Rank — 49.1%
2018-09-28: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.46	$46.52	$51.75	$48.26	$46.52
Max Pain	$49.64	$49.24	$49.72	$49.72	$49.24
ATM IV	20.4%	17.9%	24.2%	20.2%	24.2%
Expected Move	5.7%	4.9%	6.1%	5.7%	6.1%
HV 20d	17.1%	14.0%	21.4%	18.2%	21.4%
HV 60d	17.4%	16.1%	18.9%	18.2%	18.9%
IV Rank	25.9%	10.5%	49.1%	24.7%	49.1%
IV Percentile	34.7%	9.1%	75.4%	31.3%	75.4%
Term Structure	0.6%	-0.8%	4.0%	-0.3%	-0.5%
VWIV	20.2%	18.1%	21.4%	21.4%	21.2%
Skew 25d	2.8%	2.2%	3.5%	3.5%	3.2%
Skew 10d	5.8%	4.7%	6.9%	6.4%	5.7%
Call IV 25d	19.4%	16.7%	23.0%	18.7%	22.7%
Put IV 25d	22.2%	19.4%	25.9%	22.2%	25.9%
Bid-Ask Spread %	10.55	5.11	25.95	25.95	8.30
Gamma HHI	0.14	0.07	0.39	0.09	0.08
Net GEX	3.3M	-1.2M	8.9M	600.7K	-1.2M
Net DEX	-25.7M	-85.0M	37.8M	3.4M	37.8M
Net VEX	-534.2K	-556.3K	-492.7K	-533.3K	-497.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.15	1.20	0.70	0.40
Total Volume	6,782.263	3,277	28,873	4,561	11,706
Total OI	81,054.632	74,122	89,665	78,145	89,665

Daily Data (19 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
2018-09-04	$48.26	$49.72	20.2%	5.7%	18.2%	24.7%	21.4%	3.5%	-0.3%	600.7K	3.4M	-533.3K	0.70	25.95	2,691	1,870	45,168	32,977
2018-09-05	$48.73	$49.24	20.0%	5.7%	17.9%	23.1%	21.0%	3.0%	0.1%	1.3M	-7.9M	-539.1K	0.37	6.37	3,622	1,350	45,714	33,463
2018-09-06	$49.21	$49.72	20.0%	5.8%	17.9%	23.2%	20.6%	2.8%	0.3%	2.2M	-20.9M	-550.7K	0.54	12.95	2,540	1,365	47,248	33,600
2018-09-07	$49.03	$49.72	19.7%	5.7%	17.9%	21.6%	20.2%	3.1%	-0.1%	1.5M	-17.3M	-544.7K	0.54	13.70	2,736	1,473	47,266	33,696
2018-09-10	$49.19	$49.72	20.0%	5.7%	16.2%	23.2%	20.6%	2.9%	-0.2%	2.4M	-18.5M	-534.3K	0.58	5.11	2,396	1,390	46,009	33,110
2018-09-11	$48.92	$49.72	20.1%	5.8%	16.0%	23.7%	21.4%	2.8%	0.1%	1.8M	-11.2M	-540.5K	0.85	7.67	1,767	1,510	46,632	33,437
2018-09-12	$49.61	$49.72	19.8%	5.9%	16.6%	21.7%	20.9%	2.5%	0.7%	3.5M	-27.0M	-556.3K	0.68	12.81	2,363	1,600	46,890	33,649
2018-09-13	$49.93	$49.72	19.6%	5.7%	15.4%	20.7%	19.5%	2.6%	0.3%	4.8M	-40.0M	-550.5K	0.55	18.87	2,715	1,484	47,470	33,983
2018-09-14	$50.41	$49.72	18.9%	5.5%	15.2%	16.5%	19.3%	2.9%	0.6%	5.9M	-52.2M	-544.9K	0.73	7.97	2,642	1,923	47,783	33,995
2018-09-17	$50.66	$49.72	20.2%	5.9%	15.1%	24.2%	19.9%	2.6%	0.6%	5.7M	-55.1M	-544.1K	0.69	16.39	2,898	1,993	47,239	33,436
2018-09-18	$50.90	$49.72	20.1%	5.8%	15.1%	24.0%	20.6%	3.2%	1.0%	6.0M	-59.0M	-542.8K	1.20	12.93	2,671	3,203	47,767	34,018
2018-09-19	$51.41	$49.72	18.1%	5.2%	15.2%	11.9%	19.7%	2.2%	2.6%	6.3M	-71.6M	-552.2K	1.11	7.94	2,315	2,564	48,086	34,591
2018-09-20	$51.75	$49.72	17.9%	5.0%	14.0%	10.5%	18.1%	2.7%	3.3%	8.9M	-85.0M	-537.6K	0.65	5.38	2,948	1,909	48,194	34,866
2018-09-21	$51.23	$49.72	18.5%	4.9%	14.1%	14.2%	18.6%	2.2%	4.0%	6.3M	-70.9M	-542.9K	0.52	8.58	3,419	1,767	48,664	35,243
2018-09-24	$49.58	$49.72	21.4%	5.4%	18.4%	32.0%	19.3%	2.8%	-0.5%	3.1M	-20.0M	-510.7K	0.69	6.24	4,406	3,044	43,726	30,396
2018-09-25	$48.33	$49.72	22.2%	5.6%	20.0%	36.7%	19.8%	2.8%	-0.2%	814.5K	6.0M	-492.7K	0.76	7.86	3,984	3,035	44,837	31,931
2018-09-26	$48.43	$49.72	23.4%	6.1%	20.0%	44.4%	21.0%	2.6%	0.5%	1.2M	2.6M	-512.1K	0.15	10.20	25,195	3,678	45,351	32,893
2018-09-27	$47.59	$49.24	23.9%	6.0%	20.6%	47.0%	20.8%	2.9%	-0.8%	1.3M	17.5M	-522.1K	0.54	5.16	6,922	3,769	52,742	34,303
2018-09-28	$46.52	$49.24	24.2%	6.1%	21.4%	49.1%	21.2%	3.2%	-0.5%	-1.2M	37.8M	-497.5K	0.40	8.30	8,345	3,361	54,101	35,564