IP Options History — October 2018

In October 2018, IP traded between $37.84 and $47.63. ATM implied volatility averaged 30.6%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.1% (HV 20d: 34.7%). Max pain ranged from $41.67 to $49.24. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-10-09: Highest Volume — 24,038 contracts
  • 2018-10-25: Largest IV drop — 13.8% change
  • 2018-10-10: Highest IV Rank — 100.0%
  • 2018-10-24: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.26$37.84$47.63$47.18$43.11
Max Pain$44.78$41.67$49.24$49.24$41.67
ATM IV30.6%23.3%35.2%23.7%29.4%
Expected Move9.1%5.8%11.3%5.8%9.5%
HV 20d34.7%21.8%56.1%21.8%54.7%
HV 60d25.6%18.9%35.9%19.1%35.8%
IV Rank80.3%43.6%100.0%46.0%69.6%
IV Percentile92.6%65.9%100.0%71.4%90.5%
Term Structure-0.9%-3.7%1.4%-1.0%-0.7%
VWIV31.1%20.3%40.3%20.6%36.7%
Skew 25d5.2%2.5%7.8%2.5%6.0%
Skew 10d10.2%3.9%17.4%6.2%12.4%
Call IV 25d28.4%22.6%33.3%22.9%27.2%
Put IV 25d33.6%25.2%40.1%25.4%33.2%
Bid-Ask Spread %8.294.0524.694.816.73
Gamma HHI0.090.070.120.070.08
Net GEX-49.8K-1.8M2.4M21.9K2.1M
Net DEX55.9M-15.0M106.7M20.6M3.5M
Net VEX-545.5K-698.9K-468.6K-537.6K-698.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.280.780.420.78
Total Volume12,492.3918,65024,0388,6509,623
Total OI105,483.30487,593120,94087,593112,412

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$47.18$49.2423.7%5.8%21.8%46.0%20.6%2.5%-1.0%21.9K20.6M-537.6K0.424.816,0742,57652,23835,355
2018-10-02$47.63$49.2423.3%5.8%22.2%43.6%20.3%2.6%-0.3%1.1M7.9M-531.1K0.754.795,6784,27553,36235,378
2018-10-03$45.79$49.2424.3%6.1%25.7%49.4%21.0%3.1%-0.1%-1.2M45.2M-510.0K0.546.726,1803,36154,74937,608
2018-10-04$46.02$47.3525.2%7.4%25.4%55.2%24.1%4.0%-0.7%-480.4K38.7M-552.0K0.4224.698,8673,75157,05038,821
2018-10-05$46.15$47.3525.3%7.5%25.5%55.5%25.2%3.0%-0.4%774.9K29.0M-589.3K0.386.3411,2464,32759,08139,702
2018-10-08$44.81$47.3527.0%7.8%27.1%66.0%27.7%3.5%-0.3%-1.1M53.7M-544.6K0.778.316,9185,32857,77239,249
2018-10-09$42.17$47.3530.1%8.8%33.6%85.5%29.9%3.9%0.2%-1.3M87.0M-486.7K0.757.4713,76210,27658,63541,149
2018-10-10$41.36$47.3532.7%9.8%32.9%100.0%31.4%5.4%1.4%-1.8M95.9M-512.3K0.466.0611,3315,16063,74246,335
2018-10-11$40.82$44.9834.3%9.9%32.4%100.0%33.7%4.5%0.3%-1.7M100.6M-521.8K0.4920.857,5643,68567,69548,128
2018-10-12$40.36$44.9834.4%9.9%31.5%100.0%32.9%4.5%0.5%-1.6M106.7M-501.8K0.447.239,3894,14969,19448,703
2018-10-15$40.56$44.9834.1%9.8%31.5%98.7%32.9%6.9%-3.3%-750.6K81.8M-490.7K0.439.057,4143,21966,78744,282
2018-10-16$41.01$44.9832.6%9.4%32.0%90.2%32.5%5.5%-3.7%-667.6K77.4M-516.8K0.364.426,7522,41067,39244,705
2018-10-17$40.83$44.9832.5%9.3%31.2%89.5%31.8%6.0%-2.9%-352.1K75.2M-525.3K0.404.057,4372,97269,31745,197
2018-10-18$39.77$42.6133.7%9.8%30.8%96.3%32.2%5.7%-2.0%-606.4K90.6M-485.7K0.414.577,7713,16670,89446,297
2018-10-19$39.99$42.6132.6%9.5%31.5%90.0%31.9%5.9%-1.2%-333.2K85.9M-523.6K0.496.398,8024,28572,79548,145
2018-10-22$38.83$42.6133.0%10.1%31.3%92.7%32.5%6.0%-1.3%-426.6K79.1M-474.7K0.465.109,6714,43655,33242,412
2018-10-23$39.32$42.6133.4%10.6%32.0%94.5%34.1%6.3%-1.1%353.8K71.1M-504.0K0.306.327,5042,22857,68443,073
2018-10-24$37.84$41.6735.2%11.3%33.2%100.0%37.0%7.8%-1.1%-338.7K84.2M-468.6K0.285.928,3462,35459,26843,238
2018-10-25$41.76$41.6730.4%9.4%51.4%74.5%34.5%7.1%-0.9%2.4M15.0M-599.2K0.4010.2112,3985,01261,60144,258
2018-10-26$42.67$41.6731.4%10.1%51.9%80.2%40.3%7.0%-0.6%2.4M-15.0M-664.0K0.4311.2910,2914,43566,31546,273
2018-10-29$40.98$41.6733.7%11.1%53.0%92.1%38.0%7.2%-0.9%698.6K43.8M-619.1K0.627.477,2024,46259,05845,958
2018-10-30$42.95$41.6730.9%10.1%56.1%77.4%34.7%6.3%-0.8%1.7M8.4M-689.6K0.5711.867,1764,06260,56948,908
2018-10-31$43.11$41.6729.4%9.5%54.7%69.6%36.7%6.0%-0.7%2.1M3.5M-698.9K0.786.735,3994,22462,49849,914