IP Options History — November 2018

In November 2018, IP traded between $42.51 and $44.78. ATM implied volatility averaged 26.8%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 15.2% (HV 20d: 42.0%). Max pain ranged from $40.25 to $42.61. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-11-13: Highest Volume — 14,341 contracts
  • 2018-11-20: Largest IV spike — 15.9% change
  • 2018-11-20: Highest IV Rank — 76.9%
  • 2018-11-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.54$42.51$44.78$43.74$43.72
Max Pain$42.07$40.25$42.61$41.67$42.61
ATM IV26.8%23.4%30.8%27.9%26.4%
Expected Move7.9%6.6%9.0%8.8%8.1%
HV 20d42.0%18.0%55.0%55.0%19.1%
HV 60d35.8%35.6%36.2%35.9%36.1%
IV Rank55.8%37.8%76.9%61.5%53.7%
IV Percentile78.3%57.1%94.0%84.5%75.0%
Term Structure-0.1%-2.2%1.4%0.1%-0.2%
VWIV28.5%23.9%34.0%33.2%28.8%
Skew 25d4.8%4.0%5.9%5.1%4.3%
Skew 10d10.3%8.0%12.1%12.0%9.1%
Call IV 25d25.1%22.1%28.7%25.8%24.8%
Put IV 25d29.9%26.5%34.6%30.9%29.2%
Bid-Ask Spread %7.894.3018.986.855.18
Gamma HHI0.110.080.130.080.11
Net GEX2.5M1.4M4.1M2.5M2.6M
Net DEX-5.0M-41.5M22.4M-11.6M-12.8M
Net VEX-707.4K-744.9K-653.7K-719.3K-689.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.382.000.670.62
Total Volume8,845.0485,62314,3419,41211,255
Total OI116,809.381108,445126,377114,052117,819

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$43.74$41.6727.9%8.8%55.0%61.5%33.2%5.1%0.1%2.5M-11.6M-719.3K0.676.855,6323,78063,37250,680
2018-11-02$43.19$41.6728.2%9.0%55.0%62.9%34.0%5.2%0.1%2.3M-1.1M-698.9K0.738.185,6514,12664,96551,197
2018-11-05$43.72$40.2527.7%8.1%54.4%60.4%30.3%5.2%0.3%2.6M-10.9M-715.0K0.9718.984,7194,57664,06250,537
2018-11-06$44.11$40.2526.3%7.4%49.7%53.1%27.5%5.3%0.5%3.1M-22.4M-723.6K0.568.114,8102,69866,44453,002
2018-11-07$44.78$40.2523.6%6.8%49.2%39.0%23.9%4.4%0.1%3.7M-41.5M-726.7K0.565.926,4573,60367,34654,020
2018-11-08$44.46$40.2523.4%6.6%49.0%37.8%24.1%4.2%0.3%3.6M-30.8M-728.8K1.069.494,6714,93269,49454,830
2018-11-09$43.84$42.6124.4%6.8%49.1%43.1%25.1%4.5%0.4%2.9M-13.3M-732.0K0.867.664,5313,90570,07156,306
2018-11-12$43.29$42.6126.4%7.8%49.5%53.6%27.3%5.6%1.2%2.4M7.4M-696.5K0.9412.882,9052,71867,61953,859
2018-11-13$43.54$42.6126.6%7.9%49.4%54.7%27.4%4.6%1.4%2.8M-273.4K-719.0K0.3813.5910,4203,92168,04354,284
2018-11-14$43.31$42.6127.9%8.3%49.4%61.4%30.3%5.0%1.4%1.8M4.3M-744.9K0.415.176,2992,59466,33554,946
2018-11-15$43.35$42.6127.6%8.1%48.2%59.8%29.7%4.8%0.8%2.4M-889.9K-732.6K0.657.864,6323,02166,97054,004
2018-11-16$43.88$42.6125.0%6.9%48.3%46.0%26.6%4.4%-1.2%4.1M-14.9M-722.6K0.646.545,7303,65566,71254,333
2018-11-19$43.66$42.6126.6%7.6%46.7%54.7%26.7%5.1%-0.7%2.3M-7.6M-704.8K0.837.524,3863,62560,10848,337
2018-11-20$43.54$42.6130.8%8.8%46.8%76.9%31.6%5.9%-2.2%2.1M-2.6M-732.5K0.866.634,0333,48461,54349,157
2018-11-21$43.24$42.6127.9%8.0%44.2%61.7%27.0%4.7%-1.0%1.8M5.6M-698.8K0.974.863,7063,58262,20849,799
2018-11-23$42.53$42.6128.4%8.3%28.5%64.3%29.4%4.6%-1.3%1.4M20.6M-676.7K0.7810.783,7362,90862,47649,771
2018-11-26$43.33$42.6126.2%7.9%28.3%52.7%28.1%4.5%0.2%2.2M3.0M-679.0K0.954.303,2963,13260,82149,109
2018-11-27$43.20$42.6126.7%8.0%23.8%55.0%29.3%4.8%-0.4%2.2M5.0M-669.6K1.174.882,6723,12461,40549,431
2018-11-28$42.51$42.6128.0%8.3%18.0%62.0%29.6%4.8%-0.4%1.7M22.4M-653.7K2.005.304,6229,22361,97849,662
2018-11-29$43.47$42.6127.0%8.3%19.7%56.8%29.5%4.0%-0.5%2.3M-2.7M-691.7K0.934.914,6524,32463,19752,745
2018-11-30$43.72$42.6126.4%8.1%19.1%53.7%28.8%4.3%-0.2%2.6M-12.8M-689.2K0.625.186,9554,30064,64953,170