IP Options History — December 2018

In December 2018, IP traded between $35.70 and $44.80. ATM implied volatility averaged 32.9%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.6% (HV 20d: 28.3%). Max pain ranged from $42.61 to $47.35. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-12-21: Highest Volume — 13,400 contracts
  • 2018-12-24: Largest IV spike — 17.7% change
  • 2018-12-20: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.11$35.70$44.80$44.80$38.17
Max Pain$45.36$42.61$47.35$42.61$44.51
ATM IV32.9%23.7%41.7%23.7%36.0%
Expected Move9.7%7.5%12.5%7.5%10.1%
HV 20d28.3%20.3%38.3%20.3%37.5%
HV 60d38.0%36.5%40.1%36.5%39.5%
IV Rank79.7%39.6%100.0%39.6%76.8%
IV Percentile92.2%56.0%100.0%56.0%98.0%
Term Structure0.3%-2.4%3.1%0.4%-1.3%
VWIV33.7%26.9%42.0%27.1%35.6%
Skew 25d5.6%4.0%8.5%4.0%4.9%
Skew 10d11.8%8.2%16.7%8.2%13.1%
Call IV 25d30.9%22.6%38.4%22.6%34.7%
Put IV 25d36.5%26.5%46.8%26.5%39.6%
Bid-Ask Spread %5.493.1011.195.273.67
Gamma HHI0.090.070.120.120.07
Net GEX-346.2K-2.6M4.2M4.2M-683.1K
Net DEX60.0M-32.9M110.2M-32.9M73.1M
Net VEX-561.1K-703.6K-423.6K-703.6K-497.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.291.830.290.95
Total Volume6,438.22,39213,4005,1533,020
Total OI117,944.6107,469123,142116,619112,331

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$44.80$42.6123.7%7.5%20.3%39.6%27.1%4.0%0.4%4.2M-32.9M-703.6K0.295.273,9941,15964,36652,253
2018-12-04$43.50$42.6127.1%8.9%22.7%57.1%30.6%5.2%0.1%2.7M630.8K-691.1K0.565.712,7141,51366,76752,358
2018-12-05$43.48$42.6127.8%9.2%22.5%60.8%32.8%5.1%0.1%2.7M1.2M-686.1K0.7410.282,6961,98766,76752,358
2018-12-06$42.56$47.3529.8%8.8%22.8%71.5%30.9%5.4%0.7%1.0M25.3M-664.6K0.483.792,4601,18567,16553,078
2018-12-07$42.76$47.3530.3%8.7%22.9%74.2%29.8%5.2%0.4%1.2M20.6M-670.8K0.8611.192,3181,99467,57453,687
2018-12-10$41.99$47.3531.1%9.1%23.2%78.5%32.1%5.9%0.6%270.0K38.7M-644.8K0.794.731,3371,05566,36552,901
2018-12-11$41.85$47.3530.3%8.6%22.8%74.3%33.3%5.3%0.0%-203.5K44.9M-622.1K0.944.491,5531,45366,70253,446
2018-12-12$42.07$47.3528.7%8.2%22.8%65.8%26.9%5.0%-0.1%-50.0K40.8M-610.7K0.293.104,6141,33067,02053,173
2018-12-13$40.87$47.3529.9%8.6%24.8%72.1%30.8%4.8%-0.2%-1.9M68.0M-558.1K1.833.582,8665,23567,05253,289
2018-12-14$41.01$47.3530.1%8.8%24.9%73.3%29.2%4.8%0.9%-2.1M68.7M-572.2K0.874.353,6593,17667,37555,669
2018-12-17$38.83$47.3535.0%10.1%30.3%99.0%34.7%6.0%-2.0%-2.5M103.7M-502.8K1.034.222,5212,60665,48054,899
2018-12-18$39.01$44.5134.9%10.0%30.5%98.3%32.7%5.6%-1.9%-2.6M99.3M-503.1K0.313.556,3871,95766,25154,219
2018-12-19$38.32$44.5135.2%10.1%30.8%100.0%33.8%5.9%-2.4%-2.3M102.5M-483.5K1.054.264,8905,11269,13053,549
2018-12-20$37.29$44.5136.4%10.5%31.7%100.0%36.4%6.5%-1.0%-2.0M110.2M-464.3K1.607.904,3576,96070,38152,728
2018-12-21$37.17$44.5135.4%10.1%31.5%95.1%35.2%6.7%0.9%-1.4M108.7M-463.5K0.636.338,2355,16570,73652,406
2018-12-24$35.70$44.5141.7%12.5%32.2%100.0%41.8%8.5%1.9%-969.1K97.2M-423.6K0.598.406,6533,92760,14647,323
2018-12-26$37.35$44.5139.1%11.9%37.6%89.5%42.0%5.7%2.8%-862.6K80.0M-476.7K0.555.203,2931,81060,33647,352
2018-12-27$37.97$44.5137.9%11.8%38.3%84.9%40.4%6.3%2.5%-597.2K70.6M-503.9K0.904.612,8792,59462,15947,951
2018-12-28$37.58$44.5137.5%11.2%36.9%82.9%38.1%5.2%3.1%-823.5K78.4M-480.3K0.665.234,8863,21463,02949,121
2018-12-31$38.17$44.5136.0%10.1%37.5%76.8%35.6%4.9%-1.3%-683.1K73.1M-497.1K0.953.671,5461,47463,08449,247