IP Options History — January 2019

In January 2019, IP traded between $38.36 and $44.93. ATM implied volatility averaged 32.1%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 4.2% (HV 20d: 36.3%). Max pain ranged from $40.25 to $44.51. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-01-10: Highest Volume — 15,080 contracts
  • 2019-01-31: Largest IV drop — 15.9% change
  • 2019-01-03: Highest IV Rank — 80.0%
  • 2019-01-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.40$38.36$44.93$38.72$44.90
Max Pain$40.56$40.25$44.51$44.51$42.61
ATM IV32.1%26.5%37.0%36.2%26.5%
Expected Move9.4%7.3%11.1%9.8%7.3%
HV 20d36.3%27.6%44.2%36.6%27.6%
HV 60d36.5%30.1%40.1%39.7%30.1%
IV Rank59.5%36.0%80.0%76.8%36.0%
IV Percentile87.2%59.5%98.4%98.0%59.5%
Term Structure-0.6%-1.6%2.6%-0.4%-0.6%
VWIV33.3%25.1%37.4%35.4%25.1%
Skew 25d5.3%4.6%7.2%7.2%5.0%
Skew 10d11.2%8.8%13.9%9.5%10.0%
Call IV 25d29.7%24.5%34.5%31.9%24.5%
Put IV 25d35.1%29.6%40.5%39.1%29.6%
Bid-Ask Spread %25.275.4842.565.486.55
Gamma HHI0.110.070.170.070.15
Net GEX1.2M-764.9K3.1M-469.7K2.5M
Net DEX-14.1M-78.0M68.0M64.6M-67.8M
Net VEX-606.6K-713.7K-507.6K-508.0K-713.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.362.250.851.04
Total Volume7,224.2382,71915,0804,02514,105
Total OI109,399.23879,894135,102113,63194,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$38.72$44.5136.2%9.8%36.6%76.8%35.4%7.2%-0.4%-469.7K64.6M-508.0K0.855.482,1701,85563,75449,877
2019-01-03$38.36$40.2537.0%11.1%35.7%80.0%37.4%6.0%-0.8%-655.1K68.0M-507.6K0.9242.562,9442,70164,53850,859
2019-01-04$40.09$40.2533.2%9.8%39.9%64.2%34.1%6.8%-0.0%-32.3K36.8M-548.5K0.9534.972,6162,49666,07351,883
2019-01-07$40.67$40.2533.3%9.6%39.9%64.7%33.9%4.9%0.1%11.7K34.8M-555.4K1.3941.982,4173,36063,66750,514
2019-01-08$41.02$40.2532.7%10.0%40.0%62.2%34.0%4.7%2.6%-201.2K30.0M-582.1K2.0139.221,9653,95465,46054,102
2019-01-09$40.41$40.2533.3%9.5%39.8%64.4%35.5%5.8%-0.4%-764.9K46.2M-570.1K1.6519.622,0133,31365,95555,607
2019-01-10$42.59$40.2534.1%9.5%44.2%67.9%33.3%5.9%-1.3%269.5K-8.3M-626.2K0.3628.5211,1093,97166,58857,188
2019-01-11$42.77$40.2533.1%9.3%44.2%64.0%33.7%5.1%-1.2%1.8M-27.0M-632.4K0.6819.474,1072,78971,98857,690
2019-01-14$41.98$40.2533.6%9.6%43.4%66.0%35.5%5.4%-0.4%746.6K3.5M-608.6K0.7425.404,3083,16969,17657,062
2019-01-15$42.28$40.2532.5%9.3%43.5%61.3%33.0%5.3%-0.3%911.5K-3.2M-596.5K2.2526.491,2252,75471,02959,033
2019-01-16$42.05$40.2530.6%8.8%38.2%53.1%29.9%5.2%0.1%502.7K5.1M-580.6K0.8413.323,0132,52070,72959,253
2019-01-17$42.53$40.2530.3%8.7%38.3%52.1%33.0%4.9%-0.5%863.5K-14.1M-584.6K1.9518.142,3644,61572,02059,780
2019-01-18$43.28$40.2529.3%8.5%37.7%47.8%29.6%4.6%-1.5%3.1M-51.1M-575.4K1.3725.524,0795,57072,64462,458
2019-01-22$43.13$40.2531.5%9.1%35.7%57.1%32.2%5.0%-1.4%1.4M-39.9M-581.6K1.1427.013,6984,21840,24439,650
2019-01-23$43.34$40.2531.3%9.1%35.5%56.2%32.4%4.8%-1.6%1.6M-47.8M-618.9K1.0417.462,0922,17043,05541,664
2019-01-24$43.75$40.2531.2%9.2%30.7%55.9%32.5%5.5%-1.2%2.0M-58.7M-629.7K0.5823.495,0742,94643,85541,869
2019-01-25$44.59$40.2530.0%9.0%28.0%50.9%31.6%5.1%-0.8%2.6M-78.0M-666.2K0.3629.176,7382,43046,68443,439
2019-01-28$44.26$40.2531.4%9.8%28.5%56.5%35.2%5.2%-1.1%2.7M-54.8M-666.0K1.3026.441,1811,53844,73337,791
2019-01-29$44.74$40.2530.9%9.7%27.6%54.6%35.3%4.8%-1.4%2.8M-64.8M-684.7K0.4527.314,1651,85345,78138,590
2019-01-30$44.93$40.2531.5%10.1%27.6%57.0%36.6%4.8%-1.5%3.0M-69.5M-701.5K1.7732.644,3677,73747,38339,106
2019-01-31$44.90$42.6126.5%7.3%27.6%36.0%25.1%5.0%-0.6%2.5M-67.8M-713.7K1.046.556,9067,19948,93645,677