IP Options History — May 2019

In May 2019, IP traded between $39.25 and $44.61. ATM implied volatility averaged 25.6%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.4% (HV 20d: 27.0%). Max pain ranged from $42.61 to $44.98. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2019-05-21: Highest Volume — 17,250 contracts
  • 2019-05-07: Largest IV spike — 14.9% change
  • 2019-05-31: Highest IV Rank — 46.6%
  • 2019-05-31: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.12$39.25$44.61$43.62$39.25
Max Pain$43.15$42.61$44.98$42.61$42.61
ATM IV25.6%21.6%29.0%22.0%29.0%
Expected Move7.3%6.1%8.4%6.2%8.4%
HV 20d27.0%23.6%30.0%26.0%26.2%
HV 60d24.8%23.4%25.8%24.1%25.6%
IV Rank32.3%15.4%46.6%17.1%46.6%
IV Percentile57.8%24.6%78.6%28.2%78.6%
Term Structure-0.2%-1.1%0.7%-0.3%-0.8%
VWIV25.8%20.7%31.8%22.4%29.5%
Skew 25d5.0%4.2%6.3%5.3%5.2%
Skew 10d9.7%7.0%12.1%7.0%10.9%
Call IV 25d23.6%19.6%27.0%19.6%27.0%
Put IV 25d28.6%23.8%32.2%24.9%32.2%
Bid-Ask Spread %4.933.207.075.984.54
Gamma HHI0.110.090.140.100.11
Net GEX462.7K-2.5M5.9M5.1M-2.5M
Net DEX12.8M-73.4M66.7M-36.5M66.7M
Net VEX-742.1K-826.4K-665.2K-757.9K-665.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.503.070.890.65
Total Volume7,647.52,70617,2505,1826,934
Total OI120,518.318111,365130,971116,525120,123

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$43.62$42.6122.0%6.2%26.0%17.1%22.4%5.3%-0.3%5.1M-36.5M-757.9K0.895.982,7472,43566,03850,487
2019-05-02$43.78$42.6122.4%6.3%25.7%18.7%22.9%4.2%-0.5%5.4M-39.5M-768.9K0.745.072,8372,09566,26351,974
2019-05-03$44.61$42.6121.6%6.1%26.6%15.4%20.7%4.3%0.3%5.9M-73.4M-786.7K0.506.046,1713,10166,89852,173
2019-05-06$44.12$42.6123.1%6.3%26.9%21.9%25.2%4.9%-0.2%4.8M-46.3M-793.0K2.324.398141,89265,90850,880
2019-05-07$43.37$42.6126.6%7.7%27.5%36.4%26.3%5.9%-0.7%2.6M-18.2M-816.3K1.246.343,2304,00166,24451,847
2019-05-08$43.31$42.6126.4%7.5%27.5%35.8%25.1%5.4%-0.1%2.5M-17.7M-826.4K1.276.084,5875,82368,22854,012
2019-05-09$43.32$44.9826.6%7.6%27.5%36.6%26.6%6.3%-0.3%2.1M-12.5M-825.9K2.294.721,7423,99568,70555,729
2019-05-10$43.17$44.9824.3%7.3%27.5%26.8%24.6%5.7%0.1%1.2M-5.9M-793.9K1.797.071,4532,60669,04355,017
2019-05-13$41.69$44.9827.7%7.5%29.2%40.9%28.1%6.3%-1.1%-1.1M37.7M-725.2K1.415.653,0894,34467,27252,722
2019-05-14$42.48$44.9824.4%7.0%30.0%27.3%23.8%5.0%0.2%-370.1K15.5M-741.1K0.604.133,5892,15468,65154,399
2019-05-15$42.48$44.9824.6%6.9%24.7%27.9%24.4%4.4%0.1%-1.3M20.1M-731.2K1.356.332,7223,67369,03255,916
2019-05-16$43.00$42.6123.4%6.7%23.6%23.2%21.8%4.7%0.3%-776.4K-1.8M-746.6K1.293.722,9013,73270,24658,322
2019-05-17$42.61$42.6124.1%6.9%23.7%26.0%23.9%4.7%-0.2%-1.1M11.5M-723.0K1.595.365,4758,71171,86559,106
2019-05-20$40.96$42.6126.7%7.7%27.7%36.7%23.9%5.0%0.2%-2.0M54.7M-667.1K0.953.884,3184,08262,16049,205
2019-05-21$42.13$42.6124.6%7.1%29.3%28.1%26.1%4.5%0.7%-1.9M24.5M-715.2K1.414.457,16610,08463,33151,611
2019-05-22$41.70$42.6125.7%7.4%29.4%32.5%26.4%4.5%0.1%-1.7M35.0M-736.3K0.764.486,4324,86065,57853,876
2019-05-23$41.09$42.6127.6%7.9%27.5%40.5%27.2%5.2%0.4%-2.0M52.3M-729.8K0.734.366,1404,50467,47955,039
2019-05-24$40.50$42.6127.0%7.7%27.6%38.1%26.4%4.8%0.3%-785.8K59.5M-724.1K0.753.965,0873,80469,09056,415
2019-05-28$40.26$42.6127.9%8.0%27.0%42.0%30.1%5.1%-0.7%-572.0K42.1M-694.7K3.074.021,0773,31065,63448,751
2019-05-29$39.84$42.6128.9%8.3%26.7%46.1%31.8%4.4%-0.8%-1.3M52.8M-691.4K2.094.661,6253,40366,11051,585
2019-05-30$39.44$42.6128.6%8.2%26.4%45.1%30.4%4.8%-0.5%-2.0M61.0M-667.2K2.153.201,7483,75266,11752,322
2019-05-31$39.25$42.6129.0%8.4%26.2%46.6%29.5%5.2%-0.8%-2.5M66.7M-665.2K0.654.544,2062,72866,47653,647