IP Options History — June 2019

In June 2019, IP traded between $39.58 and $42.75. ATM implied volatility averaged 27.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.0% (HV 20d: 29.6%). Max pain ranged from $42.14 to $42.61. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.89.

Notable Days

  • 2019-06-25: Highest Volume — 13,665 contracts
  • 2019-06-10: Largest IV spike — 8.2% change
  • 2019-06-25: Highest IV Rank — 47.7%
  • 2019-06-03: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.00$39.58$42.75$39.58$41.00
Max Pain$42.54$42.14$42.61$42.14$42.61
ATM IV27.5%26.0%29.3%28.6%27.2%
Expected Move7.8%7.2%8.5%8.5%7.2%
HV 20d29.6%25.2%33.9%25.2%27.8%
HV 60d27.1%25.7%28.3%25.7%26.6%
IV Rank40.4%33.9%47.7%45.1%38.8%
IV Percentile69.2%58.7%78.6%76.6%64.3%
Term Structure0.3%-1.0%2.3%-0.2%-0.4%
VWIV28.2%25.0%33.7%33.7%26.4%
Skew 25d4.7%3.6%5.5%4.9%3.6%
Skew 10d9.6%7.9%11.5%9.7%8.9%
Call IV 25d25.6%24.2%27.6%26.8%26.4%
Put IV 25d30.3%28.7%32.2%31.7%30.0%
Bid-Ask Spread %4.863.836.495.614.07
Gamma HHI0.120.090.190.110.15
Net GEX-2.7M-7.7M2.0M-1.6M-6.6M
Net DEX28.3M-37.6M65.7M49.4M23.4M
Net VEX-721.4K-815.8K-652.0K-695.6K-681.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.488.663.490.48
Total Volume7,928.254,48913,6657,2376,372
Total OI126,044.75116,654133,781116,654128,026

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$39.58$42.1428.6%8.5%25.2%45.1%33.7%4.9%-0.2%-1.6M49.4M-695.6K3.495.611,6135,62464,06852,586
2019-06-04$41.45$42.1426.5%7.7%31.1%36.2%31.4%5.0%-0.1%832.8K1.2M-779.2K1.634.652,4964,07565,12254,621
2019-06-05$41.72$42.1427.2%8.0%30.8%39.1%32.5%5.5%-0.1%1.3M-5.6M-793.2K2.025.622,3844,81066,29655,937
2019-06-06$42.22$42.6126.8%7.4%31.2%37.2%26.7%4.9%-0.6%1.8M-20.8M-794.5K3.395.132,5878,77466,77557,453
2019-06-07$42.75$42.6126.0%7.4%31.6%33.9%25.0%4.5%0.9%2.0M-37.6M-815.8K2.904.832,9108,43567,51160,138
2019-06-10$41.25$42.6128.1%8.3%33.9%42.9%28.1%4.8%0.9%-409.9K18.4M-753.2K2.784.621,5094,20164,88657,535
2019-06-11$41.56$42.6126.9%7.4%31.8%37.9%28.3%4.5%-1.0%-378.6K11.8M-764.4K4.685.529004,20965,87959,889
2019-06-12$41.04$42.6126.9%8.1%31.2%37.8%27.2%4.6%1.2%-1.5M31.1M-739.0K8.663.846525,64366,19260,910
2019-06-13$41.44$42.6126.5%7.4%31.5%36.2%27.4%4.6%-0.8%-1.3M18.9M-744.1K7.174.187295,22666,29162,047
2019-06-14$40.65$42.6127.5%8.0%31.7%40.3%28.2%5.1%0.5%-2.8M49.4M-716.3K2.003.951,4942,99566,56462,448
2019-06-17$40.16$42.6128.1%8.1%31.8%42.9%29.8%4.8%1.0%-3.6M58.1M-677.7K6.154.301,65710,19565,09460,462
2019-06-18$40.49$42.6126.9%7.7%28.9%37.7%29.5%4.6%2.3%-5.0M55.0M-696.1K4.116.491,6336,71065,83866,674
2019-06-19$40.80$42.6127.4%7.9%27.0%39.8%26.7%4.8%1.2%-4.6M40.1M-701.0K1.125.193,4483,85966,64265,807
2019-06-20$41.18$42.6127.3%7.8%27.1%39.3%26.9%5.0%0.8%-3.6M27.0M-704.8K0.864.222,9952,56266,93065,675
2019-06-21$41.28$42.6127.6%7.8%26.6%40.7%25.9%4.7%1.1%-1.8M21.1M-701.3K1.225.204,9276,03367,09466,687
2019-06-24$40.08$42.6129.0%7.8%28.2%46.4%27.3%4.6%-0.7%-5.6M65.7M-652.0K1.643.832,5094,10559,21460,285
2019-06-25$40.42$42.6129.3%8.0%28.2%47.7%29.6%4.8%-0.6%-6.5M54.9M-672.5K2.065.344,4599,20660,25462,504
2019-06-26$40.34$42.6128.8%7.8%28.0%45.8%27.4%4.8%-0.0%-6.9M56.3M-675.7K0.914.744,0493,67560,55464,098
2019-06-27$40.57$42.6127.9%7.4%27.7%41.7%26.1%4.1%-0.3%-7.7M48.2M-669.9K0.565.905,6933,21261,16264,747
2019-06-28$41.00$42.6127.2%7.2%27.8%38.8%26.4%3.6%-0.4%-6.6M23.4M-681.4K0.484.074,3062,06662,95165,075