IP Options History — July 2019

In July 2019, IP traded between $39.87 and $43.56. ATM implied volatility averaged 26.6%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.0% (HV 20d: 20.6%). Max pain ranged from $40.25 to $42.61. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2019-07-25: Highest Volume — 18,159 contracts
  • 2019-07-25: Largest IV drop — 8.8% change
  • 2019-07-16: Highest IV Rank — 47.3%
  • 2019-07-22: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.29$39.87$43.56$41.31$41.85
Max Pain$40.57$40.25$42.61$42.61$40.25
ATM IV26.6%24.7%29.2%26.0%25.4%
Expected Move7.6%5.9%8.5%6.4%7.9%
HV 20d20.6%17.5%27.8%27.8%24.7%
HV 60d25.8%24.5%26.8%26.6%26.0%
IV Rank36.5%28.4%47.3%34.0%31.3%
IV Percentile58.7%41.3%78.2%54.0%46.8%
Term Structure-0.3%-2.1%1.3%0.1%-0.7%
VWIV27.3%20.7%31.4%24.9%27.4%
Skew 25d4.2%3.4%5.1%3.8%4.7%
Skew 10d8.7%7.2%10.6%8.8%8.6%
Call IV 25d24.7%22.7%27.0%24.2%23.4%
Put IV 25d28.9%26.7%31.7%28.0%28.0%
Bid-Ask Spread %10.083.8620.403.868.02
Gamma HHI0.170.120.320.150.14
Net GEX-280.4K-7.2M5.7M-776.0K3.6M
Net DEX-539.8K-109.1M66.4M9.0M-24.0M
Net VEX-646.5K-693.5K-608.4K-664.9K-671.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.194.071.410.38
Total Volume8,526.8642,13418,1594,8353,979
Total OI119,422.95594,490146,806116,544104,183

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$41.31$42.6126.0%6.4%27.8%34.0%24.9%3.8%0.1%-776.0K9.0M-664.9K1.413.862,0042,83161,40555,139
2019-07-02$41.50$42.6124.9%5.9%22.5%29.5%21.1%3.7%0.0%-498.3K2.8M-660.7K0.744.372,4051,77862,38456,909
2019-07-03$41.68$42.6125.2%5.9%22.4%30.6%20.7%3.8%0.1%-57.9K-4.7M-667.2K1.384.841,0721,48462,85557,760
2019-07-05$41.56$40.2526.0%7.3%22.0%34.1%27.1%3.5%-0.5%-948.6K86.3K-660.6K1.634.572,7644,51363,12158,128
2019-07-08$40.96$40.2526.2%7.8%21.9%34.7%27.6%3.6%1.3%-2.2M27.0M-641.6K1.0610.881,1441,21762,68159,323
2019-07-09$40.96$40.2526.0%7.7%18.0%34.1%26.0%3.5%1.2%-2.5M30.7M-639.8K0.956.841,0941,04063,00359,907
2019-07-10$40.86$40.2525.6%7.7%17.8%32.4%26.6%3.4%1.2%-3.2M28.2M-634.8K1.9316.661,5893,07563,46060,253
2019-07-11$40.19$40.2527.4%8.0%18.2%39.7%28.3%3.9%0.4%-4.6M57.4M-610.8K1.038.326,9627,20363,99761,830
2019-07-12$40.48$40.2527.1%7.8%18.0%38.5%29.2%3.9%0.3%-3.2M39.2M-634.3K2.368.862,5435,99169,16764,915
2019-07-15$39.87$40.2528.1%8.0%17.6%43.0%27.8%5.1%-0.1%-3.5M56.2M-612.0K0.529.074,2032,18768,03762,949
2019-07-16$40.34$40.2529.2%8.4%17.6%47.3%31.4%4.7%-1.4%-3.3M36.4M-616.5K4.0711.093,20813,04768,56363,733
2019-07-17$40.01$40.2528.7%8.2%17.6%45.3%30.5%4.8%-0.2%-7.0M66.4M-608.4K1.3520.407,1089,60269,18070,066
2019-07-18$40.25$40.2528.4%8.2%17.5%43.9%28.4%4.5%-0.9%-7.2M47.9M-619.2K0.759.605,5044,14472,41669,277
2019-07-19$41.12$40.2528.5%8.3%18.9%44.5%28.8%3.9%-2.1%-574.6K-10.3M-629.7K0.268.0512,5083,26376,19970,607
2019-07-22$40.41$40.2528.6%8.5%19.8%44.9%29.9%5.0%-1.0%2.2M-331.8K-624.0K0.5712.164,1272,36352,12242,368
2019-07-23$41.24$40.2527.2%8.1%18.2%38.8%28.9%4.7%-1.0%3.8M-23.5M-642.3K0.1914.748,7701,65654,53444,466
2019-07-24$41.95$40.2527.3%8.2%18.8%39.4%28.2%4.2%-0.8%4.0M-44.0M-653.5K0.9717.879,0068,70653,82144,685
2019-07-25$43.56$40.2524.9%7.4%22.6%29.2%27.6%4.8%-0.5%5.5M-109.1M-678.0K0.4515.9112,5385,62159,97350,689
2019-07-26$42.91$40.2524.7%7.3%23.6%28.4%25.3%3.9%-0.5%5.7M-93.7M-693.5K1.9310.982,7475,29464,30153,930
2019-07-29$42.66$40.2525.0%7.6%23.6%29.7%27.1%4.4%-0.9%4.1M-50.1M-678.7K0.397.312,33190155,56146,188
2019-07-30$42.69$40.2524.8%7.6%23.5%28.8%27.6%4.3%-0.6%4.4M-53.0M-680.4K0.867.312,1881,88156,53346,687
2019-07-31$41.85$40.2525.4%7.9%24.7%31.3%27.4%4.7%-0.7%3.6M-24.0M-671.8K0.388.022,8921,08757,00547,178