IP Options History — August 2019

In August 2019, IP traded between $34.78 and $40.48. ATM implied volatility averaged 29.4%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 5.4% (HV 20d: 34.8%). Max pain ranged from $37.88 to $42.61. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-08-14: Highest Volume — 11,647 contracts
  • 2019-08-05: Largest IV spike — 18.3% change
  • 2019-08-05: Highest IV Rank — 65.5%
  • 2019-08-15: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.20$34.78$40.48$40.48$37.05
Max Pain$39.39$37.88$42.61$40.25$37.88
ATM IV29.4%26.4%33.5%27.9%27.6%
Expected Move8.5%7.6%9.4%8.9%7.9%
HV 20d34.8%27.3%39.3%27.3%37.5%
HV 60d28.7%26.7%29.9%26.7%29.3%
IV Rank48.2%35.5%65.5%42.1%40.6%
IV Percentile72.6%47.2%92.1%69.8%58.7%
Term Structure-0.3%-1.7%1.0%-1.0%-0.1%
VWIV29.2%25.7%32.7%32.4%27.2%
Skew 25d5.3%4.4%6.3%4.9%4.9%
Skew 10d10.5%6.1%13.6%9.3%9.9%
Call IV 25d27.3%24.3%31.2%25.9%25.3%
Put IV 25d32.6%29.0%36.8%30.8%30.1%
Bid-Ask Spread %13.946.5526.8621.9315.52
Gamma HHI0.160.090.460.130.10
Net GEX-911.7K-2.7M4.8M-18.2K745.5K
Net DEX50.0M19.4M77.7M19.4M20.9M
Net VEX-513.6K-628.8K-431.2K-628.8K-522.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.132.390.990.37
Total Volume4,720.7271,39611,6476,3383,668
Total OI100,742.04591,213111,989103,865101,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$40.48$40.2527.9%8.9%27.3%42.1%32.4%4.9%-1.0%-18.2K19.4M-628.8K0.9921.933,1813,15756,23047,635
2019-08-02$40.01$40.2528.3%9.2%27.6%43.7%32.0%4.4%-1.6%-2.7M34.9M-601.7K0.5512.773,3341,81856,43648,555
2019-08-05$38.09$42.6133.5%9.1%32.1%65.5%31.9%5.6%-0.9%-1.5M56.9M-543.4K1.018.722,9783,00253,75545,196
2019-08-06$37.81$40.2531.1%8.6%32.1%55.5%29.4%5.5%-0.5%-1.8M62.5M-523.0K1.156.552,0312,32554,61645,708
2019-08-07$38.03$40.2531.2%8.7%32.2%56.0%29.2%5.9%-0.3%-1.8M58.3M-535.7K1.2817.851,7052,18855,85446,124
2019-08-08$38.84$40.2527.9%8.2%33.0%41.8%28.6%5.2%0.3%-1.5M43.5M-560.5K0.7823.351,24596756,68146,397
2019-08-09$37.89$40.2528.2%8.0%33.8%43.2%26.3%4.7%0.2%-2.5M62.5M-521.7K0.1310.367,04194356,94747,072
2019-08-12$36.59$40.2530.8%9.1%35.4%53.9%30.2%5.6%1.0%-1.9M77.7M-479.7K2.397.111,6433,93457,33346,721
2019-08-13$37.91$40.2528.5%8.2%37.7%44.6%28.3%4.8%0.0%-2.0M54.7M-534.0K0.3426.863,1541,07458,04747,678
2019-08-14$36.64$40.2532.0%9.3%39.3%59.3%31.5%5.3%0.0%-1.8M67.4M-515.8K0.2523.719,2942,35359,39948,025
2019-08-15$36.53$40.2532.3%9.4%39.1%60.5%30.5%6.3%0.2%-822.8K62.0M-514.3K0.7622.073,7732,88162,64946,698
2019-08-16$36.88$40.2528.5%7.8%38.3%44.3%28.4%5.0%-1.7%4.8M54.9M-514.8K0.4122.772,5921,05364,61747,372
2019-08-19$37.25$40.2526.8%7.7%38.4%37.2%26.1%5.0%0.3%-173.8K35.7M-509.0K0.5311.922,1581,14553,45337,760
2019-08-20$36.78$37.8827.1%7.8%37.3%38.7%28.8%5.0%-0.2%-289.8K40.9M-501.7K0.539.7491248455,03338,552
2019-08-21$36.99$37.8826.4%7.6%36.6%35.5%25.7%4.7%0.5%-200.5K38.2M-500.2K0.3511.401,70158755,28738,597
2019-08-22$36.85$37.8826.8%7.7%32.8%37.1%27.4%5.2%0.1%-256.4K39.8M-494.5K0.198.603,58968055,59538,890
2019-08-23$35.56$37.8830.9%8.9%34.1%54.5%32.7%5.8%-0.6%-1.6M57.2M-458.6K0.688.695,0203,39956,45539,268
2019-08-26$35.62$37.8830.8%8.8%34.3%54.1%29.6%5.5%-0.6%-1.2M54.3M-464.5K0.538.981,14460555,84640,371
2019-08-27$34.78$37.8831.7%8.9%34.5%57.9%30.5%5.9%-0.5%-1.3M65.1M-431.2K0.426.622,7421,14457,18540,618
2019-08-28$35.43$37.8830.3%8.7%35.7%52.2%29.7%6.0%-0.1%-1.4M56.9M-450.4K0.577.052,4941,41356,74040,766
2019-08-29$36.48$37.8827.9%7.9%36.8%42.0%27.0%5.5%-0.2%-669.3K36.1M-493.9K0.2014.042,75654957,90740,985
2019-08-30$37.05$37.8827.6%7.9%37.5%40.6%27.2%4.9%-0.1%745.5K20.9M-522.4K0.3715.522,67599360,05241,220