IP Options History — September 2019

In September 2019, IP traded between $36.09 and $40.58. ATM implied volatility averaged 27.5%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.9% (HV 20d: 29.4%). Max pain ranged from $37.41 to $37.88. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2019-09-17: Highest Volume — 9,133 contracts
  • 2019-09-05: Largest IV drop — 9.3% change
  • 2019-09-03: Highest IV Rank — 50.4%
  • 2019-09-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.74$36.09$40.58$36.09$39.59
Max Pain$37.86$37.41$37.88$37.88$37.88
ATM IV27.5%25.1%29.9%29.9%28.8%
Expected Move7.9%7.2%8.8%8.8%7.7%
HV 20d29.4%22.8%35.7%34.5%22.8%
HV 60d29.5%28.9%29.9%29.5%29.8%
IV Rank38.5%30.1%50.4%50.4%39.4%
IV Percentile56.0%32.9%75.8%75.8%71.0%
Term Structure0.6%-1.2%3.2%-0.8%-0.7%
VWIV27.9%24.5%31.3%31.3%30.0%
Skew 25d4.9%4.2%6.0%6.0%4.5%
Skew 10d10.2%8.5%12.0%12.0%9.9%
Call IV 25d25.5%23.2%28.1%27.3%28.1%
Put IV 25d30.3%27.5%33.3%33.3%32.6%
Bid-Ask Spread %16.877.2624.2313.4517.50
Gamma HHI0.110.090.140.120.10
Net GEX1.8M-20.7K3.4M-20.7K1.6M
Net DEX-5.9M-59.5M38.8M38.8M-12.0M
Net VEX-548.0K-590.2K-484.1K-484.1K-588.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.296.671.160.75
Total Volume3,779.251,2729,1332,0932,578
Total OI100,624.2590,545105,69997,459101,645

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$36.09$37.8829.9%8.8%34.5%50.4%31.3%6.0%-0.8%-20.7K38.8M-484.1K1.1613.459681,12558,58138,878
2019-09-04$36.65$37.4129.0%8.3%35.1%46.4%31.0%4.8%0.0%327.8K31.3M-496.1K1.6011.189651,54458,99939,807
2019-09-05$37.34$37.8826.3%7.4%35.7%35.1%27.0%5.2%0.3%1.2M18.4M-515.8K0.4022.3590736559,29040,869
2019-09-06$37.36$37.8825.8%7.2%34.8%33.3%25.9%4.5%0.5%1.7M19.3M-505.1K0.5717.921,14764959,62740,984
2019-09-09$37.97$37.8826.8%7.9%34.2%37.5%26.7%4.9%0.7%1.9M6.3M-523.2K0.3521.414,1191,45559,01240,079
2019-09-10$38.96$37.8827.2%8.1%32.7%39.1%27.2%5.3%1.0%3.0M-18.5M-561.3K0.6320.511,9081,19959,46540,579
2019-09-11$39.54$37.8826.0%7.2%30.8%33.9%26.0%4.4%-1.0%3.2M-31.6M-557.6K0.9620.4392689059,66940,876
2019-09-12$40.11$37.8825.1%7.2%27.9%30.1%25.9%4.5%0.0%3.4M-45.7M-563.3K0.807.261,9501,56459,90241,275
2019-09-13$40.58$37.8825.3%7.4%27.9%30.8%24.5%4.2%1.0%3.4M-59.5M-558.6K0.537.423,7521,97560,16041,209
2019-09-16$40.09$37.8826.6%7.6%28.5%36.4%27.7%4.4%-0.2%3.3M-40.1M-556.8K5.0316.446963,49958,76940,771
2019-09-17$39.63$37.8828.0%8.0%28.9%42.4%31.3%5.4%-0.0%3.1M-28.6M-580.5K6.6721.151,1917,94259,06442,337
2019-09-18$38.98$37.8829.8%8.5%29.2%49.7%29.1%5.4%-1.2%2.0M-6.0M-557.6K1.4324.238491,21159,57544,728
2019-09-19$38.56$37.8828.6%8.2%29.6%44.8%28.1%5.2%-0.3%1.3M8.4M-540.4K0.3219.111,91660759,51745,475
2019-09-20$38.44$37.8827.8%8.0%29.6%41.4%27.9%4.5%-0.1%1.0M11.6M-531.5K0.6410.455,4873,50460,01745,682
2019-09-23$38.83$37.8826.9%7.7%26.1%35.9%27.0%4.5%2.5%770.9K4.1M-527.1K2.9119.881,2033,49650,71339,832
2019-09-24$38.37$37.8828.7%8.5%26.7%39.2%30.0%5.3%2.2%1.1M11.5M-557.6K4.7115.197273,42255,95142,258
2019-09-25$39.15$37.8827.2%7.9%25.2%32.0%27.3%4.7%2.4%1.5M-5.7M-579.0K1.4218.441,0951,55456,18744,212
2019-09-26$39.21$37.8827.4%7.7%24.8%33.0%27.7%4.7%3.2%1.6M-7.1M-586.9K1.7119.717121,21856,99545,575
2019-09-27$39.38$37.8828.6%8.0%23.1%38.5%27.2%5.2%1.9%1.2M-12.6M-590.2K0.2913.354,0781,19257,21146,710
2019-09-30$39.59$37.8828.8%7.7%22.8%39.4%30.0%4.5%-0.7%1.6M-12.0M-588.0K0.7517.501,4711,10756,25345,392