IP Options History — October 2019

In October 2019, IP traded between $36.48 and $41.27. ATM implied volatility averaged 30.2%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.7% (HV 20d: 26.5%). Max pain ranged from $37.88 to $37.88. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-10-16: Highest Volume — 41,395 contracts
  • 2019-10-31: Largest IV drop — 13.9% change
  • 2019-10-08: Highest IV Rank — 64.6%
  • 2019-10-08: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.18$36.48$41.27$38.13$41.27
Max Pain$37.88$37.88$37.88$37.88$37.88
ATM IV30.2%23.8%34.2%31.3%23.8%
Expected Move9.0%7.7%10.2%8.6%7.7%
HV 20d26.5%22.8%29.7%25.0%25.5%
HV 60d30.7%28.7%32.3%30.6%29.0%
IV Rank46.0%16.2%64.6%51.3%16.2%
IV Percentile73.4%16.7%94.0%84.1%16.7%
Term Structure-0.6%-2.6%1.6%-0.9%0.3%
VWIV32.0%25.6%35.3%32.5%25.6%
Skew 25d5.4%4.2%6.7%6.1%4.2%
Skew 10d11.3%6.8%18.4%11.8%6.8%
Call IV 25d27.9%22.1%31.6%29.7%22.1%
Put IV 25d33.2%26.2%38.1%35.9%26.2%
Bid-Ask Spread %13.104.6735.909.3215.97
Gamma HHI0.130.080.540.110.11
Net GEX2.1M-2.1M13.3M324.1K4.0M
Net DEX-5.6M-53.9M65.0M22.7M-53.9M
Net VEX-556.4K-582.4K-514.6K-558.2K-582.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.082.580.660.33
Total Volume6,632.3911,32141,3952,3355,601
Total OI107,639.34891,124131,041103,166105,238

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$38.13$37.8831.3%8.6%25.0%51.3%32.5%6.1%-0.9%324.1K22.7M-558.2K0.669.321,40692957,22545,941
2019-10-02$37.43$37.8833.6%9.3%25.6%62.2%31.3%6.7%-0.7%-228.3K36.3M-548.6K2.5813.542,8337,29857,82246,647
2019-10-03$37.05$37.8834.1%9.7%25.0%64.4%34.5%6.6%-0.6%-1.0M49.4M-543.1K2.036.613,0746,23058,38649,742
2019-10-04$37.11$37.8832.6%9.2%25.0%57.4%32.4%5.7%-0.6%-1.6M51.3M-539.7K0.8117.051,9481,57059,86850,844
2019-10-07$37.17$37.8832.5%9.3%24.2%57.0%34.7%5.3%-0.7%-1.6M50.3M-534.1K1.2619.651,0551,32458,38949,995
2019-10-08$36.48$37.8834.2%10.2%22.8%64.6%35.3%5.8%1.6%-2.1M65.0M-514.6K1.1223.819471,06659,10551,220
2019-10-09$37.25$37.8831.8%9.3%23.6%53.7%33.9%5.4%-0.0%-1.6M47.6M-536.0K0.7320.521,16685659,39751,974
2019-10-10$38.17$37.8831.0%9.2%24.8%49.7%32.6%5.6%1.5%-684.5K24.3M-553.7K0.3716.343,3441,22559,91652,217
2019-10-11$39.59$37.8830.4%8.9%28.1%47.1%31.6%4.4%0.5%1.4M-17.2M-574.0K0.2335.904,8871,13461,13052,686
2019-10-14$38.98$37.8831.9%9.3%28.3%54.2%33.6%6.2%-2.6%979.4K-2.9M-556.5K1.4226.189801,39263,05551,780
2019-10-15$39.25$37.8828.8%8.3%28.1%39.5%30.5%6.1%1.2%1.3M-11.4M-544.5K0.6526.3880351863,21652,629
2019-10-16$39.56$37.8830.5%8.7%27.6%47.5%33.0%5.2%-0.8%1.9M-23.1M-547.3K0.204.6734,3947,00163,61952,862
2019-10-17$39.63$37.8829.7%8.5%27.3%43.7%30.8%5.5%-0.5%8.0M-39.0M-560.6K0.245.786,5701,57075,83354,000
2019-10-18$40.11$37.8829.7%8.6%27.5%43.7%33.3%5.7%-1.0%13.3M-52.3M-560.9K0.086.339,65279776,27454,767
2019-10-21$40.13$37.8829.1%8.6%27.3%40.7%30.2%5.1%-1.6%2.8M-24.5M-548.9K0.264.725,5371,45449,35141,773
2019-10-22$40.50$37.8828.9%8.6%27.0%39.8%29.5%5.0%-1.9%3.6M-35.3M-563.2K0.435.082,23196752,29742,744
2019-10-23$41.05$37.8828.3%8.7%26.5%37.0%31.7%5.2%-1.7%4.8M-51.8M-567.4K0.526.873,0411,58553,62243,091
2019-10-24$39.91$37.8829.8%9.2%28.7%44.2%32.0%5.5%-2.0%2.7M-18.5M-562.8K0.415.762,00081355,39644,123
2019-10-25$40.83$37.8828.6%9.0%29.7%38.4%29.4%4.8%-2.2%4.2M-43.4M-568.8K0.256.216,8311,68355,91844,548
2019-10-28$40.87$37.8828.1%9.3%29.7%36.2%33.0%4.5%-0.8%2.8M-42.5M-577.1K1.127.062,1932,44754,28142,222
2019-10-29$40.34$37.8828.0%9.4%26.5%35.9%31.3%4.6%-0.7%2.4M-28.1M-572.4K0.1710.243,37258855,17643,857
2019-10-30$40.38$37.8827.7%9.4%25.3%34.2%33.1%4.3%-0.7%2.7M-31.0M-582.4K1.437.302,5613,67257,22144,308
2019-10-31$41.27$37.8823.8%7.7%25.5%16.2%25.6%4.2%0.3%4.0M-53.9M-582.3K0.3315.974,2011,40058,82946,409