IP Options History — November 2019

In November 2019, IP traded between $41.52 and $44.02. ATM implied volatility averaged 21.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 20.5%). Max pain ranged from $37.88 to $42.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2019-11-13: Highest Volume — 28,901 contracts
  • 2019-11-22: Largest IV drop — 7.3% change
  • 2019-11-21: Highest IV Rank — 13.2%
  • 2019-11-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.16$41.52$44.02$41.52$43.81
Max Pain$41.67$37.88$42.61$37.88$42.61
ATM IV21.3%19.0%23.2%22.1%19.0%
Expected Move6.3%5.6%6.9%6.9%5.7%
HV 20d20.5%16.6%25.7%25.5%16.6%
HV 60d25.2%22.7%28.7%28.7%22.7%
IV Rank5.2%0.0%13.2%8.0%0.0%
IV Percentile5.2%0.0%17.5%6.0%0.0%
Term Structure0.2%-0.7%1.1%0.6%0.1%
VWIV22.3%19.9%25.2%25.2%20.3%
Skew 25d3.2%2.4%4.2%3.4%2.9%
Skew 10d6.5%4.3%8.9%5.9%6.1%
Call IV 25d20.2%18.0%21.5%20.7%18.0%
Put IV 25d23.3%20.9%25.5%24.1%20.9%
Bid-Ask Spread %14.875.9530.3617.7511.04
Gamma HHI0.130.110.160.120.15
Net GEX5.2M2.6M8.1M4.3M7.0M
Net DEX-82.6M-130.4M-35.3M-62.2M-82.3M
Net VEX-597.4K-635.0K-560.3K-577.7K-605.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.033.020.810.64
Total Volume5,147.91,23828,9013,1921,238
Total OI104,377.695,609110,912106,929107,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$41.52$37.8822.1%6.9%25.5%8.0%25.2%3.4%0.6%4.3M-62.2M-577.7K0.8117.751,7591,43360,00646,923
2019-11-04$42.23$40.2522.9%6.5%25.7%11.6%23.5%3.5%0.1%4.3M-78.2M-572.5K0.8030.361,9641,57656,68645,144
2019-11-05$42.91$40.2521.6%6.6%24.1%6.0%23.1%3.3%0.7%5.2M-95.8M-564.9K0.2122.014,15186157,71445,891
2019-11-06$42.85$40.2521.6%6.4%23.8%5.8%23.9%2.9%0.3%6.0M-100.7M-575.9K0.5624.203,3751,87559,53746,159
2019-11-07$42.98$40.2521.3%6.5%23.0%4.3%22.4%2.6%0.6%5.8M-102.9M-575.6K1.6427.891,0971,79560,36147,134
2019-11-08$43.80$40.2520.8%6.4%20.6%1.9%21.3%2.4%0.8%5.3M-130.4M-565.1K0.2526.483,36984961,15248,027
2019-11-11$43.59$40.2520.8%6.4%19.4%2.0%21.5%2.5%1.1%6.3M-113.8M-562.4K0.7410.203,6632,70258,81742,527
2019-11-12$43.65$42.6121.6%6.5%19.5%5.5%22.8%2.7%0.5%5.8M-115.7M-560.3K0.1018.3112,1251,20360,23544,491
2019-11-13$43.40$42.6121.7%6.4%19.8%6.1%22.1%2.7%0.6%8.1M-109.3M-578.7K0.0313.9327,93896366,06844,844
2019-11-14$43.08$42.6122.1%6.6%20.3%8.2%23.0%3.5%0.9%5.2M-83.7M-635.0K0.309.882,15264264,15545,635
2019-11-15$43.11$42.6121.2%6.2%20.1%4.0%21.0%3.1%0.7%3.6M-84.5M-615.2K1.0010.032,0932,09164,87945,725
2019-11-18$43.42$42.6121.3%6.1%20.1%4.5%21.7%3.0%-0.6%4.7M-62.3M-625.9K0.269.172,88574853,18342,426
2019-11-19$43.66$42.6121.8%6.3%20.0%6.6%23.4%3.4%-0.2%5.3M-70.5M-632.4K0.418.191,61666155,64542,863
2019-11-20$42.91$42.6122.8%6.5%21.0%11.3%22.8%4.2%-0.7%4.1M-51.9M-633.6K2.298.658952,05356,73043,085
2019-11-21$42.32$42.6123.2%6.7%18.7%13.2%22.8%4.0%-0.6%2.6M-35.3M-620.7K3.0212.785271,58957,08844,540
2019-11-22$42.70$42.6121.5%6.2%17.3%5.2%21.4%3.7%-0.3%3.5M-42.5M-610.9K0.717.801,6951,21157,07445,751
2019-11-25$43.64$42.6120.3%6.0%18.6%0.0%23.5%3.5%0.0%5.3M-70.8M-612.4K1.1814.031,3541,59556,72645,036
2019-11-26$43.67$42.6119.3%5.6%17.6%0.0%19.9%3.2%0.3%5.8M-73.0M-615.6K0.855.9592078557,62446,003
2019-11-27$44.02$42.6119.2%5.8%17.6%0.0%20.1%3.0%-0.2%6.6M-87.0M-608.0K0.358.792,60190958,11046,522
2019-11-29$43.81$42.6119.0%5.7%16.6%0.0%20.3%2.9%0.1%7.0M-82.3M-605.8K0.6411.0475648260,08946,947