IP Options History — December 2019

In December 2019, IP traded between $43.40 and $45.07. ATM implied volatility averaged 20.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.7% (HV 20d: 16.9%). Max pain ranged from $42.61 to $42.61. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2019-12-13: Highest Volume — 7,290 contracts
  • 2019-12-10: Largest IV spike — 11.4% change
  • 2019-12-31: Highest IV Rank — 25.5%
  • 2019-12-10: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.83$43.40$45.07$43.89$43.64
Max Pain$42.61$42.61$42.61$42.61$42.61
ATM IV20.6%18.9%23.5%20.4%23.5%
Expected Move5.9%5.4%6.8%6.3%5.7%
HV 20d16.9%14.9%18.9%16.6%15.0%
HV 60d21.7%19.6%22.7%22.7%19.6%
IV Rank8.0%0.0%25.5%5.9%25.5%
IV Percentile6.9%0.0%30.2%2.0%30.2%
Term Structure0.8%-1.1%3.4%0.6%0.1%
VWIV21.3%18.5%24.5%22.4%22.0%
Skew 25d2.9%2.0%4.4%3.0%3.3%
Skew 10d6.3%3.6%9.3%6.3%7.0%
Call IV 25d19.4%17.5%22.8%19.2%22.7%
Put IV 25d22.3%20.2%25.9%22.2%25.9%
Bid-Ask Spread %9.735.9715.998.9515.37
Gamma HHI0.210.160.270.160.27
Net GEX5.5M3.8M8.5M6.0M5.9M
Net DEX-76.9M-117.8M-57.3M-81.8M-72.3M
Net VEX-576.4K-610.5K-534.7K-607.8K-543.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.091.741.500.77
Total Volume2,736.0959777,2902,9541,143
Total OI107,757.19102,547114,737102,547107,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$43.89$42.6120.4%6.3%16.6%5.9%22.4%3.0%0.6%6.0M-81.8M-607.8K1.508.951,1821,77258,85643,691
2019-12-03$43.47$42.6121.8%6.6%16.3%12.3%24.5%4.4%0.7%4.8M-65.3M-610.5K1.7415.997331,27559,51544,666
2019-12-04$43.69$42.6121.5%6.5%15.4%10.7%22.5%3.5%0.7%5.4M-72.6M-609.0K0.827.8777664059,53145,386
2019-12-05$44.05$42.6120.6%6.0%15.6%6.8%24.5%3.3%0.8%6.4M-84.3M-592.7K0.9912.7749048759,89845,686
2019-12-06$44.90$42.6118.9%5.7%16.8%0.0%20.3%3.1%0.8%8.5M-115.8M-574.5K0.519.952,9791,53360,04345,869
2019-12-09$45.07$42.6119.9%6.0%15.7%4.6%21.6%3.6%0.9%8.4M-117.8M-573.5K0.698.351,29590060,11745,179
2019-12-10$43.80$42.6122.2%6.8%18.9%14.4%22.3%3.9%1.4%5.0M-70.7M-588.0K0.778.882,0691,59760,76145,701
2019-12-11$43.80$42.6122.1%6.7%18.9%14.0%22.9%3.5%1.5%4.8M-69.1M-595.1K0.8713.7085274361,51946,767
2019-12-12$44.03$42.6121.1%5.9%18.8%9.7%21.4%2.8%-0.4%5.2M-80.1M-585.2K0.159.641,02715161,84546,981
2019-12-13$43.95$42.6119.2%5.5%18.6%1.7%22.3%2.8%-0.3%5.5M-77.2M-566.2K0.248.825,8671,42361,88547,011
2019-12-16$43.69$42.6120.2%5.9%18.8%5.8%20.1%3.0%-1.1%5.2M-68.3M-558.3K0.675.971,9691,32661,03845,212
2019-12-17$44.02$42.6118.9%5.5%18.8%0.4%19.1%2.0%0.5%5.4M-78.3M-553.6K0.096.595,74949461,40646,177
2019-12-18$43.78$42.6120.5%5.9%18.8%7.3%20.0%2.1%-0.8%5.9M-77.9M-575.3K0.966.761,5161,45065,63946,380
2019-12-19$43.40$42.6120.1%5.8%18.0%5.4%20.9%2.5%-0.7%3.8M-57.3M-588.7K0.138.164,13052865,62048,777
2019-12-20$43.55$42.6119.4%5.6%17.2%2.1%19.1%2.2%-0.6%3.8M-71.9M-580.7K0.2710.291,21932666,57748,160
2019-12-23$43.75$42.6118.9%5.4%17.0%0.4%18.5%2.1%3.2%5.8M-77.5M-568.2K0.478.021,77883462,98343,697
2019-12-24$43.57$42.6119.4%5.7%15.2%2.1%20.5%2.3%3.3%5.3M-72.3M-572.9K0.749.8570852463,69344,112
2019-12-26$43.59$42.6120.2%5.6%15.2%6.8%19.7%2.4%3.3%4.6M-69.1M-564.3K0.389.201,17744564,08444,608
2019-12-27$43.41$42.6121.1%5.9%15.0%11.8%20.8%2.5%3.4%3.8M-66.7M-562.0K1.219.4962875964,90144,849
2019-12-30$43.45$42.6122.8%5.7%14.9%21.1%20.9%2.7%-0.1%5.3M-67.7M-534.7K0.979.631,5081,45663,28943,081
2019-12-31$43.64$42.6123.5%5.7%15.0%25.5%22.0%3.3%0.1%5.9M-72.3M-543.2K0.7715.3764549863,88443,827