IP Options History — January 2010

In January 2010, IP traded between $21.40 and $26.28. ATM implied volatility averaged 41.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.7% (HV 20d: 29.7%). Max pain ranged from $23.35 to $26.15. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-01-27: Highest Volume — 22,531 contracts
  • 2010-01-11: Largest IV spike — 21.9% change
  • 2010-01-28: Highest IV Rank — 19.0%
  • 2010-01-28: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.08$21.40$26.28$25.38$21.40
Max Pain$25.07$23.35$26.15$26.15$23.35
ATM IV41.3%32.8%53.6%34.1%53.3%
Expected Move12.4%10.9%15.4%11.1%15.3%
HV 20d29.7%19.4%38.5%19.4%38.4%
HV 60d34.3%32.0%36.4%36.4%32.0%
IV Rank8.8%1.7%19.0%2.7%18.7%
IV Percentile18.1%2.4%50.0%3.6%49.6%
Term Structure-3.2%-6.6%-0.8%-0.8%-6.1%
VWIV43.2%36.5%54.5%36.5%53.7%
Skew 25d4.6%3.3%6.4%5.8%3.9%
Skew 10d7.5%3.0%9.5%8.9%7.4%
Call IV 25d41.0%35.6%52.9%35.6%52.9%
Put IV 25d45.7%40.3%57.6%41.4%56.8%
Bid-Ask Spread %13.449.7818.4711.7218.35
Gamma HHI0.160.100.420.190.11
Net GEX632.8K-2.3M2.5M1.4M210.2K
Net DEX-34.1M-111.1M34.6M-82.6M34.6M
Net VEX-546.7K-616.5K-481.9K-481.9K-616.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.172.160.170.44
Total Volume8,990.4742,33422,5316,8642,334
Total OI176,792.947123,498221,429184,758175,348

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$25.38$26.1534.1%11.1%19.4%2.7%36.5%5.8%-0.8%1.4M-82.6M-481.9K0.1711.725,8441,02082,200102,558
2010-01-05$26.28$25.2233.2%10.9%22.1%2.0%38.5%5.1%-1.1%2.5M-111.1M-490.4K0.7011.845,5573,90287,134103,257
2010-01-06$25.98$26.1534.9%11.3%22.8%3.4%39.6%5.2%-1.7%2.3M-102.2M-494.2K1.669.791,7582,91188,877105,374
2010-01-07$24.99$26.1536.5%11.7%27.1%4.7%40.4%5.7%-1.9%1.3M-74.0M-499.3K0.6912.789,0316,21989,420107,565
2010-01-08$25.15$25.2232.8%11.7%26.5%1.7%41.4%4.4%-2.5%1.6M-78.5M-547.1K0.9411.673,6353,43496,578111,809
2010-01-11$24.85$25.2240.0%12.3%26.1%7.6%42.9%5.7%-4.0%1.2M-69.3M-542.4K0.959.784,7364,48398,521113,399
2010-01-12$24.92$25.2240.8%12.1%26.1%8.3%43.0%4.9%-4.1%1.3M-72.0M-555.4K0.5511.007,1963,937101,942116,394
2010-01-13$24.86$25.2236.8%12.0%25.1%5.0%42.7%3.9%-4.1%1.2M-69.0M-563.7K0.3513.002,434852103,036118,393
2010-01-14$24.50$25.2242.1%12.1%25.5%9.4%42.0%4.8%-4.1%-22.7K-54.5M-552.1K0.7212.591,4971,071102,945118,121
2010-01-15$24.36$25.2241.0%11.7%25.2%8.5%41.4%4.3%-4.2%-2.3M-50.7M-544.9K1.5116.634,0496,122102,638118,316
2010-01-19$25.18$25.2238.0%10.9%27.6%6.0%38.1%3.6%-1.6%726.2K-28.1M-543.1K0.8013.043,2322,60261,57261,926
2010-01-20$24.54$25.2238.5%11.0%28.4%6.4%39.4%4.8%-1.2%513.3K-15.1M-545.9K2.1618.472,3445,05363,24362,444
2010-01-21$22.83$25.2241.9%12.0%37.6%9.2%40.9%3.9%-2.6%-206.8K20.1M-502.0K0.7912.543,3592,67063,55964,518
2010-01-22$22.82$25.2243.6%12.5%36.9%10.6%42.9%3.3%-1.8%-172.1K18.4M-516.4K1.0115.756,7706,86664,77765,619
2010-01-25$22.88$25.2247.2%13.5%36.6%13.6%46.4%4.2%-4.7%-119.8K16.2M-584.4K0.2217.119,0871,97969,59570,433
2010-01-26$22.85$24.2847.3%13.6%36.7%13.7%45.2%4.4%-3.7%270.2K11.5M-610.4K0.6115.204,8732,95075,87671,969
2010-01-27$22.30$24.2849.9%14.3%37.3%15.9%50.5%3.3%-4.7%102.1K23.5M-598.9K1.0613.9410,92911,60277,77874,361
2010-01-28$21.54$23.3553.6%15.4%38.5%19.0%54.5%6.4%-6.6%104.7K34.5M-597.7K0.5910.199,1225,35986,86280,709
2010-01-29$21.40$23.3553.3%15.3%38.4%18.7%53.7%3.9%-6.1%210.2K34.6M-616.5K0.4418.351,61871692,16883,180