IP Options History — February 2010

In February 2010, IP traded between $20.69 and $22.65. ATM implied volatility averaged 43.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.4% (HV 20d: 44.3%). Max pain ranged from $20.55 to $23.35. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.76.

Notable Days

  • 2010-02-16: Highest Volume — 39,114 contracts
  • 2010-02-04: Largest IV spike — 16.3% change
  • 2010-02-01: Highest IV Rank — 17.7%
  • 2010-02-01: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.80$20.69$22.65$22.32$21.64
Max Pain$21.77$20.55$23.35$23.35$21.48
ATM IV43.9%40.2%52.1%52.1%40.2%
Expected Move12.6%11.5%14.9%14.9%11.5%
HV 20d44.3%41.8%51.5%42.3%42.1%
HV 60d34.7%32.9%36.1%32.9%35.3%
IV Rank10.9%7.8%17.7%17.7%7.8%
IV Percentile22.4%13.9%48.0%48.0%13.9%
Term Structure-0.9%-6.6%1.4%-6.6%0.8%
VWIV44.1%40.3%51.6%51.6%40.3%
Skew 25d5.7%3.6%6.9%6.4%5.3%
Skew 10d12.3%5.5%19.3%11.7%10.2%
Call IV 25d41.9%38.3%48.7%48.7%38.4%
Put IV 25d47.7%43.4%55.1%55.1%43.7%
Bid-Ask Spread %16.3811.3821.2717.7017.38
Gamma HHI0.210.120.570.120.18
Net GEX2.3M548.3K8.1M548.3K2.1M
Net DEX-7.3M-61.8M48.1M16.8M-22.2M
Net VEX-753.5K-919.4K-609.4K-636.0K-893.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.101.760.580.78
Total Volume15,807.6843,41639,1147,28815,208
Total OI232,296.895175,963280,216175,963238,816

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$22.32$23.3552.1%14.9%42.3%17.7%51.6%6.4%-6.6%548.3K16.8M-636.0K0.5817.704,6002,68892,41883,545
2010-02-02$22.43$23.3547.0%13.5%41.8%13.5%47.2%4.5%-3.7%722.4K13.1M-651.8K0.2118.3428,5006,02495,16284,935
2010-02-03$21.17$23.3540.7%11.7%42.7%8.2%41.4%3.6%0.1%1.2M40.2M-609.4K0.8514.3012,65510,748120,21886,439
2010-02-04$20.69$23.3547.3%13.6%42.9%13.7%48.1%4.7%-2.4%824.7K48.1M-620.2K1.3815.984,9036,744124,69491,073
2010-02-05$21.17$21.4847.4%13.4%43.3%13.8%49.3%5.9%-2.4%1.3M31.0M-677.2K0.4117.2318,1707,372126,48793,477
2010-02-08$21.02$21.4849.3%13.3%42.9%15.4%47.2%5.9%-1.6%1.5M23.6M-715.2K1.7616.352,3134,069141,05795,620
2010-02-09$21.40$21.4842.2%12.9%44.0%9.5%45.0%5.1%-1.2%1.7M19.9M-722.8K0.6817.119,3756,358141,43398,345
2010-02-10$20.93$21.4842.9%13.1%44.1%10.1%44.6%6.2%-0.5%1.3M33.7M-689.9K1.3112.201,5071,967146,06598,358
2010-02-11$20.89$21.4844.0%12.6%44.1%11.0%42.9%6.9%-1.1%1.3M35.6M-679.7K0.7014.872,8351,991146,64898,801
2010-02-12$21.08$21.4842.4%12.2%44.5%9.7%42.4%5.6%0.1%1.3M31.8M-684.4K0.5219.012,2501,166146,51599,398
2010-02-16$22.51$21.4843.9%12.6%51.5%10.9%43.6%6.3%-0.6%4.7M-32.3M-750.5K0.1314.7134,7224,392147,13699,730
2010-02-17$22.14$20.5543.1%12.4%49.7%10.2%43.1%6.4%-0.3%4.9M-38.6M-805.5K0.1016.8622,7942,287172,111100,710
2010-02-18$22.63$20.5542.4%12.2%50.2%9.6%43.0%6.0%0.0%8.1M-59.4M-818.3K0.4814.855,9062,849178,875101,341
2010-02-19$22.65$21.4842.7%12.2%43.2%9.9%41.2%5.4%-0.5%2.2M-53.2M-810.0K0.7916.9616,40712,980167,134102,530
2010-02-22$22.40$21.4842.1%12.1%43.4%9.4%42.8%6.3%0.8%2.3M-59.2M-848.4K0.9219.428,3457,699125,36486,963
2010-02-23$22.42$21.4842.9%12.3%43.4%10.0%42.7%6.5%-0.6%2.4M-61.8M-893.5K0.8321.274,7703,958130,94291,759
2010-02-24$22.32$21.4840.2%11.5%43.4%7.8%41.7%5.6%1.4%2.4M-54.1M-890.7K1.3411.384,4055,888133,00693,734
2010-02-25$22.31$21.4841.6%11.9%42.5%9.0%40.3%6.5%0.3%2.4M-51.8M-919.4K0.7115.366,7354,766135,02097,782
2010-02-26$21.64$21.4840.2%11.5%42.1%7.8%40.3%5.3%0.8%2.1M-22.2M-893.3K0.7817.388,5436,665138,88099,936