IP Options History — March 2010

In March 2010, IP traded between $22.58 and $25.23. ATM implied volatility averaged 35.6%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.7% (HV 20d: 36.3%). Max pain ranged from $21.48 to $23.35. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-03-17: Highest Volume — 29,132 contracts
  • 2010-03-11: Largest IV spike — 8.6% change
  • 2010-03-17: Highest IV Rank — 8.0%
  • 2010-03-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.71$22.58$25.23$22.58$22.98
Max Pain$22.98$21.48$23.35$21.48$23.35
ATM IV35.6%31.4%39.8%39.8%31.4%
Expected Move10.3%9.0%11.4%11.4%9.0%
HV 20d36.3%27.7%44.6%44.6%33.4%
HV 60d37.7%36.1%39.6%36.2%39.6%
IV Rank5.1%0.7%8.0%7.4%0.7%
IV Percentile7.7%1.2%13.5%13.5%1.2%
Term Structure3.5%0.7%6.9%0.7%5.9%
VWIV36.8%31.6%41.6%41.6%31.6%
Skew 25d3.6%0.7%6.1%4.7%2.6%
Skew 10d7.9%1.3%18.3%15.8%3.2%
Call IV 25d34.9%30.9%38.5%38.5%30.9%
Put IV 25d38.5%33.4%43.1%43.1%33.4%
Bid-Ask Spread %15.679.9221.5321.5313.46
Gamma HHI0.180.120.290.230.12
Net GEX2.8M715.8K4.3M2.7M715.8K
Net DEX-100.4M-213.8M-17.0M-65.6M-17.0M
Net VEX-965.8K-1.0M-919.1K-941.5K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.293.210.420.49
Total Volume8,827.131,09829,1326,7759,123
Total OI252,514.348216,031281,651244,080253,028

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$22.58$21.4839.8%11.4%44.6%7.4%41.6%4.7%0.7%2.7M-65.6M-941.5K0.4221.534,7791,996141,314102,766
2010-03-02$23.38$21.4838.3%11.0%43.8%6.2%38.8%4.8%1.0%3.2M-107.5M-954.6K0.2917.187,6202,221142,636103,562
2010-03-03$23.53$21.4837.9%10.9%43.8%5.9%37.7%5.9%0.9%3.0M-114.5M-953.6K0.3816.355,4292,048141,368103,644
2010-03-04$23.33$21.4837.7%10.8%37.9%5.7%41.4%4.8%0.7%3.3M-106.7M-955.4K3.2116.441,0153,255144,260104,134
2010-03-05$23.67$22.4137.4%11.0%36.5%5.5%39.5%5.9%3.4%3.4M-123.9M-960.3K0.6017.685,6763,417144,769106,308
2010-03-08$23.58$23.3536.7%11.0%36.2%4.9%39.0%6.1%2.9%3.3M-117.5M-945.3K1.9816.742,7965,524143,993107,604
2010-03-09$23.43$23.3534.4%10.7%36.1%3.0%39.7%4.6%2.9%3.1M-109.6M-940.4K0.5415.665,1562,793143,536111,377
2010-03-10$23.45$23.3533.1%10.7%35.9%2.2%36.4%5.5%3.2%3.1M-107.3M-933.0K2.2715.851,4343,258143,082111,312
2010-03-11$23.53$23.3536.0%10.3%34.4%5.2%36.2%5.4%4.9%3.0M-110.5M-931.0K0.6317.394,9583,136143,646113,470
2010-03-12$23.66$23.3537.0%10.6%34.3%6.8%35.8%4.1%3.4%3.3M-119.0M-942.2K0.3515.706,1992,162146,903115,993
2010-03-15$23.26$23.3537.1%10.6%35.3%7.2%38.7%5.5%3.8%3.6M-101.8M-927.0K0.3219.162,731870149,634116,305
2010-03-16$23.70$23.3535.8%10.3%27.7%6.4%35.4%2.9%4.3%4.1M-132.8M-940.2K0.3615.464,3271,553151,832116,631
2010-03-17$25.23$23.3537.0%10.6%34.0%8.0%37.0%2.7%1.5%3.3M-213.8M-919.1K0.5518.9818,83510,297152,016116,715
2010-03-18$24.67$23.3537.0%10.6%35.0%8.0%37.5%2.1%1.9%4.3M-183.5M-960.4K0.8816.124,8434,255160,490120,717
2010-03-19$24.11$23.3536.8%10.6%36.3%7.7%37.5%2.0%2.5%4.2M-152.3M-952.9K0.5814.235,3723,096159,384122,267
2010-03-22$24.33$23.3535.2%10.1%36.0%5.6%35.7%2.1%4.3%2.2M-82.8M-940.3K1.5018.025,5188,263121,12794,904
2010-03-23$24.43$23.3533.9%9.7%35.9%3.9%34.0%3.0%4.2%2.3M-88.0M-953.6K2.7011.193,71710,020125,275100,601
2010-03-24$24.48$23.3534.0%9.7%35.8%4.1%34.7%2.6%4.1%2.3M-87.0M-1.0M2.6914.342,4676,648126,618109,194
2010-03-25$23.54$23.3534.1%9.8%39.0%4.2%34.9%1.1%5.9%1.4M-45.4M-1.0M1.1916.567,0738,433127,246114,305
2010-03-26$23.34$23.3533.7%9.7%37.2%3.7%34.7%0.7%5.8%1.3M-38.5M-1.0M1.4911.672,5193,740130,234118,581
2010-03-29$23.49$23.3533.8%9.7%34.3%3.9%35.2%1.0%4.6%1.2M-39.2M-1.0M1.8010.901,1982,156130,845121,130
2010-03-30$23.59$23.3531.6%9.1%32.1%1.0%32.4%3.3%6.9%1.3M-43.9M-1.0M0.499.92739359130,987122,087
2010-03-31$22.98$23.3531.4%9.0%33.4%0.7%31.6%2.6%5.9%715.8K-17.0M-1.0M0.4913.466,1143,009130,896122,132