IP Options History — April 2010

In April 2010, IP traded between $23.57 and $26.74. ATM implied volatility averaged 36.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.0% (HV 20d: 33.3%). Max pain ranged from $23.35 to $25.22. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-04-07: Highest Volume — 37,233 contracts
  • 2010-04-15: Largest IV spike — 33.1% change
  • 2010-04-28: Highest IV Rank — 26.0%
  • 2010-04-28: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.54$23.57$26.74$23.57$24.97
Max Pain$24.10$23.35$25.22$23.35$25.22
ATM IV36.3%28.9%49.6%31.2%40.5%
Expected Move11.2%9.0%14.2%9.0%11.6%
HV 20d33.3%26.4%38.1%34.5%36.3%
HV 60d38.0%35.5%40.1%39.3%35.8%
IV Rank9.0%0.0%26.0%0.5%16.6%
IV Percentile17.8%0.0%65.1%0.8%30.6%
Term Structure-1.6%-6.4%5.6%5.6%-0.0%
VWIV39.4%30.9%51.9%30.9%40.8%
Skew 25d4.5%1.5%9.4%1.5%7.9%
Skew 10d8.7%5.2%19.2%9.8%14.4%
Call IV 25d37.2%30.9%45.5%30.9%37.7%
Put IV 25d41.7%32.3%54.9%32.3%45.6%
Bid-Ask Spread %16.5311.1222.0313.4518.01
Gamma HHI0.200.120.500.140.13
Net GEX3.1M413.2K7.6M1.4M413.2K
Net DEX-125.5M-215.5M-45.0M-45.0M-54.9M
Net VEX-1.0M-1.1M-947.6K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.155.440.440.60
Total Volume8,036.61992837,2332,5858,589
Total OI245,322.476203,424284,670258,587236,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$23.57$23.3531.2%9.0%34.5%0.5%30.9%1.5%5.6%1.4M-45.0M-1.0M0.4413.451,798787135,316123,271
2010-04-05$23.81$23.3534.6%10.8%34.3%4.9%37.8%4.3%0.0%1.8M-57.7M-1.0M0.5014.722,0581,022135,840123,617
2010-04-06$24.20$23.3532.6%10.5%34.7%2.3%36.5%4.2%-0.3%2.2M-75.3M-1.0M0.2013.533,827762134,783123,579
2010-04-07$25.22$23.3530.1%11.0%37.4%0.0%38.5%3.6%-1.2%3.5M-126.3M-1.0M0.1811.1231,4365,797134,723123,414
2010-04-08$25.61$23.3530.7%11.1%37.6%0.8%38.3%3.0%-2.3%3.7M-144.2M-994.3K0.4713.054,6042,182134,723123,414
2010-04-09$25.65$23.3528.9%11.3%37.6%0.0%39.2%3.2%-2.7%6.4M-174.3M-1.0M0.5912.613,6102,138153,775126,187
2010-04-12$25.35$23.3532.3%11.4%38.0%4.3%39.4%3.6%-3.0%6.9M-158.0M-1.0M1.9312.491,0131,951155,492125,865
2010-04-13$25.43$23.3531.8%11.1%37.2%3.7%39.4%3.6%-1.8%7.4M-165.2M-1.0M1.0213.313,6423,733155,741126,313
2010-04-14$26.24$24.2829.2%11.0%38.1%0.5%38.5%3.4%-1.9%5.8M-212.3M-993.8K0.1517.234,299657155,415128,881
2010-04-15$26.24$24.2838.9%11.2%31.5%12.6%39.9%3.6%-2.7%5.7M-215.5M-984.8K0.5117.183,9752,011155,585129,085
2010-04-16$26.01$24.2838.5%11.0%30.5%12.1%38.2%3.4%-1.3%7.6M-200.1M-980.6K0.2219.415,7411,244155,413128,490
2010-04-19$25.63$24.2840.2%11.5%29.7%14.2%39.4%3.9%-2.2%1.6M-104.8M-979.7K0.4717.751,970932105,75097,674
2010-04-20$25.61$24.2838.6%11.1%29.6%12.2%38.2%4.5%-1.6%1.6M-104.9M-981.0K0.8922.031,9911,775106,43898,152
2010-04-21$26.31$24.2837.4%10.7%30.9%10.8%37.9%3.5%-1.4%1.7M-128.7M-956.4K0.6519.283,4972,284107,35899,437
2010-04-22$26.49$24.2837.7%10.8%30.9%11.1%38.8%4.4%-1.4%1.8M-135.5M-968.8K1.2214.76418510109,223100,548
2010-04-23$26.74$24.2836.7%10.5%26.4%9.8%38.2%5.5%-0.5%1.8M-142.9M-952.0K5.4421.451,97410,744108,819100,564
2010-04-26$26.53$24.2840.5%11.6%26.4%14.6%39.9%4.9%-3.0%1.7M-133.7M-947.6K1.1717.714,1274,812108,828100,659
2010-04-27$25.26$25.2245.6%13.1%32.9%21.0%47.3%5.7%-4.2%1.0M-76.3M-1.1M2.3819.182,9817,090110,503110,786
2010-04-28$25.38$25.2249.6%14.2%32.9%26.0%51.9%9.4%-6.4%745.3K-74.2M-1.1M2.4920.534,34310,794111,502115,776
2010-04-29$26.15$25.2237.4%10.7%32.2%10.7%39.0%7.4%-0.3%1.1M-105.5M-1.1M1.1218.325,5076,144113,119121,556
2010-04-30$24.97$25.2240.5%11.6%36.3%16.6%40.8%7.9%-0.0%413.2K-54.9M-1.1M0.6018.015,3793,210112,608123,550