IP Options History — May 2010

In May 2010, IP traded between $20.31 and $24.88. ATM implied volatility averaged 52.7%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 3.9% (HV 20d: 48.8%). Max pain ranged from $22.41 to $25.22. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-05-03: Highest Volume — 21,020 contracts
  • 2010-05-04: Largest IV spike — 26.0% change
  • 2010-05-20: Highest IV Rank — 75.7%
  • 2010-05-20: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.01$20.31$24.88$24.88$21.69
Max Pain$23.30$22.41$25.22$25.22$22.41
ATM IV52.7%39.1%64.7%39.1%48.9%
Expected Move15.0%11.2%18.0%11.2%14.0%
HV 20d48.8%36.3%55.3%36.3%53.8%
HV 60d40.2%35.4%42.3%35.4%42.3%
IV Rank44.5%14.6%75.7%14.6%45.1%
IV Percentile70.4%27.8%88.9%27.8%65.1%
Term Structure-0.6%-5.2%2.1%0.9%2.1%
VWIV52.0%40.0%63.4%40.0%47.6%
Skew 25d9.0%7.2%12.6%8.7%8.2%
Skew 10d16.4%11.6%24.4%15.4%17.3%
Call IV 25d48.9%36.7%58.3%36.7%45.6%
Put IV 25d57.8%45.4%70.8%45.4%53.8%
Bid-Ask Spread %7.545.9214.926.417.87
Gamma HHI0.110.090.130.130.11
Net GEX-564.8K-1.3M328.1K328.1K152.2K
Net DEX45.2M-48.6M102.1M-48.6M33.7M
Net VEX-1.0M-1.1M-918.3K-1.1M-998.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.312.680.580.93
Total Volume8,799.453,45321,02021,0203,453
Total OI260,642237,216283,632237,216253,519

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$24.88$25.2239.1%11.2%36.3%14.6%40.0%8.7%0.9%328.1K-48.6M-1.1M0.586.4113,3407,680113,256123,960
2010-05-04$23.36$25.2249.2%14.1%42.6%29.3%49.3%7.9%-2.8%-375.1K8.7M-1.1M1.005.928,0218,055118,832130,289
2010-05-05$23.11$25.2249.7%14.2%39.5%29.9%49.8%7.7%-1.9%-477.9K15.9M-1.1M0.517.853,9331,999121,539133,683
2010-05-06$21.80$25.2259.3%17.0%43.2%43.7%59.7%7.2%-5.2%-650.1K57.5M-1.1M0.8214.926,6125,429121,408134,573
2010-05-07$21.63$23.3564.7%17.2%43.0%51.5%57.7%9.8%-1.7%-590.2K55.4M-1.1M0.708.374,9083,425124,038136,917
2010-05-10$23.15$23.3554.1%14.6%50.8%36.2%51.2%8.9%-1.2%-502.3K13.6M-1.1M0.908.334,3003,870123,804137,441
2010-05-11$22.68$23.3552.1%14.7%51.0%33.3%51.6%8.5%-0.2%-747.1K34.6M-1.1M0.975.983,8403,721125,209139,342
2010-05-12$23.28$23.3544.0%13.1%50.5%21.7%46.9%7.7%0.7%-598.6K13.8M-1.1M1.147.153,6654,162126,199140,475
2010-05-13$22.70$23.3547.9%13.7%50.9%27.4%45.2%7.6%0.1%-925.6K33.9M-1.1M0.318.072,828883126,318141,333
2010-05-14$22.21$23.3550.7%14.5%51.2%39.2%52.2%8.3%-0.1%-1.0M51.4M-1.1M2.686.701,8985,085126,163141,122
2010-05-17$22.04$22.4150.4%14.4%51.1%40.9%50.7%8.2%-0.4%-1.3M61.6M-1.0M2.496.982,0535,112126,494143,788
2010-05-18$21.41$23.3553.7%15.4%51.6%55.6%54.5%9.2%-1.6%-1.3M83.2M-991.7K1.286.242,5783,292127,137145,578
2010-05-19$21.03$22.4154.8%15.7%49.9%58.0%55.5%8.6%-0.2%-1.1M89.8M-969.1K1.706.794,9328,388127,738144,608
2010-05-20$20.32$22.4162.7%18.0%50.1%75.7%63.4%12.6%-1.9%-997.2K102.1M-938.3K0.528.498,2734,302128,836147,584
2010-05-21$20.81$22.4160.2%17.3%51.2%70.0%56.9%11.8%-0.7%-674.9K91.2M-984.0K0.536.427,7394,140134,285149,347
2010-05-24$20.31$22.4156.5%16.2%51.3%62.3%56.1%10.4%-0.2%-296.7K70.0M-918.3K0.666.464,4232,934117,547129,368
2010-05-25$20.76$22.4155.7%16.0%50.9%60.6%54.3%9.8%0.7%-185.6K59.2M-948.1K0.367.414,5001,623118,495130,101
2010-05-26$20.86$22.4154.8%15.7%50.9%58.5%51.4%9.6%0.4%-192.9K57.4M-954.7K0.447.743,3221,453119,587130,862
2010-05-27$22.19$22.4145.5%13.0%55.3%37.5%45.7%8.8%2.0%192.0K20.2M-1.0M0.676.803,4812,337120,706131,359
2010-05-28$21.69$22.4148.9%14.0%53.8%45.1%47.6%8.2%2.1%152.2K33.7M-998.6K0.937.871,7861,667122,657130,862