IP Options History — June 2010

In June 2010, IP traded between $19.69 and $24.57. ATM implied volatility averaged 49.4%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 9.0% (HV 20d: 58.4%). Max pain ranged from $21.48 to $23.35. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-06-11: Highest Volume — 20,327 contracts
  • 2010-06-29: Largest IV spike — 19.4% change
  • 2010-06-29: Highest IV Rank — 77.4%
  • 2010-06-29: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.23$19.69$24.57$20.77$21.13
Max Pain$23.18$21.48$23.35$22.41$23.35
ATM IV49.4%40.9%58.8%56.4%55.5%
Expected Move14.2%11.7%16.9%16.2%15.9%
HV 20d58.4%50.6%68.0%55.3%67.1%
HV 60d48.5%43.0%54.4%43.0%54.4%
IV Rank48.1%27.2%77.4%62.1%68.8%
IV Percentile64.7%32.9%94.0%84.1%88.9%
Term Structure-0.6%-4.8%1.5%-0.7%-1.7%
VWIV49.6%41.6%58.4%54.4%57.4%
Skew 25d9.2%7.9%10.5%9.4%8.8%
Skew 10d19.5%15.4%22.2%18.3%15.8%
Call IV 25d45.8%38.2%54.1%52.2%53.6%
Put IV 25d55.0%46.5%64.0%61.6%62.4%
Bid-Ask Spread %6.014.347.537.364.52
Gamma HHI0.120.100.210.110.10
Net GEX401.0K-219.8K1.8M-132.6K-177.3K
Net DEX15.6M-91.8M93.7M61.6M76.4M
Net VEX-894.7K-967.4K-775.8K-913.1K-785.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.203.991.020.48
Total Volume7,100.2731,46420,3272,0957,369
Total OI260,101241,863280,322252,740260,174

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$20.77$22.4156.4%16.2%55.3%62.1%54.4%9.4%-0.7%-132.6K61.6M-913.1K1.027.361,0371,058122,021130,719
2010-06-02$21.45$22.4149.4%14.2%53.2%46.2%51.1%9.8%1.2%49.8K46.1M-936.4K0.207.035,3451,086122,333131,183
2010-06-03$21.84$21.4847.8%13.7%53.8%42.7%45.4%7.9%1.5%378.3K29.1M-967.0K0.376.001,071393126,199131,311
2010-06-04$20.48$23.3554.8%15.5%54.6%58.5%52.2%10.5%-2.9%-64.0K71.8M-869.3K0.247.323,202768126,668131,416
2010-06-07$19.69$23.3558.7%16.3%56.1%67.3%54.1%10.2%-4.8%-219.8K93.7M-784.0K0.675.282,7541,849127,505131,073
2010-06-08$20.21$23.3552.8%15.4%50.6%54.0%55.6%9.8%-2.9%-150.5K82.7M-812.3K0.934.931,7841,659127,506131,624
2010-06-09$20.42$23.3553.0%15.5%50.7%54.4%52.7%9.6%-3.2%-82.6K75.5M-827.1K0.295.273,471994127,518131,741
2010-06-10$21.50$23.3549.5%14.2%53.5%46.4%49.4%9.0%-1.2%296.8K43.6M-896.8K0.654.341,397911127,536131,585
2010-06-11$22.69$23.3549.3%14.1%56.6%46.1%48.9%9.3%-1.1%957.0K-8.1M-953.3K2.895.125,22515,102127,943131,298
2010-06-14$23.39$23.3548.1%13.8%57.0%43.4%51.4%10.0%-1.1%1.2M-40.3M-962.2K0.365.0010,1903,667129,778143,350
2010-06-15$24.47$23.3544.5%12.8%58.7%35.2%46.3%9.3%0.5%1.8M-91.8M-967.4K0.877.423,2492,829133,533142,221
2010-06-16$23.96$23.3543.5%12.5%58.2%33.0%44.8%9.8%0.9%1.6M-66.2M-953.7K1.146.555,9386,765130,976142,128
2010-06-17$23.83$23.3543.0%12.3%57.7%31.8%42.2%9.1%0.6%1.1M-57.0M-946.5K1.826.682,4874,532130,616146,113
2010-06-18$24.03$23.3540.9%11.7%55.6%27.2%41.6%8.3%1.4%1.0M-63.6M-939.6K0.605.622,4431,477131,291149,031
2010-06-21$24.57$23.3542.0%12.1%55.6%29.7%45.0%8.1%1.3%562.1K-65.6M-920.0K0.227.539,6372,081116,053125,810
2010-06-22$22.74$23.3547.4%13.6%62.5%41.8%46.1%9.2%0.2%160.1K13.8M-884.3K3.996.162,4949,952117,521126,470
2010-06-23$23.53$23.3545.8%13.1%63.1%38.6%45.5%8.1%0.7%129.0K-16.1M-933.8K0.286.478,1982,315118,156131,437
2010-06-24$22.15$23.3550.0%14.3%67.4%54.6%48.5%9.6%-0.5%-23.7K40.7M-874.9K0.245.405,4311,298122,099132,221
2010-06-25$22.96$23.3547.1%13.5%65.0%47.2%49.9%8.4%1.2%389.6K4.3M-917.2K1.065.771,6631,758125,233132,686
2010-06-28$22.40$23.3549.2%14.1%65.1%52.7%50.1%8.4%-0.2%218.2K29.9M-863.3K0.936.961,4291,334125,867133,192
2010-06-29$20.91$23.3558.8%16.9%68.0%77.4%58.4%9.9%-3.1%-170.1K82.2M-775.8K1.285.463,7504,814126,079133,008
2010-06-30$21.13$23.3555.5%15.9%67.1%68.8%57.4%8.8%-1.7%-177.3K76.4M-785.5K0.484.524,9722,397125,677134,497