IP Options History — July 2010

In July 2010, IP traded between $20.85 and $23.81. ATM implied volatility averaged 47.0%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 7.6% (HV 20d: 54.6%). Max pain ranged from $21.48 to $23.35. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-07-28: Highest Volume — 18,544 contracts
  • 2010-07-12: Largest IV spike — 15.3% change
  • 2010-07-06: Highest IV Rank — 80.4%
  • 2010-07-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.20$20.85$23.81$21.42$22.60
Max Pain$21.79$21.48$23.35$23.35$22.41
ATM IV47.0%37.8%60.0%56.0%37.8%
Expected Move13.3%10.8%16.0%16.0%10.8%
HV 20d54.6%44.0%67.0%67.0%44.0%
HV 60d54.9%53.6%56.4%53.7%54.9%
IV Rank49.2%25.0%80.4%70.1%25.0%
IV Percentile57.4%23.8%95.6%90.1%23.8%
Term Structure-1.1%-3.4%2.4%-1.2%2.4%
VWIV46.7%38.8%56.2%56.0%39.6%
Skew 25d8.3%6.2%10.0%7.8%6.2%
Skew 10d17.6%12.5%21.5%16.3%13.0%
Call IV 25d42.9%35.3%54.2%54.2%35.3%
Put IV 25d51.2%41.5%62.0%62.0%41.5%
Bid-Ask Spread %5.053.476.494.976.30
Gamma HHI0.110.100.140.100.11
Net GEX103.0K-633.4K798.6K-45.7K260.4K
Net DEX36.0M-25.6M104.7M63.6M9.0M
Net VEX-729.3K-833.8K-661.0K-833.8K-702.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.106.480.400.63
Total Volume7,120.9051,73818,5448,7791,744
Total OI223,941.524157,675284,411265,617176,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$21.42$23.3556.0%16.0%67.0%70.1%56.0%7.8%-1.2%-45.7K63.6M-833.8K0.404.976,2532,526129,518136,099
2010-07-02$21.10$23.3553.9%15.5%63.0%64.8%56.2%7.4%-0.6%-58.1K77.3M-788.8K1.385.151,2341,700130,665137,010
2010-07-06$20.85$21.4860.0%15.8%61.3%80.4%52.2%10.0%-3.4%-236.3K95.4M-719.3K0.484.743,7611,800131,023137,250
2010-07-07$21.60$21.4852.9%14.5%61.8%62.0%51.1%9.0%-2.2%55.8K68.3M-757.1K0.774.982,5041,929132,709137,415
2010-07-08$21.62$21.4848.2%14.1%61.8%50.1%48.4%9.4%-1.7%-33.2K73.2M-742.1K0.963.773,6473,493133,112137,967
2010-07-09$22.11$21.4844.9%13.4%59.6%44.5%49.0%9.0%-1.1%234.8K47.9M-764.9K6.484.641,92112,458134,212138,039
2010-07-12$21.78$21.4851.7%14.1%56.4%63.5%50.3%9.0%-2.4%-90.5K69.8M-736.4K0.593.772,9771,746134,754142,892
2010-07-13$22.54$21.4850.1%13.5%56.8%59.1%47.0%9.0%-1.4%314.3K30.3M-760.7K0.554.636,9593,854135,823143,164
2010-07-14$22.22$21.4846.5%13.2%54.1%49.0%47.8%8.9%-1.1%-241.9K55.4M-735.3K0.763.472,6622,032138,343144,246
2010-07-15$22.03$21.4845.8%13.1%53.8%46.9%45.1%8.6%-0.8%-195.9K68.5M-705.2K0.335.022,113699139,377145,034
2010-07-16$21.27$21.4847.8%13.7%54.9%52.5%46.3%8.4%-1.2%-633.4K104.7M-661.0K0.563.599,7035,435140,040144,252
2010-07-19$21.54$21.4846.8%13.4%55.1%50.1%44.4%8.6%-1.7%-279.9K26.0M-672.1K0.105.056,66164771,49086,185
2010-07-20$22.67$21.4844.3%12.7%57.9%43.1%44.4%8.1%-1.5%296.8K579.5K-716.8K0.305.844,7651,43875,16886,563
2010-07-21$21.94$21.4847.4%13.6%52.4%51.9%46.4%8.6%-1.9%62.3K16.4M-693.1K1.404.832,3073,22375,80987,115
2010-07-22$22.96$21.4843.5%12.5%53.6%40.9%44.7%8.7%-1.1%394.3K-5.0M-731.6K0.704.392,1131,47876,83789,375
2010-07-23$23.33$21.4842.6%12.2%49.0%38.3%44.7%8.5%-1.0%538.2K-13.8M-735.0K0.576.491,11062877,79389,736
2010-07-26$23.81$21.4842.2%12.1%47.9%37.3%45.4%8.2%-1.2%798.6K-25.6M-725.5K0.276.296,0291,64177,94889,739
2010-07-27$23.80$21.4844.7%12.8%46.9%44.1%44.1%8.4%-2.4%663.9K-24.4M-725.6K0.876.356,0405,22678,00090,276
2010-07-28$22.53$22.4139.5%11.3%44.3%29.6%39.6%6.3%1.5%256.7K7.2M-701.2K1.135.858,7209,82481,16193,112
2010-07-29$22.50$22.4139.4%11.3%44.2%29.4%38.8%6.3%1.4%102.6K11.8M-708.3K1.206.002,0682,47181,19095,564
2010-07-30$22.60$22.4137.8%10.8%44.0%25.0%39.6%6.2%2.4%260.4K9.0M-702.3K0.636.301,06867681,55695,211