IP Options History — August 2010

In August 2010, IP traded between $18.57 and $23.52. ATM implied volatility averaged 39.2%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.9% (HV 20d: 40.0%). Max pain ranged from $19.61 to $22.41. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-08-26: Highest Volume — 23,366 contracts
  • 2010-08-11: Largest IV spike — 9.0% change
  • 2010-08-12: Highest IV Rank — 36.0%
  • 2010-08-11: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.61$18.57$23.52$23.52$19.11
Max Pain$21.39$19.61$22.41$22.41$19.61
ATM IV39.2%35.2%41.8%36.6%39.9%
Expected Move11.3%10.1%12.1%10.5%11.4%
HV 20d40.0%27.4%47.6%45.4%29.5%
HV 60d51.7%47.7%54.4%54.1%47.7%
IV Rank28.7%17.7%36.0%21.6%30.8%
IV Percentile30.0%13.5%38.9%16.3%35.3%
Term Structure1.9%1.1%2.9%1.6%2.6%
VWIV39.6%36.6%44.2%36.7%41.2%
Skew 25d5.5%3.9%7.1%5.5%3.9%
Skew 10d11.6%9.2%13.5%11.4%10.3%
Call IV 25d37.7%34.2%40.0%34.2%38.1%
Put IV 25d43.2%39.3%46.8%39.7%42.1%
Bid-Ask Spread %5.073.648.415.337.46
Gamma HHI0.130.110.160.110.15
Net GEX-951.3K-2.1M720.4K720.4K-1.2M
Net DEX54.4M-16.8M89.5M-16.8M75.6M
Net VEX-646.3K-716.3K-564.2K-716.3K-653.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.143.870.810.32
Total Volume7,234.9551,19323,3664,2364,812
Total OI195,714176,996220,500176,996220,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$23.52$22.4136.6%10.5%45.4%21.6%36.7%5.5%1.6%720.4K-16.8M-716.3K0.815.332,3361,90081,73395,263
2010-08-03$22.89$22.4136.3%10.4%46.4%20.6%37.2%5.8%1.9%451.4K638.5K-702.2K1.173.8465376683,13895,470
2010-08-04$22.92$22.4135.8%10.3%45.0%19.2%39.3%4.9%1.6%522.6K-137.4K-696.0K0.663.8879352683,38295,581
2010-08-05$23.00$22.4135.2%10.1%45.0%17.7%36.6%5.1%2.3%643.5K-2.6M-695.1K0.524.2478740683,41995,676
2010-08-06$22.47$22.4135.8%11.1%45.4%19.4%37.6%6.2%1.6%307.3K12.9M-674.5K1.213.981,3351,61583,69695,734
2010-08-09$22.12$22.4137.2%11.1%45.4%23.1%38.9%6.5%1.3%-104.7K24.9M-644.7K0.374.722,50693483,70996,604
2010-08-10$21.40$22.4137.9%11.4%45.1%25.1%40.2%7.1%1.3%-715.4K44.6M-607.5K0.874.072,7992,43483,98696,830
2010-08-11$20.42$22.4141.3%12.1%47.6%34.6%41.9%6.8%1.1%-1.2M64.3M-564.2K0.964.175,2975,10982,76097,670
2010-08-12$20.42$22.4141.8%12.0%47.6%36.0%41.4%6.9%1.2%-1.2M61.9M-593.7K2.094.064,0868,54584,425100,602
2010-08-13$20.42$21.4841.5%11.9%46.1%35.2%44.2%6.3%1.7%-1.3M63.5M-616.1K0.764.772,8962,21385,711105,316
2010-08-16$20.16$21.4841.7%12.0%46.0%35.8%41.4%6.2%1.2%-1.5M70.0M-607.2K3.873.993,66914,19187,728108,877
2010-08-17$20.54$21.4841.2%11.8%42.1%34.4%40.4%5.4%1.4%-1.6M65.6M-696.9K0.993.642,9912,95690,531120,769
2010-08-18$20.42$21.4839.6%11.4%40.7%30.0%40.1%5.2%1.6%-1.9M69.6M-682.1K1.484.751,5512,30392,192122,044
2010-08-19$19.87$21.4841.3%11.8%37.1%34.7%40.5%5.2%1.5%-2.1M82.8M-656.0K0.634.245,6333,54393,127122,912
2010-08-20$19.81$20.5540.3%11.5%36.1%31.8%39.4%4.8%2.5%-2.0M80.4M-663.5K0.943.905,7115,35896,722123,347
2010-08-23$19.62$20.5538.9%11.2%34.5%28.0%37.5%5.1%2.8%-1.7M74.2M-647.4K0.145.546,57792076,411114,578
2010-08-24$19.18$20.5539.7%11.4%34.6%30.3%39.8%5.4%2.9%-1.6M82.1M-623.3K0.355.955,5941,98278,385115,016
2010-08-25$18.98$20.5540.9%11.7%30.4%33.5%39.2%5.7%2.5%-1.6M85.5M-607.3K0.587.106,1603,57579,564115,325
2010-08-26$18.57$20.5540.7%11.7%30.6%33.1%39.6%5.0%2.7%-1.5M89.5M-597.2K0.638.4114,3758,99184,356116,427
2010-08-27$19.03$19.6138.6%11.1%32.6%27.1%38.9%4.4%2.9%-1.2M80.7M-650.1K0.237.575,7781,30693,554123,444
2010-08-30$18.65$19.6139.5%11.3%27.4%29.8%39.0%4.3%2.5%-1.2M87.5M-624.0K0.656.011,9771,28095,394123,800
2010-08-31$19.11$19.6139.9%11.4%29.5%30.8%41.2%3.9%2.6%-1.2M75.6M-653.6K0.327.463,6581,15496,008124,492