IP Options History — September 2010

In September 2010, IP traded between $19.49 and $21.91. ATM implied volatility averaged 37.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 1.9% (HV 20d: 39.6%). Max pain ranged from $19.61 to $21.48. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2010-09-20: Highest Volume — 40,898 contracts
  • 2010-09-09: Largest IV spike — 15.4% change
  • 2010-09-23: Highest IV Rank — 32.1%
  • 2010-09-23: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.60$19.49$21.91$20.15$20.31
Max Pain$20.95$19.61$21.48$19.61$20.55
ATM IV37.7%33.3%40.4%35.2%36.6%
Expected Move11.0%9.8%11.6%10.1%10.5%
HV 20d39.6%34.1%46.0%36.8%40.5%
HV 60d44.1%40.4%48.8%48.7%40.7%
IV Rank24.6%12.4%32.1%17.6%21.6%
IV Percentile28.0%8.3%43.7%12.7%20.2%
Term Structure3.2%2.0%4.6%3.7%3.8%
VWIV39.0%35.2%41.3%36.2%37.5%
Skew 25d4.2%2.1%5.4%4.3%3.0%
Skew 10d9.2%5.0%11.6%9.7%8.3%
Call IV 25d37.0%34.1%39.6%34.4%37.1%
Put IV 25d41.2%36.7%44.0%38.7%40.0%
Bid-Ask Spread %5.534.128.086.917.08
Gamma HHI0.180.130.250.150.23
Net GEX-1.0M-1.4M3.9K-1.1M-1.1M
Net DEX33.9M-19.7M65.5M45.8M46.7M
Net VEX-708.3K-820.4K-632.0K-687.5K-792.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.104.680.470.80
Total Volume9,719.5242,52240,8985,5685,553
Total OI231,845212,472255,796218,376255,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$20.15$19.6135.2%10.1%36.8%17.6%36.2%4.3%3.7%-1.1M45.8M-687.5K0.476.913,7951,77393,455124,921
2010-09-02$20.54$19.6134.3%9.8%37.7%15.1%35.2%2.5%4.6%-917.4K33.0M-685.2K0.106.607,25772193,945124,849
2010-09-03$20.91$21.4833.3%11.0%38.0%12.4%37.8%5.0%2.9%-879.1K25.1M-696.9K0.385.386,7642,54493,532125,024
2010-09-07$20.56$21.4835.6%11.3%38.1%18.7%38.6%5.2%2.6%-1.0M37.1M-668.8K0.184.524,22876593,981125,257
2010-09-08$20.15$21.4834.7%11.3%36.9%16.4%40.8%5.4%3.5%-1.3M51.4M-648.5K1.824.711,6112,94092,933125,527
2010-09-09$20.59$21.4840.1%11.5%34.1%31.3%39.3%5.1%2.0%-1.2M36.6M-661.1K1.435.087,20410,27293,027127,044
2010-09-10$20.91$21.4839.2%11.2%34.5%28.8%40.8%5.1%2.5%-994.1K23.4M-714.7K1.984.948471,67598,936132,641
2010-09-13$21.54$21.4838.0%10.9%35.9%25.4%39.4%5.2%3.3%-749.2K1.8M-714.1K1.454.963,2804,74798,741132,771
2010-09-14$21.18$21.4837.9%10.9%36.2%25.2%38.0%4.5%3.8%-732.7K10.8M-697.0K0.634.803,9442,47299,508131,298
2010-09-15$21.39$21.4837.6%10.8%35.8%24.3%38.7%4.6%3.6%-544.5K3.9M-698.4K0.644.663,2042,036100,811132,310
2010-09-16$21.27$21.4837.4%10.7%35.8%23.8%38.9%4.0%3.8%3.9K6.6M-695.5K1.355.511,3221,784101,770131,825
2010-09-17$21.91$21.4836.7%10.5%35.3%21.9%37.4%4.1%3.0%-567.3K-19.7M-699.5K1.807.523,1985,760101,491132,191
2010-09-20$20.52$21.4840.3%11.5%43.2%31.8%41.3%4.0%2.5%-1.4M41.9M-656.2K1.098.0819,60621,29289,113123,359
2010-09-21$20.54$20.5538.8%11.1%43.0%27.6%39.7%4.0%2.9%-1.1M36.4M-681.7K0.905.144,8384,37597,249127,042
2010-09-22$19.94$20.5540.0%11.5%43.6%31.0%40.1%4.3%3.3%-1.3M54.2M-657.2K0.785.666,2954,89198,816127,543
2010-09-23$19.49$20.5540.4%11.6%44.3%32.1%40.5%4.7%2.5%-1.2M65.5M-632.0K4.685.805,29324,756102,255126,070
2010-09-24$20.39$20.5538.4%11.0%46.0%26.6%40.0%4.0%2.8%-1.2M45.3M-820.4K0.514.843,8471,966104,360147,741
2010-09-27$20.28$20.5538.6%11.1%45.4%27.0%39.8%2.9%3.0%-1.2M47.7M-795.0K2.464.812,5546,278104,347147,679
2010-09-28$19.99$20.5539.5%11.3%45.1%29.7%39.6%3.8%3.0%-1.3M60.1M-786.0K0.484.913,5041,671106,147148,064
2010-09-29$20.01$20.5538.7%11.1%44.4%27.5%39.3%2.1%3.5%-1.2M57.7M-786.0K0.734.121,8721,376107,019148,357
2010-09-30$20.31$20.5536.6%10.5%40.5%21.6%37.5%3.0%3.8%-1.1M46.7M-792.7K0.807.083,0892,464107,329148,467