IP Options History — October 2010

In October 2010, IP traded between $20.10 and $23.61. ATM implied volatility averaged 37.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.7% (HV 20d: 38.6%). Max pain ranged from $19.61 to $20.55. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2010-10-12: Highest Volume — 37,610 contracts
  • 2010-10-12: Largest IV spike — 19.7% change
  • 2010-10-12: Highest IV Rank — 40.1%
  • 2010-10-12: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.71$20.10$23.61$20.88$23.61
Max Pain$20.41$19.61$20.55$20.55$20.55
ATM IV37.9%33.4%43.2%35.9%36.7%
Expected Move11.3%10.2%12.9%10.3%10.5%
HV 20d38.6%31.1%44.3%41.1%35.3%
HV 60d39.5%36.8%42.1%41.1%38.3%
IV Rank25.2%12.6%40.1%19.6%21.8%
IV Percentile32.4%8.7%62.3%17.1%23.8%
Term Structure0.0%-3.0%4.7%4.7%1.4%
VWIV40.3%36.8%44.6%36.8%38.8%
Skew 25d3.9%2.3%6.0%3.3%3.4%
Skew 10d8.1%5.1%11.8%9.1%6.7%
Call IV 25d38.0%34.2%44.0%35.2%35.2%
Put IV 25d41.8%37.7%46.2%38.4%38.6%
Bid-Ask Spread %6.724.0512.225.079.99
Gamma HHI0.160.120.300.200.12
Net GEX205.4K-974.7K2.6M-773.6K1.1M
Net DEX-5.9M-63.0M52.5M24.3M-63.0M
Net VEX-789.1K-818.5K-764.4K-803.9K-818.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.153.430.700.71
Total Volume9,318.0951,55737,6109,0977,192
Total OI244,614.762210,291278,716256,217233,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$20.88$20.5535.9%10.3%41.1%19.6%36.8%3.3%4.7%-773.6K24.3M-803.9K0.705.075,3433,754107,937148,280
2010-10-04$20.10$19.6137.3%11.7%42.8%23.4%42.2%6.0%0.9%-974.7K52.5M-769.4K1.194.051,7052,029109,404147,627
2010-10-05$20.80$19.6136.7%11.6%44.3%22.0%40.9%5.1%-0.3%-627.6K28.1M-787.3K1.435.712,4393,488109,760147,534
2010-10-06$20.87$19.6136.1%11.6%43.6%20.2%41.0%5.4%-0.2%-556.2K24.0M-785.0K2.165.701,9584,235110,121147,575
2010-10-07$20.50$20.5534.8%11.4%43.5%16.5%42.7%5.5%0.3%-612.0K37.6M-775.2K1.655.13587970110,676150,411
2010-10-08$20.72$20.5533.4%11.3%43.3%12.6%40.2%5.3%0.3%-551.9K30.7M-764.4K1.024.621,2831,310110,940150,402
2010-10-11$20.91$20.5536.1%11.7%42.1%20.2%40.7%4.9%-0.6%-441.3K19.6M-765.5K0.204.935,4201,086110,982150,111
2010-10-12$21.22$20.5543.2%12.9%42.0%40.1%44.6%2.3%-2.6%-150.6K-98.6K-773.3K0.156.3532,8154,795114,328150,523
2010-10-13$21.63$20.5538.0%12.2%42.4%25.6%43.2%3.1%-0.9%2.6M-38.1M-779.2K0.325.209,8743,187129,585149,131
2010-10-14$21.58$20.5542.3%12.1%42.4%37.5%42.6%3.6%-0.7%1.2M-27.6M-774.4K3.216.361,5875,095124,548149,806
2010-10-15$21.97$20.5540.9%11.7%41.6%33.7%41.6%3.5%-0.3%744.4K-43.5M-799.5K0.545.3513,6877,446123,753153,433
2010-10-18$22.45$20.5538.6%11.1%34.1%27.2%40.2%3.2%0.1%291.4K-20.2M-789.2K1.005.626,3216,31389,095121,196
2010-10-19$21.57$20.5539.8%11.4%37.6%30.5%39.9%3.6%-0.3%-106.8K5.7M-792.9K0.626.273,2231,99191,435124,718
2010-10-20$22.08$20.5538.0%10.9%36.3%25.5%38.8%3.3%-0.0%169.9K-8.8M-802.4K0.436.583,3691,44092,273125,440
2010-10-21$21.97$20.5537.9%10.9%35.0%25.2%39.0%3.2%0.1%185.7K-7.9M-796.8K0.658.551,6021,03794,102125,635
2010-10-22$22.11$20.5536.8%10.6%31.8%22.1%37.2%2.9%0.3%331.1K-12.8M-792.5K3.436.046662,28494,636125,814
2010-10-25$22.38$20.5538.6%11.1%31.7%27.2%39.3%3.9%-1.0%418.3K-19.4M-787.2K0.376.945,2741,93095,060127,626
2010-10-26$22.29$20.5542.4%12.2%31.1%37.8%42.5%3.4%-3.0%422.6K-17.4M-795.4K0.9210.047,4926,91397,408128,075
2010-10-27$23.29$20.5535.5%10.2%33.9%18.4%36.8%3.5%1.2%940.7K-50.1M-808.9K0.6612.2210,5877,02999,747131,754
2010-10-28$22.87$20.5536.9%10.6%35.0%22.4%37.2%2.8%0.8%762.1K-37.3M-810.9K1.1010.333,3013,623101,521130,879
2010-10-29$23.61$20.5536.7%10.5%35.3%21.8%38.8%3.4%1.4%1.1M-63.0M-818.5K0.719.994,2082,984102,556131,073