IP Options History — November 2010

In November 2010, IP traded between $22.86 and $24.75. ATM implied volatility averaged 34.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.1% (HV 20d: 33.4%). Max pain ranged from $20.55 to $23.35. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-11-11: Highest Volume — 64,114 contracts
  • 2010-11-18: Largest IV drop — 8.7% change
  • 2010-11-17: Highest IV Rank — 25.0%
  • 2010-11-17: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.70$22.86$24.75$23.43$23.32
Max Pain$22.81$20.55$23.35$20.55$23.35
ATM IV34.5%31.3%37.8%37.2%35.5%
Expected Move10.0%9.0%10.8%10.7%10.2%
HV 20d33.4%30.6%35.9%31.7%33.6%
HV 60d37.1%36.4%38.0%38.0%36.4%
IV Rank15.7%6.8%25.0%23.3%18.6%
IV Percentile16.6%2.8%39.3%30.6%22.2%
Term Structure1.6%0.6%2.4%0.9%1.5%
VWIV35.7%32.3%39.4%39.4%35.9%
Skew 25d3.5%2.4%5.0%3.4%4.2%
Skew 10d6.9%3.8%9.8%5.5%8.1%
Call IV 25d34.0%31.1%36.4%36.2%34.7%
Put IV 25d37.5%33.9%41.3%39.6%38.9%
Bid-Ask Spread %9.376.1514.3012.037.64
Gamma HHI0.120.100.150.120.11
Net GEX1.5M611.5K2.1M1.2M1.0M
Net DEX-88.5M-116.6M-52.2M-60.2M-89.5M
Net VEX-848.3K-1.0M-740.5K-796.3K-937.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.022.910.932.69
Total Volume10,203.191,55264,1146,4776,778
Total OI251,331.381234,058287,139234,957261,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$23.43$20.5537.2%10.7%31.7%23.3%39.4%3.4%0.9%1.2M-60.2M-796.3K0.9312.033,3533,124104,492130,465
2010-11-02$23.22$20.5537.3%10.7%30.6%23.4%39.4%3.8%0.6%1.2M-52.2M-795.4K1.1910.492,8483,378104,820129,258
2010-11-03$23.51$20.5534.8%10.0%30.7%16.5%36.3%2.9%1.6%1.5M-63.2M-772.2K1.1412.142,1322,422104,660129,398
2010-11-04$24.45$20.5532.6%9.4%31.5%10.5%34.6%3.2%1.9%1.8M-96.8M-756.2K0.6210.716,1093,770104,913130,624
2010-11-05$24.69$23.3531.7%9.7%31.5%7.9%33.9%2.6%2.2%1.9M-112.4M-744.0K2.367.103,1987,544108,252130,934
2010-11-08$24.75$23.3532.6%9.9%31.6%10.5%36.9%2.8%1.9%2.0M-114.3M-740.5K1.306.931,3201,716109,677131,970
2010-11-09$24.04$23.3533.7%9.9%34.1%13.6%35.4%3.0%1.6%1.9M-86.4M-750.4K0.869.414,7384,085109,921132,182
2010-11-10$24.24$23.3532.1%9.8%33.8%9.0%34.8%2.4%1.9%2.0M-93.9M-763.9K0.738.291,8271,334111,609134,406
2010-11-11$24.62$23.3534.4%9.9%33.8%15.5%34.9%2.5%1.7%2.1M-108.8M-751.3K0.029.2863,0991,015111,724134,520
2010-11-12$23.97$23.3535.4%10.2%35.5%18.4%36.7%3.6%1.8%1.9M-70.5M-771.4K0.229.0118,1243,911106,155134,901
2010-11-15$23.61$23.3536.2%10.4%35.5%20.4%36.7%3.7%1.4%2.0M-116.6M-962.2K0.9712.52786766138,219136,822
2010-11-16$22.98$23.3537.3%10.7%33.7%23.6%38.5%5.0%1.3%1.2M-60.7M-864.2K0.476.158,5534,023123,365136,618
2010-11-17$22.86$23.3537.8%10.8%33.0%25.0%37.1%4.6%1.3%1.2M-62.6M-885.3K2.159.071,1662,502128,490136,901
2010-11-18$23.20$23.3534.5%9.9%33.2%15.8%34.3%3.9%1.9%1.8M-81.4M-895.4K0.2414.3014,3573,380130,336138,706
2010-11-19$23.16$23.3533.2%9.5%33.2%12.0%34.0%4.2%2.1%2.1M-107.7M-1.0M1.209.112,7983,346148,595138,544
2010-11-22$23.71$23.3533.8%9.7%33.9%13.8%34.2%4.4%1.5%1.1M-100.0M-913.0K0.657.053,9472,577123,518124,388
2010-11-23$22.99$23.3534.0%9.7%35.9%14.3%34.2%3.4%1.7%611.5K-75.3M-946.5K0.538.571,516805126,228126,011
2010-11-24$23.91$23.3531.3%9.0%35.2%6.8%32.3%2.8%2.4%1.7M-112.4M-907.9K2.918.812,4767,210126,649124,464
2010-11-26$23.46$23.3533.5%9.6%35.2%12.9%34.5%3.7%1.4%1.1M-94.8M-921.2K1.876.469321,747127,226128,763
2010-11-29$23.62$23.3535.5%10.2%33.4%18.4%35.6%3.5%0.9%1.2M-99.0M-927.8K0.4711.743,7871,768127,969130,254
2010-11-30$23.32$23.3535.5%10.2%33.6%18.6%35.9%4.2%1.5%1.0M-89.5M-937.6K2.697.641,8374,941130,332130,680