IP Options History — December 2010

In December 2010, IP traded between $23.79 and $25.44. ATM implied volatility averaged 30.2%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.2% (HV 20d: 26.9%). Max pain ranged from $22.41 to $23.35. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2010-12-29: Highest Volume — 20,258 contracts
  • 2010-12-13: Largest IV spike — 13.3% change
  • 2010-12-01: Highest IV Rank — 17.1%
  • 2010-12-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.79$23.79$25.44$23.80$25.44
Max Pain$22.92$22.41$23.35$23.35$23.35
ATM IV30.2%26.7%35.0%35.0%28.3%
Expected Move8.7%7.7%10.0%10.0%8.1%
HV 20d26.9%17.8%34.4%34.3%17.8%
HV 60d32.7%28.2%36.4%36.4%28.2%
IV Rank6.0%0.0%17.1%17.1%4.2%
IV Percentile4.4%0.0%19.0%19.0%2.4%
Term Structure4.2%1.7%6.0%1.7%6.0%
VWIV31.6%27.7%35.1%34.6%29.1%
Skew 25d3.7%2.7%4.7%4.7%3.4%
Skew 10d8.7%5.2%14.9%10.6%9.1%
Call IV 25d29.4%26.1%32.8%32.8%27.2%
Put IV 25d33.1%29.1%37.5%37.5%30.7%
Bid-Ask Spread %9.114.4814.6613.284.48
Gamma HHI0.160.120.500.120.16
Net GEX2.6M1.4M7.0M1.4M2.6M
Net DEX-167.8M-210.4M-103.9M-103.9M-210.3M
Net VEX-912.6K-1.0M-831.8K-934.4K-934.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.164.142.140.76
Total Volume6,377.2731,89820,2588,1605,990
Total OI277,249.364260,649301,239262,014301,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$23.80$23.3535.0%10.0%34.3%17.1%34.6%4.7%1.7%1.4M-103.9M-934.4K2.1413.282,5995,561129,060132,954
2010-12-02$24.20$23.3533.0%9.5%34.4%11.6%35.1%4.2%2.1%1.6M-115.5M-937.3K1.549.021,2841,973129,826134,057
2010-12-03$24.51$23.3531.1%8.9%31.8%6.2%31.8%3.6%3.0%2.0M-129.4M-928.0K1.2114.661,5301,850130,208132,731
2010-12-06$24.65$22.4132.5%9.7%31.6%10.1%34.5%4.3%3.1%2.3M-139.4M-898.8K1.1411.532,6423,012130,968132,931
2010-12-07$24.89$22.4132.2%9.5%31.8%9.3%34.3%4.3%3.3%2.4M-147.5M-901.5K0.2711.6315,0634,105131,572133,279
2010-12-08$24.77$22.4131.2%9.4%29.9%6.6%33.3%4.1%3.5%2.9M-190.9M-1.0M0.8112.101,194966152,678134,349
2010-12-09$24.92$22.4129.7%9.2%29.9%2.2%33.7%3.9%3.8%3.0M-174.8M-939.9K0.6512.262,3111,500143,169134,079
2010-12-10$25.08$22.4128.5%9.1%29.5%0.0%34.6%4.0%4.0%3.2M-181.8M-924.7K1.4712.018041,176143,139134,370
2010-12-13$24.93$22.4132.2%9.0%27.8%10.4%32.7%4.3%3.8%3.3M-176.2M-908.1K4.1411.821,2995,382143,430134,401
2010-12-14$24.79$23.3532.6%8.9%27.2%11.4%34.0%4.2%4.1%3.0M-166.4M-912.5K0.9411.471,4751,385143,362137,924
2010-12-15$24.05$22.4131.5%9.0%27.8%8.4%33.1%4.7%3.9%2.1M-130.9M-914.1K2.059.321,9393,971143,662136,688
2010-12-16$23.79$22.4133.5%9.6%28.0%13.8%32.6%3.8%3.3%1.8M-121.2M-901.9K0.267.985,9331,567143,548137,725
2010-12-17$24.23$22.4130.8%8.8%28.3%6.5%31.2%3.4%4.2%7.0M-140.7M-887.7K0.395.123,2031,246142,059138,143
2010-12-20$24.51$22.4128.4%8.2%28.4%0.0%28.4%2.9%5.0%1.6M-147.8M-831.8K0.166.7012,6612,047131,126129,523
2010-12-21$25.03$23.3526.8%7.7%28.2%0.0%27.7%2.7%5.2%2.1M-182.7M-866.6K0.184.919,8941,810140,233130,514
2010-12-22$25.21$23.3526.9%7.7%25.3%0.1%28.7%2.9%5.1%2.4M-204.3M-913.9K0.657.531,462951148,128131,187
2010-12-23$25.22$23.3526.7%7.7%21.8%0.0%27.9%3.1%5.5%2.2M-200.2M-920.7K0.647.651,503968148,777131,445
2010-12-27$25.30$23.3528.3%8.1%20.3%4.2%29.7%3.2%5.0%2.3M-203.8M-904.1K0.969.06969929149,327131,833
2010-12-28$25.32$23.3528.1%8.1%20.3%3.5%31.2%3.0%5.3%2.4M-203.1M-891.9K1.945.861,0191,976149,897132,265
2010-12-29$25.42$23.3527.9%8.0%19.3%3.0%28.9%2.9%5.8%2.6M-210.4M-897.9K0.985.5310,22910,029150,472132,973
2010-12-30$25.39$23.3528.1%8.1%18.4%3.6%28.3%3.0%5.8%2.6M-210.3M-918.2K0.866.441,5531,340159,507140,728
2010-12-31$25.44$23.3528.3%8.1%17.8%4.2%29.1%3.4%6.0%2.6M-210.3M-934.4K0.764.483,4002,590159,879141,360