IP Options History — January 2011

In January 2011, IP traded between $25.64 and $27.25. ATM implied volatility averaged 31.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.6% (HV 20d: 20.0%). Max pain ranged from $23.35 to $26.15. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-01-24: Highest Volume — 24,967 contracts
  • 2011-01-13: Largest IV spike — 28.7% change
  • 2011-01-20: Highest IV Rank — 28.4%
  • 2011-01-20: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.48$25.64$27.25$26.17$26.97
Max Pain$25.22$23.35$26.15$23.35$26.15
ATM IV31.6%25.6%36.7%27.4%35.8%
Expected Move9.5%7.7%10.5%7.9%10.3%
HV 20d20.0%15.9%24.8%19.7%24.8%
HV 60d27.1%25.5%28.4%28.3%26.1%
IV Rank14.3%0.0%28.4%1.8%25.9%
IV Percentile15.9%0.0%36.9%1.2%32.9%
Term Structure-0.6%-3.9%6.6%5.7%-3.4%
VWIV34.0%28.6%36.8%31.3%36.6%
Skew 25d4.8%3.0%5.9%3.7%5.5%
Skew 10d10.7%9.0%12.8%12.0%11.0%
Call IV 25d31.2%26.6%33.9%26.9%33.9%
Put IV 25d36.0%30.1%39.4%30.6%39.4%
Bid-Ask Spread %6.105.546.805.696.22
Gamma HHI0.190.150.530.170.15
Net GEX3.8M2.4M8.3M3.1M3.4M
Net DEX-244.9M-284.5M-206.2M-239.5M-229.5M
Net VEX-930.6K-977.7K-891.1K-933.6K-938.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.132.160.852.16
Total Volume8,713.353,48624,96713,88611,133
Total OI286,651.45201,000333,443304,359220,968

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$26.17$23.3527.4%7.9%19.7%1.8%31.3%3.7%5.7%3.1M-239.5M-933.6K0.855.697,5066,380161,516142,843
2011-01-04$25.96$23.3526.9%7.7%20.1%0.4%28.6%3.5%6.6%3.0M-233.4M-950.8K0.445.543,5071,552165,265142,987
2011-01-05$26.28$23.3527.7%7.9%20.2%2.5%28.9%3.0%6.4%3.4M-249.1M-953.8K0.355.826,0092,132165,911143,532
2011-01-06$26.05$23.3528.1%8.0%20.4%3.5%28.7%3.0%5.7%3.3M-238.9M-945.5K0.466.113,6341,670166,779143,849
2011-01-07$26.14$25.2227.4%9.7%20.4%1.7%34.7%4.9%-0.6%3.3M-242.9M-936.8K1.045.931,9782,054167,729144,347
2011-01-10$26.26$25.2228.2%9.9%20.4%3.9%35.0%4.5%-1.4%3.5M-248.1M-918.3K1.035.621,7141,772168,669144,899
2011-01-11$26.33$26.1527.5%10.0%20.1%1.9%34.9%4.9%-1.9%3.6M-253.3M-902.3K0.396.0410,8364,204169,357145,963
2011-01-12$26.87$26.1525.6%9.5%20.8%0.0%33.8%4.6%-1.0%4.0M-275.9M-891.1K0.425.774,6711,978169,702146,634
2011-01-13$26.96$26.1533.0%9.5%16.3%18.8%35.1%4.7%-1.1%4.8M-284.5M-903.8K0.516.433,8761,977171,152147,172
2011-01-14$26.77$26.1532.7%9.4%15.9%18.1%35.6%4.9%-1.0%4.3M-272.9M-912.2K0.456.117,1403,233171,033147,777
2011-01-18$26.44$26.1534.9%10.0%16.4%23.6%35.2%5.3%-2.4%4.2M-266.7M-908.6K0.526.762,6411,362174,705149,253
2011-01-19$26.27$26.1534.6%9.9%16.6%23.0%35.5%5.5%-2.5%4.0M-258.8M-906.4K0.366.107,1642,569175,180149,742
2011-01-20$25.64$26.1536.7%10.5%18.0%28.4%36.8%5.7%-3.9%4.1M-235.7M-909.6K0.755.974,3033,208180,521150,216
2011-01-21$26.07$25.2234.5%9.9%18.8%22.6%36.4%5.8%-3.0%8.3M-252.7M-920.7K0.366.805,9552,126181,297152,146
2011-01-24$26.91$25.2234.8%10.0%21.6%23.5%35.1%5.1%-3.6%2.4M-206.2M-920.7K0.156.3321,6373,330124,57276,428
2011-01-25$26.74$25.2234.3%9.8%21.8%22.2%35.4%5.2%-3.1%3.3M-222.7M-977.7K0.415.895,8302,365139,51977,801
2011-01-26$27.01$25.2233.0%9.5%22.0%18.9%32.9%4.9%-2.3%3.3M-231.4M-961.8K0.135.6911,1251,498137,78278,165
2011-01-27$27.25$25.2233.1%9.5%22.1%19.0%33.8%4.8%-2.2%3.7M-239.3M-973.0K0.656.392,4501,603139,41278,765
2011-01-28$26.56$25.2236.3%10.4%24.3%27.4%35.3%5.9%-3.4%3.4M-216.0M-946.6K0.526.804,0542,091140,38479,057
2011-01-31$26.97$26.1535.8%10.3%24.8%25.9%36.6%5.5%-3.4%3.4M-229.5M-938.3K2.166.223,5217,612140,72680,242