IP Options History — February 2011

In February 2011, IP traded between $25.44 and $28.29. ATM implied volatility averaged 30.3%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.9% (HV 20d: 25.4%). Max pain ranged from $26.15 to $27.08. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.69.

Notable Days

2011-02-24: Highest Volume — 53,001 contracts
2011-02-22: Largest IV spike — 22.1% change
2011-02-02: Highest IV Rank — 29.5%
2011-02-02: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.14	$25.44	$28.29	$27.62	$25.94
Max Pain	$26.79	$26.15	$27.08	$26.15	$26.15
ATM IV	30.3%	26.7%	37.1%	34.9%	31.8%
Expected Move	8.8%	7.8%	10.7%	10.0%	9.1%
HV 20d	25.4%	20.5%	31.3%	24.2%	30.2%
HV 60d	24.1%	22.4%	25.4%	25.4%	24.6%
IV Rank	12.0%	2.7%	29.5%	23.8%	15.8%
IV Percentile	13.8%	0.4%	43.7%	29.4%	18.3%
Term Structure	0.3%	-4.1%	1.5%	-3.1%	1.1%
VWIV	31.1%	26.5%	37.2%	36.2%	33.5%
Skew 25d	4.0%	3.1%	5.9%	5.9%	3.8%
Skew 10d	8.2%	6.2%	13.0%	13.0%	8.1%
Call IV 25d	29.1%	25.8%	34.1%	33.4%	31.2%
Put IV 25d	33.1%	29.0%	39.6%	39.3%	35.0%
Bid-Ask Spread %	7.67	6.05	9.95	6.05	8.10
Gamma HHI	0.18	0.11	0.67	0.14	0.13
Net GEX	4.7M	-549.5K	21.5M	3.6M	76.6K
Net DEX	-221.9M	-279.1M	-125.8M	-246.6M	-147.1M
Net VEX	-1.1M	-1.3M	-973.7K	-1.0M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.04	10.65	0.71	10.65
Total Volume	14,812	2,511	53,001	5,088	18,131
Total OI	255,587.158	230,137	282,660	233,895	282,660

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$27.62	$26.15	34.9%	10.0%	24.2%	23.8%	36.2%	5.9%	-3.1%	3.6M	-246.6M	-1.0M	0.71	6.05	2,977	2,111	142,673	91,222
2011-02-02	$27.43	$26.15	37.1%	10.7%	24.1%	29.5%	37.2%	5.5%	-4.1%	3.8M	-240.9M	-999.0K	2.91	8.44	5,325	15,512	143,640	86,497
2011-02-03	$27.33	$26.15	29.6%	8.5%	24.0%	10.0%	29.4%	3.5%	0.6%	3.4M	-233.7M	-1.0M	0.69	9.95	13,438	9,303	146,611	99,988
2011-02-04	$27.29	$27.08	28.6%	8.5%	23.7%	7.6%	29.6%	4.2%	0.5%	4.8M	-245.6M	-996.8K	0.98	6.90	2,025	1,981	152,796	97,788
2011-02-07	$27.40	$27.08	29.6%	8.5%	23.7%	10.1%	28.0%	4.2%	0.5%	5.1M	-247.0M	-1.0M	0.14	7.69	14,050	1,938	153,127	99,318
2011-02-08	$27.73	$27.08	26.9%	8.2%	23.9%	3.3%	30.0%	4.5%	0.8%	7.0M	-279.1M	-1.0M	1.25	7.47	1,118	1,393	164,491	100,050
2011-02-09	$27.68	$27.08	26.7%	8.2%	24.0%	2.7%	29.3%	3.7%	0.6%	5.9M	-268.0M	-1.0M	0.29	7.93	2,169	633	159,240	99,987
2011-02-10	$27.45	$27.08	29.6%	8.5%	23.3%	10.1%	29.5%	4.1%	0.6%	6.2M	-257.8M	-1.0M	0.04	8.25	44,633	2,001	159,524	100,101
2011-02-11	$27.40	$27.08	28.9%	8.3%	23.3%	8.2%	29.6%	3.8%	0.9%	4.5M	-228.5M	-973.7K	0.09	7.65	13,687	1,228	145,140	101,010
2011-02-14	$27.81	$27.08	28.4%	8.1%	23.6%	7.1%	29.5%	3.8%	0.8%	5.5M	-242.1M	-977.2K	2.95	7.77	1,935	5,705	143,383	101,441
2011-02-15	$28.07	$27.08	28.5%	8.2%	23.1%	7.4%	31.3%	3.9%	1.0%	5.9M	-264.0M	-995.1K	2.84	6.97	3,274	9,308	148,762	106,168
2011-02-16	$28.03	$27.08	27.7%	7.9%	22.9%	5.3%	29.5%	3.8%	0.8%	5.9M	-260.6M	-1.0M	2.37	8.97	2,755	6,536	149,804	112,683
2011-02-17	$28.29	$27.08	27.2%	7.8%	20.5%	4.0%	26.5%	3.2%	1.3%	5.1M	-272.9M	-1.1M	0.20	6.87	6,422	1,281	150,928	118,386
2011-02-18	$27.10	$27.08	27.6%	7.9%	26.1%	5.0%	27.6%	3.1%	1.5%	21.5M	-210.6M	-1.1M	0.35	7.79	6,380	2,256	153,541	118,423
2011-02-22	$25.68	$27.08	33.7%	9.7%	30.4%	20.6%	33.2%	4.0%	0.2%	959.6K	-148.3M	-1.1M	1.17	7.74	5,466	6,422	136,525	101,211
2011-02-23	$25.44	$27.08	34.5%	9.9%	30.5%	22.7%	34.3%	4.0%	0.2%	-549.5K	-125.8M	-1.1M	2.32	6.65	4,338	10,063	137,406	116,157
2011-02-24	$25.72	$26.15	33.8%	9.7%	30.6%	20.9%	35.7%	3.3%	0.4%	-347.4K	-137.7M	-1.1M	1.70	7.07	19,619	33,382	137,595	117,437
2011-02-25	$26.22	$26.15	31.4%	9.0%	31.3%	14.6%	31.8%	3.5%	1.2%	458.8K	-159.2M	-1.3M	0.39	7.41	1,893	740	149,696	130,747
2011-02-28	$25.94	$26.15	31.8%	9.1%	30.2%	15.8%	33.5%	3.8%	1.1%	76.6K	-147.1M	-1.3M	10.65	8.10	1,557	16,574	150,479	132,181