IP Options History — March 2011

In March 2011, IP traded between $23.94 and $28.18. ATM implied volatility averaged 32.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.1% (HV 20d: 31.1%). Max pain ranged from $25.22 to $26.15. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.03.

Notable Days

  • 2011-03-29: Highest Volume — 24,401 contracts
  • 2011-03-07: Largest IV spike — 12.5% change
  • 2011-03-16: Highest IV Rank — 34.6%
  • 2011-03-16: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.23$23.94$28.18$24.95$28.18
Max Pain$25.34$25.22$26.15$26.15$25.22
ATM IV32.2%27.1%39.2%34.0%27.7%
Expected Move9.3%7.8%11.2%9.7%7.9%
HV 20d31.1%27.0%35.4%32.4%28.7%
HV 60d26.6%25.6%28.6%25.7%28.6%
IV Rank16.8%3.7%34.6%21.3%5.2%
IV Percentile24.8%2.8%64.3%29.4%6.0%
Term Structure1.5%-1.5%4.3%1.0%3.6%
VWIV33.2%27.9%43.3%34.1%28.9%
Skew 25d4.0%3.3%5.5%3.8%3.3%
Skew 10d9.0%6.4%13.7%7.2%11.2%
Call IV 25d31.4%26.2%37.9%33.5%26.5%
Put IV 25d35.4%29.7%43.4%37.3%29.8%
Bid-Ask Spread %7.255.868.498.307.29
Gamma HHI0.150.120.310.160.17
Net GEX-171.8K-3.8M4.9M-2.8M4.8M
Net DEX-122.7M-295.6M-50.3M-85.3M-295.6M
Net VEX-1.3M-1.3M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.215.805.800.40
Total Volume8,124.7392,56024,40115,7208,258
Total OI288,908271,050305,378297,644299,064

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$24.95$26.1534.0%9.7%32.4%21.3%34.1%3.8%1.0%-2.8M-85.3M-1.3M5.808.302,31313,407151,161146,483
2011-03-02$24.96$26.1533.6%9.6%30.8%20.3%33.5%3.9%1.3%-2.4M-91.6M-1.3M0.877.753,9443,427151,641143,202
2011-03-03$25.46$26.1531.4%9.0%32.0%14.7%30.9%3.5%2.5%-1.6M-108.8M-1.3M0.307.762,554762148,916141,430
2011-03-04$25.01$25.2230.9%9.8%32.3%13.6%34.8%4.4%-0.1%-2.3M-87.1M-1.3M1.458.491,2811,862150,300141,643
2011-03-07$24.56$25.2234.8%10.5%32.7%23.5%35.2%4.3%-1.3%-2.8M-67.6M-1.3M2.007.196,59813,169150,358141,735
2011-03-08$24.73$25.2233.6%10.2%32.8%20.3%34.9%4.2%-0.7%-1.5M-84.8M-1.2M0.277.042,022538151,434133,753
2011-03-09$24.69$25.2232.9%10.0%32.2%18.5%34.7%3.8%-0.2%-1.7M-81.3M-1.2M0.216.804,684981151,774133,727
2011-03-10$24.00$25.2235.5%10.2%33.1%25.4%35.7%4.6%-0.3%-1.9M-50.3M-1.2M0.416.973,9601,637152,739133,859
2011-03-11$24.27$25.2234.9%10.0%33.8%23.8%35.1%3.9%0.1%-2.0M-65.3M-1.2M0.567.852,3951,350154,028134,773
2011-03-14$24.23$25.2235.7%10.2%33.8%25.7%35.8%3.7%-0.3%-2.2M-61.5M-1.2M1.707.031,1531,963154,426134,721
2011-03-15$24.07$25.2236.8%10.6%32.8%28.6%36.4%3.9%-0.7%-2.1M-55.1M-1.2M0.297.3011,0333,157154,640135,160
2011-03-16$23.94$25.2239.2%11.2%32.3%34.6%43.3%5.5%-1.5%-1.7M-53.0M-1.3M2.148.444,1938,959159,920135,635
2011-03-17$24.56$25.2237.1%10.6%34.4%29.2%36.4%4.7%-0.4%-2.0M-82.6M-1.3M0.467.223,8271,768162,140140,858
2011-03-18$25.09$25.2234.4%9.8%35.4%22.3%35.1%4.1%0.9%-3.8M-113.6M-1.3M0.907.642,1371,924164,307141,071
2011-03-21$25.32$25.2230.9%8.9%32.9%13.4%31.5%4.3%3.1%1.7M-138.0M-1.2M0.465.865,5252,515148,404122,646
2011-03-22$25.05$25.2230.0%8.6%27.2%11.2%31.3%4.5%3.3%1.5M-128.7M-1.2M1.016.071,8031,818151,460122,892
2011-03-23$25.14$25.2229.1%8.4%27.1%8.9%29.4%3.5%3.9%1.8M-133.2M-1.2M0.306.598,2372,502152,112123,239
2011-03-24$25.50$25.2228.6%8.2%27.3%7.6%28.6%3.5%4.0%2.4M-162.2M-1.3M0.416.192,049843158,686124,548
2011-03-25$25.95$25.2227.1%7.8%27.1%3.7%27.9%3.6%4.3%3.0M-186.8M-1.2M0.446.873,0061,312158,829123,396
2011-03-28$25.78$25.2227.9%8.0%27.0%5.7%32.7%4.2%3.8%2.7M-176.2M-1.2M2.317.201,4333,314160,410123,703
2011-03-29$26.99$25.2227.5%7.9%27.7%4.8%29.6%3.4%3.8%4.1M-235.5M-1.2M0.297.9018,8595,542160,780124,550
2011-03-30$27.77$25.2227.3%7.8%29.0%4.1%28.9%3.4%3.5%4.9M-278.3M-1.3M0.746.897,3825,473169,260125,071
2011-03-31$28.18$25.2227.7%7.9%28.7%5.2%28.9%3.3%3.6%4.8M-295.6M-1.3M0.407.295,9052,353171,436127,628