IP Options History — April 2011

In April 2011, IP traded between $26.90 and $28.84. ATM implied volatility averaged 28.2%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.1% (HV 20d: 28.1%). Max pain ranged from $25.22 to $27.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-04-28: Highest Volume — 20,669 contracts
  • 2011-04-14: Largest IV spike — 20.8% change
  • 2011-04-14: Highest IV Rank — 16.6%
  • 2011-04-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.88$26.90$28.84$28.41$28.84
Max Pain$26.48$25.22$27.08$25.22$27.08
ATM IV28.2%25.0%31.6%28.0%25.6%
Expected Move8.6%7.4%9.3%8.0%7.4%
HV 20d28.1%25.1%30.7%27.5%25.3%
HV 60d29.1%28.6%29.8%28.6%28.9%
IV Rank7.6%0.0%16.6%6.1%1.5%
IV Percentile10.7%0.0%23.0%7.9%1.2%
Term Structure0.1%-1.1%4.1%4.1%2.0%
VWIV30.4%26.6%32.7%28.1%27.8%
Skew 25d5.0%2.9%5.9%2.9%4.3%
Skew 10d10.1%7.4%11.6%9.7%7.4%
Call IV 25d27.8%24.1%30.2%26.7%24.1%
Put IV 25d32.8%28.2%35.8%29.7%28.5%
Bid-Ask Spread %6.585.097.496.507.20
Gamma HHI0.180.120.750.160.15
Net GEX5.8M2.2M30.8M4.7M4.5M
Net DEX-259.6M-328.4M-196.0M-306.5M-271.9M
Net VEX-1.3M-1.3M-932.9K-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.112.080.570.37
Total Volume7,586.451,66220,6699,0584,979
Total OI285,259.2241,231327,118299,758261,204

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$28.41$25.2228.0%8.0%27.5%6.1%28.1%2.9%4.1%4.7M-306.5M-1.3M0.576.505,7763,282172,376127,382
2011-04-04$28.08$26.1528.1%9.1%26.8%6.3%32.4%5.3%-1.0%5.1M-290.0M-1.3M0.955.482,5152,379174,182128,801
2011-04-05$28.65$26.1525.3%8.6%27.2%0.0%30.0%4.8%-0.4%5.0M-328.4M-1.2M0.115.8911,3321,198174,959129,715
2011-04-06$28.33$26.1526.8%8.9%27.8%3.8%30.3%4.9%-0.4%6.1M-322.8M-1.3M1.306.331,9272,502184,109130,087
2011-04-07$28.14$26.1525.5%8.9%25.1%0.3%31.7%5.0%-0.3%6.3M-307.8M-1.3M1.475.851,7102,522184,349131,098
2011-04-08$27.92$26.1525.0%8.9%25.7%0.0%31.3%5.2%-0.4%6.2M-297.0M-1.3M1.077.221,4341,533184,440132,645
2011-04-11$27.05$26.1529.1%9.2%29.0%10.3%32.3%5.6%-0.8%5.9M-244.2M-1.3M0.346.744,4871,516184,641132,775
2011-04-12$26.90$26.1528.0%9.3%29.0%7.6%32.7%5.6%-0.6%5.5M-234.0M-1.3M1.356.851,4451,947184,384133,033
2011-04-13$26.92$26.1526.2%9.1%28.7%2.9%32.5%5.3%-0.4%5.6M-231.9M-1.3M0.165.9510,3411,689182,717133,118
2011-04-14$27.32$26.1531.6%9.1%28.0%16.6%31.0%5.2%-0.5%7.5M-259.0M-1.3M0.227.308,5831,847188,286134,231
2011-04-15$27.97$26.1530.0%8.6%28.1%12.5%30.8%4.6%0.5%30.8M-312.9M-1.3M0.235.097,9961,827191,721135,397
2011-04-18$27.23$26.1531.6%9.1%30.3%16.6%32.2%5.3%-0.2%2.2M-196.0M-1.2M1.047.494,3574,549145,93595,296
2011-04-19$27.60$27.0828.9%8.3%30.0%9.7%29.5%5.9%0.9%2.5M-206.8M-1.3M0.396.922,237881147,98797,399
2011-04-20$27.92$27.0828.2%8.1%30.1%7.9%28.5%5.2%0.8%3.0M-221.1M-1.2M2.026.762,1924,433148,88596,600
2011-04-21$28.02$27.0827.6%7.9%29.9%6.5%27.8%4.9%0.9%3.1M-224.3M-1.3M0.387.091,203459149,84699,408
2011-04-25$27.59$27.0829.0%8.3%30.3%10.1%30.0%5.8%0.2%2.8M-207.2M-1.2M1.186.751,8492,182150,47299,616
2011-04-26$28.18$27.0830.6%8.8%30.7%14.0%30.4%5.0%-1.1%3.2M-233.4M-1.2M0.767.363,9012,947151,361100,249
2011-04-27$28.00$27.0830.9%8.9%26.7%14.7%31.3%4.8%-1.1%3.1M-227.9M-1.2M2.085.634,91010,193152,490101,479
2011-04-28$28.47$27.0826.9%7.7%25.4%4.7%26.6%4.1%0.6%3.4M-269.6M-932.9K0.507.2113,7806,889154,17398,338
2011-04-29$28.84$27.0825.6%7.4%25.3%1.5%27.8%4.3%2.0%4.5M-271.9M-1.2M0.377.203,6221,357160,136101,068