IP Options History — May 2011

In May 2011, IP traded between $28.11 and $30.69. ATM implied volatility averaged 28.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.2% (HV 20d: 28.3%). Max pain ranged from $27.08 to $29.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2011-05-12: Highest Volume — 1,584,512 contracts
  • 2011-05-12: Largest IV spike — 12.0% change
  • 2011-05-17: Highest IV Rank — 16.4%
  • 2011-05-17: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.40$28.11$30.69$30.16$29.16
Max Pain$28.64$27.08$29.88$27.08$28.95
ATM IV28.1%24.6%31.2%27.1%25.6%
Expected Move8.2%7.0%8.9%7.8%7.3%
HV 20d28.3%24.0%30.5%29.6%24.0%
HV 60d29.5%27.2%31.4%30.2%27.2%
IV Rank8.2%0.0%16.4%5.1%2.8%
IV Percentile13.8%0.0%28.6%5.6%2.0%
Term Structure1.3%0.4%3.0%0.6%2.0%
VWIV29.1%25.5%31.3%28.4%26.6%
Skew 25d4.2%3.5%4.8%3.5%4.1%
Skew 10d8.8%6.5%10.5%8.8%10.4%
Call IV 25d26.9%23.7%29.2%25.3%24.1%
Put IV 25d31.1%27.3%33.7%28.9%28.2%
Bid-Ask Spread %7.005.829.525.867.92
Gamma HHI0.130.100.150.130.15
Net GEX2.5M403.9K4.5M4.5M2.9M
Net DEX-246.4M-326.5M-174.9M-321.8M-229.3M
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 Ratio1.000.012.990.250.21
Total Volume83,570.6671,6021,584,51224,8089,011
Total OI275,310.095256,201298,780262,824289,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$30.16$27.0827.1%7.8%29.6%5.1%28.4%3.5%0.6%4.5M-321.8M-1.3M0.255.8619,8894,919161,451101,373
2011-05-03$29.92$27.0827.2%7.8%29.4%5.5%28.0%3.5%1.6%3.9M-289.3M-1.3M2.388.132,8396,748153,217102,984
2011-05-04$29.58$27.0827.5%7.9%29.1%6.3%28.1%3.9%2.1%3.5M-275.0M-1.3M0.587.603,5332,049154,698107,963
2011-05-05$29.26$27.0829.9%8.6%29.1%12.2%29.9%4.3%0.8%3.5M-263.0M-1.3M1.839.521,9743,604155,783108,944
2011-05-06$29.67$28.9527.4%8.4%29.2%6.0%30.7%4.0%1.2%3.6M-280.9M-1.3M2.327.133,6818,530156,447110,410
2011-05-09$30.08$28.9527.4%8.4%29.2%6.2%31.3%4.2%1.2%3.7M-297.9M-1.3M1.096.072,0312,207157,910114,938
2011-05-10$30.69$28.9525.5%8.0%26.6%1.2%29.2%3.8%1.4%3.4M-326.5M-1.2M0.805.824,5293,635158,415115,831
2011-05-11$30.44$28.9526.4%8.1%26.7%3.6%29.5%3.9%1.2%3.6M-315.5M-1.2M0.566.133,0651,706159,574116,604
2011-05-12$30.18$28.9529.6%8.5%27.2%12.1%29.4%4.4%0.9%3.7M-300.5M-1.3M0.016.681,573,14911,363158,945116,936
2011-05-13$29.30$28.9530.9%8.9%29.7%15.6%30.2%4.8%0.4%927.5K-206.8M-1.2M1.326.789,25312,186136,130122,895
2011-05-16$29.37$28.9531.1%8.9%28.7%16.1%30.9%4.7%0.6%809.3K-215.7M-1.2M0.736.593,2432,381139,765130,769
2011-05-17$29.17$28.9531.2%8.9%26.9%16.4%31.1%4.6%0.6%403.9K-208.0M-1.2M0.686.912,1231,444140,318131,990
2011-05-18$29.60$28.9528.6%8.2%27.0%9.4%29.8%4.0%1.4%1.2M-228.0M-1.2M0.887.431,5001,322141,125132,288
2011-05-19$29.58$28.9527.5%7.9%26.8%6.5%28.2%3.8%1.4%1.5M-229.0M-1.2M0.057.0923,6911,265141,480132,609
2011-05-20$29.24$28.9528.1%8.1%27.3%8.8%29.6%4.5%1.6%1.6M-237.9M-1.3M2.996.851,5744,700163,088135,692
2011-05-23$28.11$29.8829.9%8.6%30.5%13.8%29.9%4.7%1.1%1.5M-177.5M-1.3M1.235.914,8876,024156,170124,351
2011-05-24$28.12$28.9529.2%8.4%29.5%11.8%29.2%4.5%1.1%1.3M-174.9M-1.3M0.577.123,1501,790157,280128,107
2011-05-25$28.36$28.9528.5%8.2%29.5%9.8%27.7%4.0%1.5%1.7M-188.2M-1.3M0.866.79863739159,128128,732
2011-05-26$28.56$28.9526.2%7.5%29.0%3.4%27.0%4.4%1.9%2.0M-196.9M-1.3M0.717.541,293918159,451129,015
2011-05-27$28.87$28.9524.6%7.0%28.9%0.0%25.5%3.6%3.0%2.4M-212.7M-1.3M1.017.081,0821,094159,705129,171
2011-05-31$29.16$28.9525.6%7.3%24.0%2.8%26.6%4.1%2.0%2.9M-229.3M-1.3M0.217.927,4321,579159,973129,857