IP Options History — June 2011

In June 2011, IP traded between $24.81 and $28.31. ATM implied volatility averaged 31.1%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.9% (HV 20d: 30.2%). Max pain ranged from $26.15 to $28.95. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2011-06-24: Highest Volume — 57,175 contracts
  • 2011-06-30: Largest IV drop — 12.4% change
  • 2011-06-16: Highest IV Rank — 30.3%
  • 2011-06-16: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.83$24.81$28.31$28.20$27.85
Max Pain$26.83$26.15$28.95$28.95$26.15
ATM IV31.1%26.3%35.3%28.6%26.3%
Expected Move9.0%7.5%10.1%8.2%7.5%
HV 20d30.2%25.3%35.1%26.5%34.0%
HV 60d29.3%27.3%31.7%27.8%29.6%
IV Rank18.4%4.9%30.3%11.5%4.9%
IV Percentile34.3%4.0%58.3%23.0%4.0%
Term Structure2.0%0.6%3.7%0.6%3.7%
VWIV32.4%28.4%37.7%31.7%28.5%
Skew 25d5.2%4.1%6.8%4.7%6.1%
Skew 10d11.9%7.3%16.6%9.8%15.4%
Call IV 25d29.7%25.3%34.2%27.0%25.3%
Put IV 25d34.9%31.3%39.2%31.7%31.4%
Bid-Ask Spread %7.335.7510.347.635.75
Gamma HHI0.110.090.140.130.14
Net GEX581.7K-1.8M2.9M1.5M2.9M
Net DEX-133.9M-234.4M-43.6M-170.7M-234.4M
Net VEX-1.2M-1.5M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.026.566.560.26
Total Volume14,701.6824,23257,17510,1646,353
Total OI318,127.591271,777382,400286,713382,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$28.20$28.9528.6%8.2%26.5%11.5%31.7%4.7%0.6%1.5M-170.7M-1.2M6.567.631,3458,819156,431130,282
2011-06-02$28.31$28.9528.8%8.3%26.4%11.9%28.4%4.1%1.1%1.3M-183.2M-1.2M0.057.7523,1151,236159,737134,405
2011-06-03$27.90$27.0827.4%8.3%26.5%7.9%30.1%4.6%2.7%-473.0K-148.2M-1.1M0.515.803,0301,547138,820132,957
2011-06-06$27.69$27.0828.7%8.5%25.9%11.8%30.1%4.3%2.5%300.4K-146.1M-1.1M0.967.082,4552,354149,543132,885
2011-06-07$27.81$27.0828.2%8.5%25.3%10.1%30.8%4.5%2.4%479.4K-151.3M-1.1M0.5310.346,9323,666149,864133,052
2011-06-08$26.89$27.0830.7%8.9%25.7%17.4%31.9%5.1%2.1%-441.3K-106.4M-1.1M1.988.503,9107,752153,218134,608
2011-06-09$27.30$27.0830.2%8.7%26.8%16.0%30.1%4.7%2.3%-818.2K-123.7M-1.1M2.837.191,5504,395152,870138,545
2011-06-10$26.43$27.0832.3%9.3%28.5%21.9%30.6%4.9%1.5%-1.8M-79.8M-1.1M0.127.5438,3034,564153,051138,316
2011-06-13$25.75$27.0832.7%9.4%28.1%23.0%33.0%4.8%1.1%-1.5M-54.6M-1.2M0.846.232,5832,183186,727138,500
2011-06-14$26.03$27.0831.5%9.0%28.6%19.6%32.3%4.5%1.3%-720.5K-71.4M-1.1M0.707.655,9114,167187,188135,355
2011-06-15$25.27$27.0833.2%9.5%29.8%24.5%34.4%4.5%1.2%-730.7K-43.8M-1.1M0.786.2912,1149,442188,854135,877
2011-06-16$24.87$27.0835.3%10.1%28.8%30.3%35.4%5.0%0.7%-323.1K-46.9M-1.2M0.726.609,7767,002183,798132,948
2011-06-17$24.81$26.1534.3%9.8%28.7%27.5%37.7%5.4%1.9%-300.8K-43.6M-1.2M0.786.496,2684,892186,342135,107
2011-06-20$25.63$26.1533.1%9.5%32.2%24.2%34.1%5.1%3.1%264.2K-101.6M-1.2M0.616.788,0524,900174,283125,672
2011-06-21$26.88$26.1532.2%9.2%35.1%21.5%36.1%5.1%1.5%1.5M-160.5M-1.3M0.707.1511,4358,001180,021128,779
2011-06-22$26.84$26.1532.5%9.3%35.1%22.4%35.2%6.3%2.0%1.5M-161.7M-1.3M3.377.212,4368,211184,150132,779
2011-06-23$27.04$26.1531.2%8.9%35.1%18.6%33.1%5.0%2.8%1.2M-169.6M-1.3M0.958.403,7473,570184,848138,694
2011-06-24$26.88$26.1532.5%9.3%34.9%22.3%34.0%5.8%2.1%1.1M-162.3M-1.3M0.028.1855,9901,185186,207138,481
2011-06-27$27.23$26.1532.7%9.4%35.0%23.1%32.5%6.3%1.7%2.6M-194.2M-1.5M1.517.562,1383,232241,276138,530
2011-06-28$27.33$26.1531.4%9.0%34.8%19.3%32.5%6.8%1.8%2.5M-195.1M-1.5M5.776.743,04917,595242,042140,063
2011-06-29$27.23$26.1530.0%8.6%32.9%15.3%30.7%6.5%2.6%2.6M-195.9M-1.4M1.208.441,9252,307243,314137,988
2011-06-30$27.85$26.1526.3%7.5%34.0%4.9%28.5%6.1%3.7%2.9M-234.4M-1.3M0.265.755,0291,324243,484138,916