IP Options History — July 2011

In July 2011, IP traded between $27.36 and $28.90. ATM implied volatility averaged 29.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.9% (HV 20d: 28.8%). Max pain ranged from $26.15 to $27.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-07-20: Highest Volume — 25,520 contracts
  • 2011-07-14: Largest IV spike — 23.2% change
  • 2011-07-29: Highest IV Rank — 54.3%
  • 2011-07-29: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.16$27.36$28.90$28.59$27.74
Max Pain$27.04$26.15$27.08$26.15$27.08
ATM IV29.8%24.8%34.7%24.8%34.7%
Expected Move8.9%7.1%9.9%7.1%9.9%
HV 20d28.8%22.0%36.0%34.9%27.5%
HV 60d29.5%28.2%30.4%30.0%29.0%
IV Rank23.7%0.5%54.3%0.5%54.3%
IV Percentile31.3%0.4%65.5%0.4%65.5%
Term Structure0.3%-1.2%4.2%4.2%-0.3%
VWIV31.7%28.0%35.2%28.0%35.2%
Skew 25d6.2%5.0%7.2%5.6%5.5%
Skew 10d12.9%9.4%15.1%14.5%10.5%
Call IV 25d28.7%23.9%32.7%23.9%32.7%
Put IV 25d34.8%29.5%38.2%29.5%38.2%
Bid-Ask Spread %6.995.708.516.927.88
Gamma HHI0.160.130.230.130.15
Net GEX3.7M2.2M5.0M4.7M3.3M
Net DEX-244.6M-274.1M-183.8M-274.1M-220.5M
Net VEX-1.3M-1.5M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.074.271.054.27
Total Volume7,332.22,05125,5207,03210,517
Total OI370,752.9326,251400,058386,109368,514

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$28.59$26.1524.8%7.1%34.9%0.5%28.0%5.6%4.2%4.7M-274.1M-1.4M1.056.923,4323,600247,010139,099
2011-07-05$27.90$27.0828.6%8.9%36.0%11.3%32.2%7.0%-0.4%3.3M-241.5M-1.3M0.837.022,6322,188247,816140,932
2011-07-06$28.06$27.0827.9%8.9%36.0%11.8%30.5%6.6%-0.2%3.4M-249.5M-1.2M0.536.602,5001,331248,878141,803
2011-07-07$28.54$27.0825.4%8.4%34.0%2.9%31.9%6.1%0.5%5.0M-272.0M-1.4M1.296.461,7622,274248,910141,886
2011-07-08$28.26$27.0825.2%8.7%34.0%2.2%30.4%6.2%0.1%3.8M-262.2M-1.2M1.336.671,6222,161249,393142,520
2011-07-11$27.96$27.0829.9%9.2%31.9%19.6%32.5%6.8%-0.5%3.9M-254.2M-1.2M0.685.962,1011,429249,852142,587
2011-07-12$27.67$27.0829.4%9.2%30.5%19.0%34.1%6.6%-0.3%3.3M-235.5M-1.2M0.996.562,0242,002250,175143,214
2011-07-13$28.01$27.0826.2%9.2%30.5%7.0%31.9%6.7%-0.1%4.1M-257.3M-1.2M0.665.702,5431,684251,248143,230
2011-07-14$27.71$27.0832.3%9.3%28.5%33.2%32.2%6.7%0.4%3.8M-238.5M-1.2M1.716.482,6304,509251,990144,151
2011-07-15$27.90$27.0832.1%9.2%27.4%32.6%32.5%6.7%0.2%4.6M-243.3M-1.2M0.716.485,3773,811252,706147,352
2011-07-18$27.36$27.0833.1%9.5%28.7%37.1%32.8%7.1%-0.4%2.2M-183.8M-1.3M0.317.198,9602,810215,978110,273
2011-07-19$27.82$27.0830.0%8.6%27.2%23.7%29.7%7.2%0.8%2.6M-216.5M-1.2M0.367.922,7831,012222,382111,918
2011-07-20$28.11$27.0830.8%8.8%22.0%27.1%30.9%6.2%0.6%2.7M-225.4M-1.2M0.077.8923,7871,733219,327112,583
2011-07-21$28.90$27.0829.5%8.4%23.8%24.4%29.7%5.1%0.3%3.7M-261.9M-1.3M0.407.345,4482,172225,376112,980
2011-07-22$28.82$27.0829.3%8.4%23.9%23.6%31.2%5.6%0.4%4.2M-263.9M-1.3M0.247.696,0341,446242,040113,123
2011-07-25$28.74$27.0830.3%8.7%23.7%28.2%31.8%5.2%-0.2%4.2M-261.9M-1.3M0.877.271,096955242,538113,456
2011-07-26$28.62$27.0830.9%8.9%23.6%31.6%31.6%5.8%-0.2%4.1M-256.5M-1.3M0.317.533,8411,173243,127113,967
2011-07-27$27.90$27.0834.3%9.8%25.6%52.2%34.4%5.3%-1.2%3.3M-225.6M-1.3M0.908.515,5314,998245,241114,535
2011-07-28$28.51$27.0830.6%8.8%26.6%32.2%31.1%5.0%1.7%4.6M-248.3M-1.5M0.475.837,2963,440246,913116,035
2011-07-29$27.74$27.0834.7%9.9%27.5%54.3%35.2%5.5%-0.3%3.3M-220.5M-1.3M4.277.881,9968,521251,110117,404