IP Options History — August 2011

In August 2011, IP traded between $21.69 and $27.61. ATM implied volatility averaged 47.3%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 11.5% (HV 20d: 58.8%). Max pain ranged from $24.28 to $28.02. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.43.

Notable Days

2011-08-08: Highest Volume — 30,150 contracts
2011-08-08: Largest IV spike — 60.5% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.05	$21.69	$27.61	$27.61	$25.36
Max Pain	$25.82	$24.28	$28.02	$28.02	$24.28
ATM IV	47.3%	33.8%	74.5%	33.8%	40.3%
Expected Move	13.2%	9.7%	17.6%	9.7%	11.6%
HV 20d	58.8%	25.7%	74.1%	25.7%	73.4%
HV 60d	42.4%	28.9%	48.9%	28.9%	48.9%
IV Rank	55.3%	30.5%	100.0%	49.2%	31.5%
IV Percentile	93.7%	59.9%	100.0%	59.9%	90.9%
Term Structure	-0.8%	-5.0%	2.3%	-0.0%	1.5%
VWIV	47.0%	34.4%	59.8%	34.4%	40.8%
Skew 25d	9.1%	5.5%	13.1%	5.7%	7.1%
Skew 10d	18.2%	9.3%	24.2%	12.3%	14.3%
Call IV 25d	43.0%	32.0%	55.8%	32.0%	37.4%
Put IV 25d	52.1%	37.7%	64.0%	37.7%	44.4%
Bid-Ask Spread %	7.54	5.18	9.98	7.91	7.77
Gamma HHI	0.12	0.10	0.16	0.16	0.11
Net GEX	260.1K	-649.9K	2.5M	2.5M	1.3M
Net DEX	-62.8M	-205.2M	19.4M	-205.2M	-133.8M
Net VEX	-1.3M	-1.4M	-1.1M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.48	3.23	2.21	0.54
Total Volume	10,226.043	3,872	30,150	4,868	6,083
Total OI	395,844.261	373,455	415,218	373,455	396,170

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$27.61	$28.02	33.8%	9.7%	25.7%	49.2%	34.4%	5.7%	-0.0%	2.5M	-205.2M	-1.3M	2.21	7.91	1,516	3,352	250,234	123,221
2011-08-02	$26.64	$28.02	35.4%	10.2%	27.2%	58.3%	36.3%	5.5%	0.2%	1.8M	-148.7M	-1.3M	1.44	7.78	2,925	4,218	250,623	124,222
2011-08-03	$26.50	$28.02	37.5%	10.8%	27.0%	69.5%	39.4%	6.4%	-0.4%	1.5M	-140.8M	-1.3M	1.80	6.22	10,044	18,073	250,987	125,179
2011-08-04	$24.12	$27.08	45.8%	13.1%	41.3%	100.0%	45.4%	8.7%	-2.4%	-455.3K	-39.1M	-1.2M	3.09	8.70	4,389	13,566	256,420	135,744
2011-08-05	$23.86	$27.08	46.4%	12.7%	41.3%	100.0%	46.1%	9.0%	-0.7%	-287.8K	-31.7M	-1.3M	1.57	5.79	4,590	7,187	257,770	136,313
2011-08-08	$21.69	$27.08	74.5%	17.6%	51.5%	100.0%	59.8%	7.9%	-5.0%	23.5K	18.7M	-1.2M	3.23	9.39	7,124	23,026	258,662	137,785
2011-08-09	$23.17	$26.15	54.0%	14.0%	58.6%	59.0%	51.2%	10.4%	-2.1%	-593.8K	-5.4M	-1.3M	1.10	9.98	6,136	6,751	259,056	148,089
2011-08-10	$22.57	$26.15	65.4%	16.0%	58.3%	81.8%	55.0%	12.7%	-3.6%	-345.5K	4.0M	-1.2M	1.48	7.06	5,147	7,627	259,883	148,008
2011-08-11	$23.84	$26.15	49.8%	14.3%	62.8%	50.6%	50.1%	10.7%	-1.4%	-132.3K	-46.2M	-1.4M	0.48	7.70	6,478	3,129	261,203	148,688
2011-08-12	$23.86	$26.15	47.0%	13.5%	62.7%	44.9%	48.5%	9.7%	-0.9%	-396.9K	-42.1M	-1.3M	0.84	7.69	2,864	2,393	262,088	148,091
2011-08-15	$24.46	$26.15	43.8%	12.5%	63.5%	38.4%	44.4%	8.8%	0.2%	-649.9K	-61.8M	-1.3M	0.94	7.72	2,163	2,031	262,796	148,722
2011-08-16	$24.31	$26.15	44.2%	12.7%	63.0%	39.3%	47.9%	8.8%	-0.3%	-620.7K	-56.3M	-1.3M	0.97	7.85	1,965	1,907	263,374	149,140
2011-08-17	$24.39	$25.22	42.7%	12.2%	62.8%	36.3%	45.5%	7.9%	0.1%	-569.3K	-55.6M	-1.3M	1.91	8.19	2,393	4,570	264,332	149,573
2011-08-18	$22.47	$25.22	54.4%	15.6%	66.7%	59.7%	57.1%	11.4%	-2.8%	-413.3K	7.6M	-1.2M	1.30	8.33	3,337	4,325	264,084	151,134
2011-08-19	$22.11	$25.22	54.5%	15.6%	66.6%	60.0%	54.8%	13.1%	-2.5%	-234.1K	19.4M	-1.2M	1.83	6.54	4,755	8,697	264,908	150,270
2011-08-22	$21.84	$25.22	54.7%	15.7%	66.5%	60.4%	52.2%	12.6%	-2.4%	-230.9K	-13.6M	-1.1M	0.60	5.18	5,069	3,016	246,353	129,741
2011-08-23	$22.96	$25.22	45.4%	13.0%	70.2%	41.7%	46.7%	10.7%	0.4%	23.9K	-44.1M	-1.2M	0.95	7.35	4,624	4,383	248,330	131,006
2011-08-24	$23.89	$24.28	44.5%	12.8%	72.2%	40.0%	46.1%	8.9%	0.7%	454.3K	-77.9M	-1.2M	0.51	6.80	5,204	2,645	250,050	133,096
2011-08-25	$23.41	$24.28	50.3%	14.4%	71.4%	51.6%	52.8%	10.7%	-1.0%	465.3K	-65.4M	-1.3M	2.06	6.39	1,936	3,991	252,282	134,033
2011-08-26	$23.98	$24.28	43.4%	12.4%	72.1%	37.7%	44.4%	8.8%	1.1%	502.9K	-79.2M	-1.3M	2.11	7.47	2,226	4,699	252,781	135,706
2011-08-29	$25.00	$24.28	40.6%	11.7%	74.1%	32.2%	42.2%	7.6%	1.3%	1.1M	-119.4M	-1.3M	0.50	7.78	6,325	3,142	253,346	136,481
2011-08-30	$25.11	$24.28	39.8%	11.4%	73.3%	30.5%	40.7%	6.5%	2.3%	1.3M	-126.7M	-1.3M	1.50	7.91	2,069	3,109	257,303	137,141
2011-08-31	$25.36	$24.28	40.3%	11.6%	73.4%	31.5%	40.8%	7.1%	1.5%	1.3M	-133.8M	-1.2M	0.54	7.77	3,940	2,143	257,976	138,194