IP Options History — September 2011

In September 2011, IP traded between $21.71 and $26.19. ATM implied volatility averaged 48.8%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 9.1% (HV 20d: 57.8%). Max pain ranged from $24.28 to $26.15. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2011-09-29: Highest Volume — 46,800 contracts
  • 2011-09-06: Largest IV spike — 17.2% change
  • 2011-09-30: Highest IV Rank — 69.1%
  • 2011-09-30: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.45$21.71$26.19$24.61$21.71
Max Pain$25.04$24.28$26.15$24.28$24.28
ATM IV48.8%40.8%59.1%40.8%59.1%
Expected Move14.0%11.7%16.9%11.7%16.9%
HV 20d57.8%51.7%66.9%65.9%58.7%
HV 60d52.6%48.8%55.7%48.8%55.7%
IV Rank48.4%32.6%69.1%32.6%69.1%
IV Percentile95.0%88.5%99.2%91.7%99.2%
Term Structure0.8%-3.7%3.7%1.7%1.6%
VWIV50.0%40.5%58.5%40.5%58.0%
Skew 25d10.5%8.2%12.0%8.2%11.9%
Skew 10d21.4%16.4%25.1%16.4%22.3%
Call IV 25d44.4%37.1%53.1%37.1%53.1%
Put IV 25d54.8%45.2%65.0%45.2%65.0%
Bid-Ask Spread %7.115.159.477.228.27
Gamma HHI0.120.100.360.110.10
Net GEX1.4M-443.7K9.0M915.9K-443.7K
Net DEX-103.5M-180.4M-15.2M-104.9M-15.2M
Net VEX-1.2M-1.4M-1.0M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.283.271.683.18
Total Volume12,631.3333,59846,8006,52219,438
Total OI408,802.095392,366437,139397,263437,139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$24.61$24.2840.8%11.7%65.9%32.6%40.5%8.2%1.7%915.9K-104.9M-1.2M1.687.222,4374,085258,658138,605
2011-09-02$23.80$24.2842.9%12.3%66.9%36.7%40.6%8.8%2.2%152.8K-67.9M-1.2M2.096.991,8543,885258,985140,515
2011-09-06$25.93$26.1550.3%13.5%63.6%51.5%52.9%9.3%-2.5%2.2M-168.3M-1.4M0.778.2312,3689,539259,142141,758
2011-09-07$26.19$25.2245.3%12.9%59.9%41.6%46.8%9.5%-1.7%2.6M-180.4M-1.3M0.865.156,0015,167263,592147,061
2011-09-08$25.21$25.2247.1%13.3%60.9%45.2%48.1%10.4%-1.8%1.6M-133.2M-1.3M0.977.259,6229,339265,012148,180
2011-09-09$24.44$25.2252.3%14.8%59.3%55.6%58.5%10.7%-3.7%1.1M-97.6M-1.3M3.275.702,0696,759264,569150,953
2011-09-12$24.18$25.2253.9%15.2%59.5%58.6%54.2%11.6%-3.4%876.4K-86.9M-1.3M1.376.405,2807,209264,706153,790
2011-09-13$24.97$25.2246.5%14.2%59.9%43.9%50.2%11.4%-1.1%2.0M-126.9M-1.3M0.915.633,4703,160267,501152,750
2011-09-14$25.11$25.2242.5%13.7%59.9%35.8%51.6%10.9%-0.5%1.9M-128.6M-1.3M1.806.591,2832,315268,118154,447
2011-09-15$25.94$25.2243.9%12.6%60.9%38.6%44.1%9.8%2.2%2.7M-167.8M-1.3M1.196.132,6753,183268,444155,458
2011-09-16$26.13$25.2242.2%12.1%51.9%35.3%42.0%9.2%2.3%9.0M-176.6M-1.3M0.585.644,8142,773268,864157,064
2011-09-19$25.78$25.2242.7%12.2%51.7%36.3%44.9%9.5%3.3%1.7M-142.9M-1.2M0.996.272,6222,603252,062140,304
2011-09-20$25.42$25.2243.2%12.4%51.8%37.3%43.1%9.3%3.7%1.3M-128.6M-1.2M0.506.764,5932,299253,583141,105
2011-09-21$24.25$25.2246.6%13.4%52.7%44.1%47.5%9.6%2.8%469.9K-87.5M-1.1M0.289.479,1122,537255,740141,642
2011-09-22$23.03$25.2253.6%15.4%54.2%58.1%53.8%11.5%2.1%139.5K-60.3M-1.2M0.477.8919,7489,264261,384142,825
2011-09-23$23.37$25.2254.9%15.7%54.1%60.7%57.6%12.0%1.2%400.0K-78.2M-1.2M2.017.592,3744,763264,194144,730
2011-09-26$23.74$25.2254.3%15.6%53.7%59.5%54.6%11.6%2.1%363.5K-68.8M-1.2M0.297.103,024888254,189145,415
2011-09-27$24.42$25.2250.5%14.5%52.5%51.9%50.1%11.4%2.8%752.1K-92.2M-1.2M0.358.593,7031,296255,188144,007
2011-09-28$22.67$24.2856.8%16.3%58.4%64.5%53.6%12.0%1.5%-161.7K-33.6M-1.1M0.307.4316,1184,789256,892144,308
2011-09-29$22.55$24.2854.7%15.7%58.2%60.3%57.9%11.2%2.4%-253.6K-27.4M-1.0M1.259.0220,78426,016257,581144,384
2011-09-30$21.71$24.2859.1%16.9%58.7%69.1%58.0%11.9%1.6%-443.7K-15.2M-1.2M3.188.274,65214,786273,795163,344