IP Options History — October 2011

In October 2011, IP traded between $21.15 and $27.04. ATM implied volatility averaged 44.0%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 5.2% (HV 20d: 49.2%). Max pain ranged from $23.35 to $24.28. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-10-27: Highest Volume — 23,622 contracts
  • 2011-10-31: Largest IV spike — 18.1% change
  • 2011-10-03: Highest IV Rank — 76.1%
  • 2011-10-03: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$21.15$27.04$21.15$25.87
Max Pain$23.79$23.35$24.28$24.28$24.28
ATM IV44.0%30.6%62.6%62.6%36.2%
Expected Move12.9%8.8%17.9%17.9%10.4%
HV 20d49.2%38.3%58.3%58.3%46.3%
HV 60d57.6%55.8%60.5%55.8%57.8%
IV Rank38.9%12.1%76.1%76.1%23.2%
IV Percentile81.8%37.7%99.2%99.2%71.8%
Term Structure0.3%-1.9%4.3%-0.2%-0.2%
VWIV47.6%34.1%68.1%68.1%38.2%
Skew 25d11.2%8.2%13.0%12.3%8.9%
Skew 10d22.9%16.6%26.3%23.0%18.5%
Call IV 25d40.1%27.7%58.0%58.0%33.0%
Put IV 25d51.2%35.8%70.3%70.3%42.0%
Bid-Ask Spread %6.214.128.745.807.95
Gamma HHI0.100.090.120.090.11
Net GEX-282.3K-1.1M1.7M-779.9K1.4M
Net DEX-74.8M-201.2M22.3M22.3M-159.9M
Net VEX-1.0M-1.1M-961.0K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.312.781.640.88
Total Volume8,366.813,45323,62211,1295,998
Total OI434,929.381384,136464,171436,762408,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$21.15$24.2862.6%17.9%58.3%76.1%68.1%12.3%-0.2%-779.9K22.3M-1.1M1.645.804,2096,920264,232172,530
2011-10-04$21.67$24.2857.9%16.6%48.8%66.6%57.0%10.5%2.9%-986.8K11.3M-1.1M2.236.516,84115,231263,672175,625
2011-10-05$22.46$24.2851.3%14.7%51.0%53.6%50.9%9.7%3.7%-952.4K-12.0M-1.1M0.646.994,3972,826264,533180,578
2011-10-06$22.87$24.2850.0%14.3%50.4%51.0%48.2%9.2%4.3%-819.1K-26.9M-1.1M0.506.212,6641,322266,397180,670
2011-10-07$22.46$24.2848.6%15.3%49.8%48.1%54.8%12.6%-1.9%-1.1M-10.7M-1.1M0.995.113,4543,419267,445181,109
2011-10-10$23.44$24.2844.3%14.3%52.4%39.5%55.8%12.8%-1.2%-767.7K-47.5M-1.1M0.964.122,7422,641269,332181,816
2011-10-11$23.56$23.3543.7%14.2%50.9%38.4%54.3%13.0%-1.0%-667.8K-52.8M-1.1M1.714.382,6234,478269,637181,310
2011-10-12$24.00$23.3538.9%12.9%51.4%28.6%48.9%12.1%0.3%-349.1K-70.9M-1.1M0.984.902,8892,821271,256180,041
2011-10-13$24.01$23.3543.6%12.5%49.8%38.2%45.1%11.6%0.2%-363.8K-72.1M-1.0M0.495.112,3131,140271,484179,635
2011-10-14$24.29$23.3542.9%12.3%49.9%36.7%40.9%11.3%0.4%-223.7K-85.0M-1.0M0.515.012,4691,268273,147179,536
2011-10-17$23.43$23.3547.3%13.6%51.1%45.5%55.5%12.5%-1.5%-926.3K-48.9M-1.0M2.785.211,1883,305273,369179,204
2011-10-18$24.21$23.3543.8%12.6%52.7%38.5%47.2%12.6%-0.5%-578.3K-79.6M-1.0M0.495.342,5401,251273,871179,532
2011-10-19$23.72$23.3546.9%13.4%50.5%44.7%54.8%12.8%-1.7%-746.5K-63.3M-994.1K0.455.532,9161,320274,344179,420
2011-10-20$23.90$23.3545.7%13.1%46.8%42.2%46.5%12.4%-0.8%-693.9K-70.8M-999.7K1.715.674,3047,362275,444179,684
2011-10-21$24.22$23.3542.7%12.2%46.8%36.2%46.0%11.5%0.2%-937.4K-84.4M-1.0M0.766.873,2432,454277,986186,185
2011-10-24$24.99$23.3537.9%10.9%47.7%26.7%39.1%11.2%0.3%3.7K-110.0M-981.6K0.316.6411,3353,469231,660152,476
2011-10-25$24.54$23.3539.9%11.4%47.2%30.7%40.1%10.8%-0.2%37.9K-99.2M-980.0K0.628.744,3302,701237,375152,766
2011-10-26$24.82$24.2837.5%10.7%38.3%25.8%39.1%10.7%-0.4%107.2K-108.8M-981.8K0.428.006,6272,816239,266154,230
2011-10-27$27.04$24.2831.9%9.1%47.6%14.6%35.7%8.2%0.8%1.6M-200.6M-961.0K0.488.0716,0097,613242,232155,422
2011-10-28$26.91$24.2830.6%8.8%44.6%12.1%34.1%8.2%2.0%1.7M-201.2M-992.4K0.558.165,3332,922249,707156,396
2011-10-31$25.87$24.2836.2%10.4%46.3%23.2%38.2%8.9%-0.2%1.4M-159.9M-1.0M0.887.953,1832,815251,920157,043