IP Options History — November 2011

In November 2011, IP traded between $23.89 and $27.40. ATM implied volatility averaged 40.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 4.5% (HV 20d: 45.4%). Max pain ranged from $24.28 to $26.15. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2011-11-11: Highest Volume — 796,914 contracts
  • 2011-11-09: Largest IV spike — 31.5% change
  • 2011-11-25: Highest IV Rank — 40.7%
  • 2011-11-25: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.88$23.89$27.40$25.21$26.52
Max Pain$25.75$24.28$26.15$24.28$26.15
ATM IV40.8%33.7%44.9%44.7%37.8%
Expected Move11.7%10.2%12.9%12.8%10.8%
HV 20d45.4%35.9%48.9%47.6%41.4%
HV 60d50.3%46.6%54.5%54.5%46.6%
IV Rank32.5%18.3%40.7%40.3%26.5%
IV Percentile77.2%58.3%86.5%86.5%69.8%
Term Structure-0.6%-2.0%1.1%-2.0%0.2%
VWIV42.0%36.3%47.4%45.3%37.2%
Skew 25d9.2%7.0%11.3%11.3%8.3%
Skew 10d19.5%15.1%25.2%25.2%16.3%
Call IV 25d36.8%31.5%41.9%39.5%33.1%
Put IV 25d45.9%40.8%50.8%50.8%41.4%
Bid-Ask Spread %7.166.059.339.337.08
Gamma HHI0.130.090.490.100.11
Net GEX-495.7K-11.4M2.2M924.9K-620.8K
Net DEX-69.0M-231.2M81.6M-129.8M-21.6M
Net VEX-1.0M-1.2M-946.3K-1.0M-946.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.013.571.790.80
Total Volume47,547.4291,451796,91418,15513,302
Total OI409,165.571376,077456,872411,611390,609

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$25.21$24.2844.7%12.8%47.6%40.3%45.3%11.3%-2.0%924.9K-129.8M-1.0M1.799.336,51711,638252,772158,839
2011-11-02$25.65$24.2841.8%12.0%46.6%34.4%44.4%10.4%-0.8%831.6K-145.7M-1.1M0.526.303,9332,035255,847167,287
2011-11-03$26.57$24.2838.1%10.9%47.6%27.1%40.0%9.2%-0.0%1.6M-189.8M-1.1M0.676.185,5053,711257,691166,779
2011-11-04$26.91$25.2234.6%10.4%46.6%20.0%39.2%9.9%1.1%1.9M-206.7M-1.0M1.318.571,6092,101259,039167,812
2011-11-07$26.81$25.2234.9%10.4%45.0%20.7%37.6%9.3%0.6%1.9M-200.7M-1.0M2.196.131,8804,107259,423168,245
2011-11-08$27.40$25.2233.7%10.2%45.3%18.3%36.3%9.3%0.5%2.2M-231.2M-996.2K0.266.0510,9892,873260,362171,339
2011-11-09$26.21$26.1544.3%12.3%48.7%39.6%41.9%10.5%-0.9%1.4M-176.9M-1.1M1.746.337,50513,091265,563173,108
2011-11-10$26.46$26.1541.7%12.0%48.7%34.3%47.4%10.4%-0.7%1.5M-185.2M-1.1M1.677.873,1845,319270,908181,785
2011-11-11$26.98$26.1539.7%11.4%48.9%30.4%41.7%10.4%0.1%1.9M-213.0M-1.2M0.016.06786,9279,987270,998185,874
2011-11-14$26.29$26.1542.2%12.1%47.9%35.3%42.5%10.1%-1.2%470.5K-22.2M-1.1M2.796.693,4109,505207,871189,121
2011-11-15$26.28$26.1541.2%11.8%46.9%33.2%40.5%9.6%-1.3%616.9K-22.3M-1.1M1.876.992,8925,400208,643190,286
2011-11-16$26.16$26.1541.3%11.8%46.1%33.5%40.9%9.7%-1.2%390.4K-14.2M-1.1M2.537.951,5924,025208,148189,821
2011-11-17$25.99$26.1541.6%11.9%46.3%34.0%43.6%9.1%-1.0%143.6K-3.5M-1.0M1.668.2610,28317,084207,340190,320
2011-11-18$26.17$26.1541.0%11.8%46.2%33.0%41.0%9.1%-0.2%-11.4M-11.1M-1.1M0.927.393,8053,505210,458201,098
2011-11-21$25.33$26.1542.7%12.2%46.7%36.3%43.0%8.2%-0.6%-1.4M26.2M-1.0M2.156.602,5815,560199,878176,199
2011-11-22$24.87$26.1541.4%11.9%46.7%33.7%41.5%8.0%-0.5%-2.1M46.2M-995.6K1.016.443,8033,822200,872179,468
2011-11-23$23.89$26.1543.9%12.6%48.7%38.6%44.3%7.3%-1.0%-2.8M81.6M-952.9K3.577.603,39412,103201,662180,258
2011-11-25$24.18$26.1544.9%12.9%36.7%40.7%44.6%7.8%-1.4%-2.8M73.3M-966.1K0.797.12810641201,610186,624
2011-11-28$24.73$26.1544.2%12.7%38.1%39.3%45.7%7.3%-1.7%-2.6M51.8M-955.1K1.807.711,6192,918201,909186,477
2011-11-29$24.91$26.1541.6%11.9%35.9%34.0%43.2%7.0%-1.0%-2.4M46.2M-953.1K1.217.781,6011,930202,394187,740
2011-11-30$26.52$26.1537.8%10.8%41.4%26.5%37.2%8.3%0.2%-620.8K-21.6M-946.3K0.807.087,3885,914202,905187,704