IP Options History — December 2011

In December 2011, IP traded between $25.47 and $27.68. ATM implied volatility averaged 34.4%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.3% (HV 20d: 38.7%). Max pain ranged from $26.15 to $26.15. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-12-12: Highest Volume — 109,575 contracts
  • 2011-12-15: Largest IV drop — 12.7% change
  • 2011-12-13: Highest IV Rank — 33.3%
  • 2011-12-08: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.47$27.68$25.98$27.64
Max Pain$26.15$26.15$26.15$26.15$26.15
ATM IV34.4%28.4%41.2%37.5%28.8%
Expected Move9.7%8.1%11.1%10.8%8.3%
HV 20d38.7%28.3%41.9%41.8%28.3%
HV 60d44.1%39.2%46.8%46.8%39.2%
IV Rank19.7%7.7%33.3%25.9%8.4%
IV Percentile53.0%21.8%74.6%69.0%24.6%
Term Structure3.8%-0.1%5.6%-0.1%5.6%
VWIV35.4%28.6%40.0%39.0%31.6%
Skew 25d7.8%6.6%9.1%8.4%7.3%
Skew 10d16.1%13.5%18.4%17.9%13.5%
Call IV 25d30.7%25.3%35.4%34.1%26.9%
Put IV 25d38.5%31.9%44.5%42.5%34.2%
Bid-Ask Spread %6.595.098.808.605.22
Gamma HHI0.150.120.200.120.19
Net GEX-106.7K-3.6M2.5M-946.5K2.5M
Net DEX-31.6M-89.9M26.6M-1.5M-89.9M
Net VEX-848.9K-945.4K-765.7K-945.4K-765.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.043.080.801.84
Total Volume10,842.3332,108109,5752,4843,601
Total OI344,341.143290,707409,302392,865309,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$25.98$26.1537.5%10.8%41.8%25.9%39.0%8.4%-0.1%-946.5K-1.5M-945.4K0.808.601,3791,105206,197186,668
2011-12-02$26.87$26.1534.7%10.0%41.6%20.4%38.9%8.4%0.3%291.7K-42.3M-939.3K2.537.573,4908,813206,733186,621
2011-12-05$27.15$26.1536.0%10.1%41.6%22.9%34.6%8.5%3.8%1.0M-62.2M-903.0K0.895.701,4251,261208,541193,025
2011-12-06$26.74$26.1535.6%10.0%41.9%22.0%35.0%7.9%3.7%402.8K-40.5M-909.2K1.925.093,2736,294208,989191,753
2011-12-07$26.77$26.1536.6%10.1%41.1%24.1%40.0%8.0%3.7%446.5K-41.7M-925.9K3.085.569412,896209,919194,299
2011-12-08$25.88$26.1541.1%11.1%39.8%33.2%38.9%9.1%2.1%-1.1M3.0M-924.8K0.685.205,8453,989209,880194,510
2011-12-09$26.40$26.1536.3%10.6%40.4%23.4%39.2%8.6%3.1%-148.0K-23.0M-918.9K1.075.581,7281,841212,647196,357
2011-12-12$25.96$26.1539.8%10.9%40.1%30.4%39.0%8.7%2.7%-1.2M-2.7M-869.4K0.046.94105,4854,090212,759196,543
2011-12-13$25.47$26.1541.2%10.9%39.6%33.3%39.4%8.6%3.1%-2.5M26.6M-866.7K1.466.942,7644,040128,700198,390
2011-12-14$25.48$26.1541.0%11.1%39.6%33.0%38.3%8.0%3.4%-2.9M25.9M-862.5K1.205.321,7572,111129,398200,315
2011-12-15$25.71$26.1535.8%10.3%39.8%22.5%37.2%7.9%4.2%-3.0M13.1M-851.3K0.585.471,333775129,401200,559
2011-12-16$25.95$26.1533.6%9.6%39.9%18.1%33.3%6.8%5.3%-3.6M-2.9M-809.1K0.776.113,0612,358129,969200,570
2011-12-19$25.54$26.1535.1%10.1%40.2%21.0%35.9%7.8%4.4%-1.3M10.3M-794.1K1.586.323,1564,996112,638178,069
2011-12-20$26.62$26.1532.5%9.3%41.1%15.9%32.5%7.2%4.7%153.3K-35.5M-797.3K1.098.805,8526,407114,356180,058
2011-12-21$26.81$26.1530.0%8.6%40.3%10.8%32.4%7.0%4.8%694.6K-45.0M-816.2K2.296.351,1802,700116,633179,992
2011-12-22$27.05$26.1529.4%8.4%36.9%9.7%28.6%7.1%4.7%1.1M-53.6M-813.4K0.637.263,6592,303116,967180,979
2011-12-23$27.31$26.1528.4%8.1%36.8%7.7%31.6%6.6%5.2%1.7M-67.7M-795.6K1.047.541,7091,783118,736181,656
2011-12-27$27.48$26.1529.5%8.5%36.3%9.8%30.8%6.8%4.6%2.2M-77.4M-766.7K0.607.182,4831,501119,371181,843
2011-12-28$27.36$26.1531.4%9.0%36.4%13.7%32.8%7.7%4.6%1.8M-71.1M-775.1K1.047.743,6923,849120,027182,474
2011-12-29$27.68$26.1528.7%8.2%29.5%8.4%33.5%7.2%5.3%2.2M-86.6M-778.3K1.927.862,3134,451121,486184,122
2011-12-30$27.64$26.1528.8%8.3%28.3%8.4%31.6%7.3%5.6%2.5M-89.9M-765.7K1.845.221,2662,335122,555186,459