IP Options History — January 2012

In January 2012, IP traded between $27.99 and $30.31. ATM implied volatility averaged 28.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.2% (HV 20d: 20.7%). Max pain ranged from $26.15 to $28.95. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2012-01-24: Highest Volume — 18,556 contracts
  • 2012-01-12: Largest IV spike — 27.5% change
  • 2012-01-31: Highest IV Rank — 22.9%
  • 2012-01-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.24$27.99$30.31$27.99$29.08
Max Pain$27.97$26.15$28.95$26.15$28.95
ATM IV28.9%23.1%34.9%29.4%34.9%
Expected Move8.8%7.6%10.0%8.4%10.0%
HV 20d20.7%11.4%26.2%26.2%22.0%
HV 60d36.1%31.3%39.1%39.1%31.3%
IV Rank10.8%0.0%22.9%9.7%22.9%
IV Percentile26.8%0.0%59.5%28.2%59.5%
Term Structure-0.0%-4.2%6.5%4.8%-4.2%
VWIV31.9%27.7%37.8%32.2%35.4%
Skew 25d7.6%5.2%8.5%7.5%7.9%
Skew 10d16.2%12.5%18.6%14.9%17.8%
Call IV 25d26.9%23.7%30.9%26.6%30.9%
Put IV 25d34.5%28.9%38.8%34.1%38.8%
Bid-Ask Spread %5.863.2414.186.194.48
Gamma HHI0.170.120.230.200.12
Net GEX2.6M388.5K4.4M2.8M474.6K
Net DEX-123.1M-201.2M-36.2M-102.7M-39.0M
Net VEX-726.3K-868.2K-653.8K-733.6K-849.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.213.851.250.64
Total Volume9,9772,89918,5567,8587,521
Total OI272,001.75144,892347,947309,769184,211

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$27.99$26.1529.4%8.4%26.2%9.7%32.2%7.5%4.8%2.8M-102.7M-733.6K1.256.193,4944,364122,570187,199
2012-01-04$28.11$26.1526.9%7.7%26.0%4.6%33.5%5.9%5.5%3.4M-110.5M-713.2K1.2410.873,7844,676123,156187,768
2012-01-05$28.44$26.1526.5%7.6%25.4%3.8%28.8%5.2%6.5%3.5M-126.1M-701.5K1.5114.183,5455,337123,473187,051
2012-01-06$28.89$28.0223.8%9.2%25.8%0.0%33.4%8.5%-0.2%4.0M-150.8M-682.0K0.725.785,5553,995124,848188,585
2012-01-09$29.02$28.0223.3%9.1%21.6%0.0%32.8%8.1%-0.5%4.4M-163.8M-653.8K1.955.215,0179,768126,603190,326
2012-01-10$29.25$28.0223.8%9.0%20.9%1.0%31.1%8.0%-0.4%4.1M-171.8M-663.4K0.815.277,3025,896127,211196,140
2012-01-11$29.08$28.0223.1%9.0%19.7%0.0%32.9%8.2%-0.2%4.2M-156.9M-684.4K1.444.821,5872,278127,226197,849
2012-01-12$29.64$28.0229.5%8.4%17.9%12.4%30.3%7.7%0.7%3.9M-183.9M-665.7K2.454.554,44810,904127,612199,003
2012-01-13$29.41$28.0232.0%9.2%18.6%17.3%37.8%8.3%-0.1%3.6M-177.2M-696.8K3.125.543,0029,366128,809208,138
2012-01-17$29.59$28.0230.1%8.6%18.6%13.6%32.4%8.2%0.4%3.3M-178.8M-699.3K1.095.411,9382,110129,179216,250
2012-01-18$29.95$28.0229.5%8.5%18.7%12.4%29.4%7.9%0.4%2.9M-195.4M-674.9K0.375.222,9451,089129,503215,652
2012-01-19$30.29$28.0230.1%8.6%16.6%13.6%29.8%7.8%-0.1%2.0M-201.2M-670.2K2.004.464,8879,797128,363216,155
2012-01-20$30.31$28.0228.2%8.1%11.4%9.9%27.7%7.7%0.4%2.0M-197.7M-688.3K0.214.728,8891,830129,236218,711
2012-01-23$29.35$28.0229.4%8.4%17.8%12.2%29.3%7.6%-1.2%1.1M-52.7M-691.1K0.493.248,4404,13660,83484,058
2012-01-24$30.03$28.0228.8%8.3%19.0%11.1%28.3%7.4%-1.3%1.9M-77.9M-707.4K0.875.209,9498,60766,96486,049
2012-01-25$29.25$28.9531.1%8.9%22.0%15.4%32.4%7.8%-2.2%1.4M-51.0M-804.1K1.564.593,4635,38874,36492,252
2012-01-26$29.18$28.9531.4%9.0%22.0%16.2%31.5%7.4%-2.3%1.4M-48.8M-826.7K0.976.095,8035,64175,64294,620
2012-01-27$28.93$28.9532.7%9.4%22.3%18.6%33.7%7.9%-2.7%876.4K-38.8M-851.3K3.855.302,0397,85178,59899,082
2012-01-30$29.03$28.9534.4%9.9%22.0%22.0%35.7%8.1%-3.9%388.5K-36.2M-868.2K0.896.011,5301,36979,037107,708
2012-01-31$29.08$28.9534.9%10.0%22.0%22.9%35.4%7.9%-4.2%474.6K-39.0M-849.6K0.644.484,5852,93679,387104,824