IP Options History — February 2012

In February 2012, IP traded between $28.90 and $32.83. ATM implied volatility averaged 25.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.1% (HV 20d: 22.7%). Max pain ranged from $28.95 to $29.88. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2012-02-10: Highest Volume — 47,793 contracts
  • 2012-02-02: Largest IV drop — 35.8% change
  • 2012-02-01: Highest IV Rank — 25.8%
  • 2012-02-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.53$28.90$32.83$29.31$32.83
Max Pain$29.32$28.95$29.88$28.95$29.88
ATM IV25.9%22.3%36.4%36.4%25.1%
Expected Move7.5%6.4%10.4%10.4%7.2%
HV 20d22.7%19.9%26.4%21.8%22.5%
HV 60d28.4%24.1%30.5%30.5%24.1%
IV Rank5.7%0.0%25.8%25.8%5.3%
IV Percentile10.2%0.0%65.1%65.1%6.0%
Term Structure1.1%-5.6%2.5%-5.6%1.4%
VWIV26.7%22.8%36.4%36.4%24.4%
Skew 25d6.0%4.5%8.8%8.8%4.5%
Skew 10d13.2%9.9%18.0%18.0%9.9%
Call IV 25d23.7%20.5%31.6%31.6%23.3%
Put IV 25d29.7%25.7%40.4%40.4%27.8%
Bid-Ask Spread %5.434.396.595.614.89
Gamma HHI0.180.120.300.130.12
Net GEX3.5M857.7K7.6M857.7K3.2M
Net DEX-102.2M-174.0M-39.0M-46.6M-174.0M
Net VEX-916.9K-994.8K-826.4K-860.8K-952.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.342.942.580.47
Total Volume11,017.652,71847,79312,26712,348
Total OI206,822.45187,153232,719187,153214,608

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$29.31$28.9536.4%10.4%21.8%25.8%36.4%8.8%-5.6%857.7K-46.6M-860.8K2.585.613,4268,84181,135106,018
2012-02-02$29.51$28.9523.4%6.7%21.8%0.5%25.6%6.0%2.3%1.1M-55.9M-826.4K2.205.245,74712,64282,325108,471
2012-02-03$29.74$28.9524.3%7.3%21.7%2.3%25.8%6.5%1.2%2.8M-74.5M-841.6K0.406.596,3752,55085,337103,919
2012-02-06$29.39$28.9526.9%7.7%21.6%7.4%28.5%6.0%0.8%2.7M-61.6M-833.1K2.945.681,2293,60988,974104,293
2012-02-07$29.05$28.9525.4%7.5%22.0%4.5%26.8%5.8%1.1%2.0M-46.7M-844.4K1.675.033,0265,03989,553106,643
2012-02-08$28.90$28.9524.1%7.4%21.9%2.0%26.4%6.1%1.2%1.6M-39.0M-862.4K0.345.082,02169790,352110,056
2012-02-09$29.40$28.9526.1%7.5%22.6%5.9%25.3%6.3%1.1%3.0M-58.9M-856.2K0.524.393,7491,93490,864110,316
2012-02-10$29.74$28.9527.0%7.7%22.0%7.6%31.0%6.6%1.5%3.7M-75.7M-885.7K0.476.0032,61715,17692,648111,148
2012-02-13$30.84$28.9527.8%8.0%25.1%9.1%28.5%6.4%0.6%4.9M-118.0M-923.5K0.376.2017,1376,31889,951123,267
2012-02-14$30.87$28.9528.0%8.0%25.1%9.5%28.7%6.5%0.7%5.2M-129.9M-969.7K0.396.278,5293,29097,319125,088
2012-02-15$30.68$28.9528.4%8.1%25.0%10.3%27.9%6.5%0.7%7.6M-127.6M-986.0K0.496.503,0551,495101,219126,214
2012-02-16$31.47$28.9526.7%7.7%26.2%7.0%27.6%6.6%1.4%6.3M-168.6M-951.1K0.715.835,3723,841102,100126,775
2012-02-17$31.25$29.8827.3%7.8%26.4%8.1%26.3%5.9%1.2%4.8M-161.5M-994.8K1.064.956,0236,391103,902128,817
2012-02-21$31.12$29.8825.7%7.4%23.3%5.1%24.6%5.7%1.5%2.8M-110.0M-958.7K1.545.733,8835,97788,112112,526
2012-02-22$30.91$29.8824.3%7.0%22.3%2.4%24.5%5.2%1.9%3.2M-103.5M-985.1K1.435.062,3123,30790,182112,759
2012-02-23$30.78$29.8823.2%6.7%19.9%0.2%24.0%5.1%2.4%3.4M-98.4M-989.4K1.864.929791,82291,147114,232
2012-02-24$30.74$29.8822.3%6.4%19.9%0.0%22.8%5.2%2.5%3.5M-96.8M-976.8K1.584.681,5962,52891,441115,219
2012-02-27$31.67$29.8822.5%6.5%21.6%0.3%24.4%5.4%2.2%3.6M-136.4M-930.6K0.735.072,9922,18492,286116,774
2012-02-28$32.34$29.8822.6%6.5%22.3%0.5%25.5%5.2%2.1%3.5M-161.0M-910.5K1.734.813,7676,52993,471116,988
2012-02-29$32.83$29.8825.1%7.2%22.5%5.3%24.4%4.5%1.4%3.2M-174.0M-952.0K0.474.898,4233,92594,920119,688