IP Options History — March 2012

In March 2012, IP traded between $32.47 and $33.89. ATM implied volatility averaged 22.6%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.2%). Max pain ranged from $28.02 to $29.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2012-03-15: Highest Volume — 20,203 contracts
  • 2012-03-15: Largest IV spike — 13.9% change
  • 2012-03-06: Highest IV Rank — 8.6%
  • 2012-03-06: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.08$32.47$33.89$32.87$32.78
Max Pain$28.74$28.02$29.88$29.88$29.88
ATM IV22.6%20.3%26.8%24.9%21.1%
Expected Move6.7%5.8%8.0%7.1%6.0%
HV 20d21.2%19.1%22.9%22.6%20.2%
HV 60d21.6%20.2%23.4%23.3%21.7%
IV Rank2.8%0.0%8.6%4.9%1.3%
IV Percentile3.1%0.0%14.7%5.6%1.6%
Term Structure4.3%1.4%5.3%1.4%5.3%
VWIV25.1%21.4%30.1%27.8%22.8%
Skew 25d4.7%3.4%6.0%4.8%4.5%
Skew 10d11.0%6.9%15.4%9.5%12.2%
Call IV 25d21.6%19.0%25.4%22.9%19.6%
Put IV 25d26.4%22.4%31.4%27.6%24.2%
Bid-Ask Spread %4.943.826.304.785.17
Gamma HHI0.120.110.180.120.13
Net GEX3.5M2.7M5.0M3.7M2.7M
Net DEX-172.9M-225.6M-137.5M-180.1M-137.5M
Net VEX-897.6K-993.2K-798.5K-932.2K-936.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.398.220.601.16
Total Volume6,214.0912,17420,2033,4842,174
Total OI222,607.136208,998236,672218,382229,383

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$32.87$29.8824.9%7.1%22.6%4.9%27.8%4.8%1.4%3.7M-180.1M-932.2K0.604.782,1791,30597,610120,772
2012-03-02$33.27$29.8823.4%6.7%22.7%2.0%25.0%4.6%2.3%3.5M-187.2M-935.5K0.754.642,9682,21597,682120,944
2012-03-05$33.14$28.0226.0%7.8%22.9%7.0%28.4%5.5%3.2%3.7M-187.6M-909.9K1.774.411,8033,19999,560121,987
2012-03-06$32.81$28.0226.8%8.0%22.8%8.6%29.4%6.0%3.1%3.6M-169.1M-988.6K0.395.216,3552,462100,191124,197
2012-03-07$32.47$28.0224.6%7.6%22.6%4.4%30.1%5.4%3.8%3.6M-155.9M-993.2K1.744.441,5952,777100,807124,551
2012-03-08$32.96$28.0224.3%7.6%22.5%3.9%28.0%5.4%3.9%3.8M-179.6M-940.5K0.574.441,8411,051100,777126,272
2012-03-09$32.90$28.0222.0%7.2%22.3%0.0%27.3%5.1%4.6%3.8M-175.4M-955.4K0.534.713,5711,890100,799126,152
2012-03-12$33.13$28.0223.4%7.3%22.2%2.8%26.4%5.3%4.2%4.2M-193.3M-899.6K0.974.281,6241,582102,282126,431
2012-03-13$33.89$28.0221.9%6.9%20.2%0.0%24.7%4.9%4.3%4.3M-225.6M-834.9K0.845.874,5453,808102,880126,645
2012-03-14$33.35$28.0220.3%7.0%21.5%0.0%26.2%5.4%4.1%4.2M-199.6M-881.3K0.605.032,9041,756103,157127,835
2012-03-15$33.56$28.0223.2%6.6%21.1%5.2%25.2%4.3%4.4%5.0M-210.3M-867.7K1.485.898,14712,056103,647128,192
2012-03-16$33.22$28.9521.7%6.2%20.2%2.4%23.1%4.6%5.2%3.1M-192.0M-872.9K1.285.941,6682,142104,211132,461
2012-03-19$33.10$28.9522.7%6.5%20.0%4.2%22.0%4.7%4.6%3.0M-157.2M-843.3K0.406.064,3771,75289,622119,376
2012-03-20$32.97$28.9522.0%6.3%20.0%3.0%22.7%4.3%4.7%3.3M-151.4M-890.6K0.856.302,7432,33892,822119,763
2012-03-21$33.32$28.9520.6%5.9%19.9%0.5%22.8%4.0%5.1%3.3M-167.6M-869.8K0.664.812,8651,88593,471121,485
2012-03-22$32.73$28.9522.2%6.4%21.1%3.5%23.9%4.4%4.9%3.2M-143.0M-906.3K1.283.821,7362,21393,720122,041
2012-03-23$32.86$28.9521.4%6.1%21.1%2.0%21.4%4.2%5.1%3.3M-153.5M-880.2K6.393.901,5419,84794,289123,011
2012-03-26$33.60$28.9520.3%5.8%20.0%0.0%23.1%3.4%4.9%3.5M-184.3M-798.5K1.553.842,4103,73294,693121,730
2012-03-27$33.37$28.9520.5%5.9%19.1%0.2%23.2%4.1%4.7%3.2M-167.8M-844.0K1.565.003,4945,43695,343123,603
2012-03-28$32.56$28.9522.0%6.3%20.5%3.1%23.8%4.5%5.1%2.9M-140.4M-874.4K1.205.311,7612,11395,504125,254
2012-03-29$32.84$29.8822.1%6.3%20.7%3.2%24.7%5.1%5.0%2.8M-144.6M-892.5K8.224.809607,89096,071126,134
2012-03-30$32.78$29.8821.1%6.0%20.2%1.3%22.8%4.5%5.3%2.7M-137.5M-936.9K1.165.171,0071,16796,302133,081