IP Options History — April 2012

In April 2012, IP traded between $30.16 and $32.85. ATM implied volatility averaged 26.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.6% (HV 20d: 22.5%). Max pain ranged from $29.88 to $33.62. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-04-20: Highest Volume — 14,768 contracts
  • 2012-04-12: Largest IV spike — 21.2% change
  • 2012-04-23: Highest IV Rank — 19.6%
  • 2012-04-10: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.31$30.16$32.85$32.85$31.11
Max Pain$31.19$29.88$33.62$29.88$30.82
ATM IV26.2%20.1%30.8%20.5%25.6%
Expected Move7.7%5.8%9.0%5.9%7.3%
HV 20d22.5%19.0%24.6%20.2%23.6%
HV 60d22.4%21.3%23.5%21.6%22.6%
IV Rank11.1%0.0%19.6%0.3%10.1%
IV Percentile23.9%0.0%48.4%1.2%19.0%
Term Structure0.5%-2.1%6.0%5.1%0.1%
VWIV27.4%20.0%32.0%20.0%25.5%
Skew 25d6.5%4.0%8.0%4.3%4.9%
Skew 10d14.0%8.2%17.4%10.6%9.6%
Call IV 25d24.2%18.7%28.6%18.7%22.8%
Put IV 25d30.7%22.8%36.6%23.0%27.8%
Bid-Ask Spread %6.524.3512.434.405.64
Gamma HHI0.130.090.400.140.13
Net GEX2.1M310.8K5.3M3.0M1.5M
Net DEX-76.4M-145.0M-24.0M-145.0M-53.9M
Net VEX-898.3K-933.8K-851.8K-879.1K-873.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.081.711.520.97
Total Volume5,846.551,84114,7684,5673,310
Total OI219,230.95165,914247,736230,165180,814

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$32.85$29.8820.5%5.9%20.2%0.3%20.0%4.3%5.1%3.0M-145.0M-879.1K1.524.401,8102,75796,683133,482
2012-04-03$32.67$29.8820.3%5.8%20.0%0.0%20.8%4.5%5.5%2.6M-130.4M-916.4K0.414.412,5131,03897,053134,312
2012-04-04$32.78$29.8820.7%5.9%19.7%0.8%21.7%4.0%5.6%2.9M-137.9M-930.4K0.768.821,4711,11698,306135,018
2012-04-05$32.56$29.8820.1%5.8%19.0%0.0%22.0%4.1%6.0%2.8M-136.0M-893.7K0.414.351,46559698,245135,104
2012-04-09$31.72$33.6223.4%8.2%21.1%6.1%30.3%7.5%-1.2%2.3M-91.8M-916.4K0.506.353,3141,65898,499135,216
2012-04-10$30.51$32.6927.5%9.0%24.6%13.6%31.5%8.0%-1.4%1.1M-33.7M-910.2K0.476.238,8644,19099,344135,670
2012-04-11$30.58$31.7524.9%8.8%22.6%8.8%30.9%7.8%-0.9%1.6M-45.5M-922.5K0.335.722,325776102,816135,424
2012-04-12$31.07$31.7530.2%8.6%23.4%18.5%29.0%7.5%-1.1%2.2M-69.5M-932.9K0.656.841,118723103,808135,744
2012-04-13$30.79$31.7530.6%8.8%23.2%19.3%32.0%7.8%-1.1%2.0M-55.2M-909.1K0.087.508,708735103,666135,506
2012-04-16$30.69$31.7530.3%8.7%23.1%18.7%29.7%7.8%-1.0%2.1M-70.7M-933.8K1.297.191,4531,879111,915135,821
2012-04-17$31.02$31.7529.7%8.5%23.7%17.7%29.6%7.4%-1.4%2.5M-81.0M-900.9K0.816.952,0881,681108,421135,605
2012-04-18$30.87$31.7529.1%8.4%23.7%16.6%29.7%7.3%-0.6%2.4M-72.7M-892.8K0.516.033,2461,656108,339135,827
2012-04-19$30.78$31.7528.6%8.2%23.1%15.6%29.0%7.3%-0.5%2.4M-67.2M-891.6K0.237.342,829659108,300136,288
2012-04-20$30.84$30.8227.4%7.9%22.6%13.5%29.2%7.1%-0.2%5.3M-75.2M-851.8K0.866.167,9416,827108,372136,224
2012-04-23$30.16$30.8230.8%8.8%23.4%19.6%31.1%7.4%-2.1%310.8K-24.0M-873.0K1.285.524,8076,13475,64690,268
2012-04-24$30.65$30.8227.6%7.9%22.6%13.7%29.0%7.1%-0.5%492.5K-36.5M-894.7K1.716.422,0483,50477,75393,865
2012-04-25$31.33$30.8225.4%7.3%24.4%9.8%25.7%7.0%-0.6%1.1M-58.4M-892.1K0.285.793,44695879,02694,024
2012-04-26$31.52$30.8227.9%8.0%23.3%14.2%29.0%5.5%-1.5%1.5M-68.4M-893.8K0.9512.435,6245,31580,93894,150
2012-04-27$31.61$30.8222.4%6.4%23.1%4.3%23.3%5.0%1.8%2.0M-74.4M-856.3K0.366.414,6541,69583,11496,013
2012-04-30$31.11$30.8225.6%7.3%23.6%10.1%25.5%4.9%0.1%1.5M-53.9M-873.7K0.975.641,6781,63284,04396,771