IP Options History — May 2012

In May 2012, IP traded between $26.89 and $31.19. ATM implied volatility averaged 29.8%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.6% (HV 20d: 23.3%). Max pain ranged from $28.02 to $30.82. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-05-08: Highest Volume — 16,286 contracts
  • 2012-05-21: Largest IV drop — 14.2% change
  • 2012-05-17: Highest IV Rank — 28.4%
  • 2012-05-17: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.66$26.89$31.19$31.19$27.27
Max Pain$29.67$28.02$30.82$30.82$28.02
ATM IV29.8%24.2%35.6%24.5%32.5%
Expected Move8.6%6.9%10.2%7.0%9.3%
HV 20d23.3%18.1%28.1%23.6%26.9%
HV 60d22.7%21.0%24.6%22.6%23.6%
IV Rank17.8%7.5%28.4%8.1%22.8%
IV Percentile40.8%13.1%64.7%14.3%54.8%
Term Structure0.7%-0.4%1.9%0.5%1.9%
VWIV30.2%24.9%36.2%24.9%30.1%
Skew 25d7.2%4.8%9.0%4.9%8.5%
Skew 10d14.3%8.4%17.0%8.4%16.9%
Call IV 25d27.2%21.4%33.3%21.4%28.7%
Put IV 25d34.4%26.3%41.7%26.3%37.2%
Bid-Ask Spread %5.544.637.155.266.98
Gamma HHI0.090.080.150.140.09
Net GEX-437.5K-1.6M2.0M2.0M-890.2K
Net DEX20.6M-62.0M90.5M-62.0M42.7M
Net VEX-854.1K-899.2K-793.5K-848.6K-869.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.322.451.030.32
Total Volume6,375.6821,48316,2868,19714,140
Total OI193,723.273179,944207,262183,033198,858

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$31.19$30.8224.5%7.0%23.6%8.1%24.9%4.9%0.5%2.0M-62.0M-848.6K1.035.264,0364,16185,52497,509
2012-05-02$31.13$30.8224.2%6.9%23.6%7.5%26.9%4.8%0.9%1.8M-56.4M-880.4K1.685.231,5972,68986,88698,571
2012-05-03$30.59$30.8224.3%7.0%24.1%7.7%26.6%5.5%1.3%1.1M-34.5M-889.5K2.455.311,6974,15687,33199,804
2012-05-04$30.01$30.8226.6%7.7%24.7%11.9%26.2%6.5%0.3%280.8K-13.1M-879.2K1.056.112,3392,44887,655102,707
2012-05-07$29.84$30.8227.0%7.7%23.3%12.7%27.2%6.7%0.4%-11.8K-6.0M-859.3K0.817.153,3562,70788,294104,362
2012-05-08$29.58$30.8227.3%7.9%19.2%13.2%28.5%6.9%0.3%-320.0K2.7M-865.9K1.254.827,2309,05687,086103,835
2012-05-09$29.28$30.8228.4%8.3%19.4%15.3%28.7%6.9%0.1%-692.7K20.8M-863.9K0.945.171,8351,72489,729107,708
2012-05-10$29.17$30.8228.7%8.2%18.2%15.9%29.2%6.6%0.2%-794.4K23.4M-860.5K1.296.0769689789,903108,100
2012-05-11$29.21$30.8228.5%8.2%18.1%15.5%28.4%6.7%0.2%-743.0K21.9M-857.2K0.505.4098949490,046108,035
2012-05-14$28.72$30.8229.8%8.5%18.8%17.8%30.2%7.0%-0.4%-1.1M37.8M-818.4K0.985.871,6211,58690,237107,340
2012-05-15$28.89$30.8230.5%8.7%18.4%19.1%29.3%7.4%-0.0%-993.6K30.8M-825.9K1.596.612,5013,98491,229107,289
2012-05-16$28.10$29.8832.1%9.2%20.3%22.1%31.5%8.1%-0.1%-1.3M58.0M-821.0K1.425.523,2624,62091,898109,892
2012-05-17$26.89$29.8835.6%10.2%24.7%28.4%36.2%8.4%-0.3%-1.6M90.5M-793.5K0.715.116,2154,44392,634112,562
2012-05-18$26.97$28.9535.2%10.1%24.7%27.7%34.2%9.0%0.1%-1.6M88.2M-805.5K1.105.293,5523,90893,823113,439
2012-05-21$27.93$28.9530.2%8.7%28.1%18.5%31.6%7.7%1.1%-869.5K30.0M-826.3K0.625.296,1923,85080,04299,902
2012-05-22$27.70$28.0230.7%8.8%27.1%19.5%32.7%7.6%1.3%-547.4K26.4M-849.3K1.445.031,8352,63482,951101,455
2012-05-23$27.82$28.0230.8%8.8%25.5%19.5%33.0%7.4%1.8%-524.2K23.9M-861.8K1.175.382,7863,26983,523103,241
2012-05-24$27.66$28.0230.7%8.8%25.1%19.5%30.6%7.6%1.9%-612.6K29.3M-871.9K1.105.362,2262,45084,668105,657
2012-05-25$27.37$28.0233.1%9.5%24.9%24.0%34.1%7.8%1.6%-779.3K37.7M-865.6K1.324.883,9375,21685,344106,795
2012-05-29$27.94$28.0231.0%8.9%26.5%20.1%31.4%8.7%1.5%-495.0K22.0M-899.2K0.414.631,22249587,527110,183
2012-05-30$27.34$28.0234.2%9.8%26.9%25.8%33.4%7.6%0.9%-843.2K39.4M-878.3K0.385.461,60660887,902110,436
2012-05-31$27.27$28.0232.5%9.3%26.9%22.8%30.1%8.5%1.9%-890.2K42.7M-869.8K0.326.9810,7033,43788,238110,620