IP Options History — June 2012

In June 2012, IP traded between $25.97 and $27.95. ATM implied volatility averaged 29.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.5% (HV 20d: 31.5%). Max pain ranged from $28.02 to $28.95. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2012-06-14: Highest Volume — 10,751 contracts
  • 2012-06-29: Largest IV drop — 14.0% change
  • 2012-06-04: Highest IV Rank — 31.3%
  • 2012-06-04: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.85$25.97$27.95$26.27$27.00
Max Pain$28.33$28.02$28.95$28.02$28.02
ATM IV29.9%24.1%37.2%37.0%24.1%
Expected Move8.7%6.9%10.7%10.6%6.9%
HV 20d31.5%28.5%34.7%28.8%31.4%
HV 60d26.1%24.4%28.4%24.6%28.4%
IV Rank18.1%7.3%31.3%31.1%7.3%
IV Percentile38.8%12.7%67.1%67.1%12.7%
Term Structure3.5%0.3%6.1%0.3%6.1%
VWIV31.0%25.5%39.2%35.6%25.8%
Skew 25d8.2%6.5%10.0%9.5%6.5%
Skew 10d18.2%13.3%22.6%17.8%13.5%
Call IV 25d27.5%22.0%33.7%33.0%22.0%
Put IV 25d35.8%28.5%43.6%42.5%28.5%
Bid-Ask Spread %8.685.8211.655.8211.65
Gamma HHI0.160.110.270.130.17
Net GEX-932.3K-3.1M1.2M-721.2K-1.5M
Net DEX51.9M13.1M76.6M66.4M45.1M
Net VEX-802.6K-856.6K-738.3K-842.2K-744.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.192.430.331.79
Total Volume4,123.95288410,7514,6384,207
Total OI208,848.667195,167224,092208,731209,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$26.27$28.0237.0%10.6%28.8%31.1%35.6%9.5%0.3%-721.2K66.4M-842.2K0.335.823,4751,16396,447112,284
2012-06-04$25.97$28.9537.2%10.7%28.5%31.3%39.2%10.0%1.2%-1.1M76.6M-815.7K0.429.185,6232,35596,606112,246
2012-06-05$26.22$28.9534.9%10.4%29.1%27.2%36.1%9.4%1.5%-932.0K69.2M-822.5K1.0711.0292599197,783112,711
2012-06-06$27.24$28.9530.3%9.4%33.1%18.8%31.8%8.9%2.7%443.7K38.2M-856.6K0.4111.433,2401,33497,461112,815
2012-06-07$27.29$28.9530.2%9.4%33.1%18.5%31.9%8.9%2.7%647.9K37.2M-853.3K0.196.352,70152098,135113,134
2012-06-08$27.34$28.9529.8%9.3%33.2%17.8%31.0%8.5%2.6%1.2M35.1M-851.8K1.117.6366874199,779113,195
2012-06-11$26.72$28.9533.3%9.6%33.8%24.3%32.5%9.3%2.5%-220.4K56.6M-808.8K0.627.562,0241,25099,951113,225
2012-06-12$27.22$28.9531.1%9.4%34.4%20.2%33.4%8.8%2.7%950.7K43.5M-821.4K1.668.437151,190100,491113,972
2012-06-13$26.71$28.0231.3%9.4%34.7%20.5%33.4%9.4%3.0%-877.0K61.8M-806.1K2.047.19291593100,305114,913
2012-06-14$26.88$28.0232.4%9.3%33.7%22.6%33.9%9.0%3.1%-725.0K58.2M-801.4K1.577.974,1806,571100,409115,116
2012-06-15$26.93$28.0230.1%8.6%29.9%18.3%31.7%8.5%3.9%-3.1M64.4M-818.0K2.438.439362,277103,949120,143
2012-06-18$27.23$28.0227.8%8.0%30.1%14.1%27.5%7.6%3.7%-1.1M37.9M-789.9K0.717.713,4252,42185,578109,589
2012-06-19$27.95$28.0225.7%7.4%28.9%10.4%25.5%7.3%4.4%-434.7K13.1M-806.4K1.177.783,6574,27987,335110,010
2012-06-20$27.71$28.0224.4%7.0%28.9%7.9%25.7%6.8%5.1%-589.4K21.3M-818.5K0.748.5689866889,593113,120
2012-06-21$26.96$28.0227.1%7.8%30.4%12.9%25.7%7.4%5.1%-1.2M45.2M-797.3K0.799.261,15691789,739113,210
2012-06-22$27.29$28.0226.3%7.5%30.7%11.3%28.9%6.6%5.3%-903.2K34.1M-793.5K1.197.563,0963,69789,639112,965
2012-06-25$26.33$28.0229.9%8.6%33.0%18.0%31.0%7.7%4.1%-2.0M65.6M-761.8K1.379.559481,29690,749115,620
2012-06-26$26.16$28.0229.4%8.4%32.0%17.1%28.1%7.6%4.3%-2.5M73.6M-754.2K0.488.784,4062,12090,515115,858
2012-06-27$26.31$28.0228.3%8.1%31.4%15.0%32.2%8.0%5.0%-2.3M71.0M-753.0K1.5510.587691,18991,587117,415
2012-06-28$26.05$28.0228.0%8.0%31.5%14.5%30.2%7.3%5.3%-2.5M76.3M-738.3K1.179.781,7031,98891,829117,394
2012-06-29$27.00$28.0224.1%6.9%31.4%7.3%25.8%6.5%6.1%-1.5M45.1M-744.3K1.7911.651,5102,69791,998117,009