IP Options History — July 2012

In July 2012, IP traded between $26.67 and $31.15. ATM implied volatility averaged 29.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.4% (HV 20d: 30.5%). Max pain ranged from $27.08 to $28.02. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2012-07-16: Highest Volume — 11,996 contracts
  • 2012-07-26: Largest IV drop — 19.6% change
  • 2012-07-25: Highest IV Rank — 29.0%
  • 2012-07-25: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.96$26.67$31.15$27.05$30.64
Max Pain$27.57$27.08$28.02$28.02$28.02
ATM IV29.1%23.3%35.9%24.7%27.7%
Expected Move8.6%6.7%10.3%7.1%7.9%
HV 20d30.5%28.5%33.6%31.0%29.9%
HV 60d29.2%27.2%31.0%28.4%30.7%
IV Rank16.6%5.8%29.0%8.4%13.9%
IV Percentile37.5%9.9%64.3%16.7%29.4%
Term Structure-0.6%-3.9%5.7%5.7%0.1%
VWIV30.7%24.8%34.4%25.7%29.0%
Skew 25d8.1%5.7%10.1%7.2%7.1%
Skew 10d17.4%11.5%21.9%19.4%15.9%
Call IV 25d26.8%22.4%30.6%22.9%25.0%
Put IV 25d35.0%28.1%40.7%30.2%32.1%
Bid-Ask Spread %7.345.5111.809.558.04
Gamma HHI0.140.080.200.160.10
Net GEX621.1K-2.2M2.2M-1.5M1.8M
Net DEX-30.5M-117.5M59.9M47.9M-74.9M
Net VEX-747.3K-774.1K-690.4K-740.5K-762.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.192.920.411.35
Total Volume6,082.0481,86811,9963,7934,108
Total OI199,515150,251235,224210,325161,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$27.05$28.0224.7%7.1%31.0%8.4%25.7%7.2%5.7%-1.5M47.9M-740.5K0.419.552,6941,09992,878117,447
2012-07-03$27.62$28.0223.5%6.8%31.7%6.3%24.8%5.7%4.7%-490.7K18.4M-749.4K0.877.532,0581,78193,619117,827
2012-07-05$27.56$28.0223.3%6.7%28.8%5.8%27.1%5.7%5.2%-552.1K24.6M-743.1K2.9211.804761,39294,402118,011
2012-07-06$27.15$27.0823.9%8.6%29.3%6.9%30.9%8.6%-0.3%-1.2M40.0M-721.2K0.376.601,72363094,497118,016
2012-07-09$27.00$27.0825.2%8.8%29.3%9.4%28.7%8.8%-0.8%-1.5M48.6M-701.9K0.496.451,56777195,499118,440
2012-07-10$26.67$27.0826.1%8.9%28.5%11.0%30.4%8.4%-0.9%-2.2M59.9M-690.4K1.577.471,4492,27496,371118,942
2012-07-11$27.75$27.0827.7%9.1%31.1%14.0%32.9%8.8%-1.3%-28.7K17.8M-741.0K0.727.124,9603,59496,929120,301
2012-07-12$28.06$27.0832.1%9.2%30.4%22.1%33.0%8.5%-1.4%765.4K2.5M-750.7K1.456.991,6192,34998,997122,495
2012-07-13$28.72$27.0830.7%8.8%31.3%19.4%31.0%8.4%-1.2%1.6M-33.7M-756.4K0.457.276,3742,85299,146123,598
2012-07-16$28.67$27.0833.1%9.5%31.3%23.8%33.5%9.3%-2.8%2.1M-32.6M-738.5K0.897.536,3585,638100,834123,903
2012-07-17$29.77$27.0832.0%9.2%33.6%21.9%33.4%8.1%-2.3%2.2M-82.8M-755.4K0.616.306,1153,731104,205125,838
2012-07-18$30.19$27.0832.3%9.3%32.8%22.4%31.1%8.6%-2.8%2.2M-105.3M-751.8K0.435.514,8582,086105,555126,903
2012-07-19$30.44$27.0830.3%8.7%32.5%18.8%31.6%8.0%-1.8%2.1M-117.5M-739.0K0.396.363,4941,346106,931126,665
2012-07-20$30.16$28.0231.6%9.1%30.7%21.1%31.5%8.8%-1.7%1.1M-110.9M-753.9K0.595.915,8973,466107,925127,299
2012-07-23$29.99$28.0232.6%9.4%30.8%23.0%34.4%8.5%-2.5%677.9K-48.6M-755.4K0.196.845,8911,11069,00081,251
2012-07-24$29.33$28.0235.6%10.2%28.7%28.5%34.1%10.1%-3.4%764.9K-35.6M-774.1K0.266.345,1171,33172,93781,477
2012-07-25$29.30$28.0235.9%10.3%28.5%29.0%34.3%9.9%-3.9%711.1K-33.9M-772.2K0.4610.413,3571,53373,05181,927
2012-07-26$30.30$28.0228.8%8.3%30.2%16.1%29.3%7.4%-0.4%1.2M-62.4M-760.0K0.596.214,8052,82973,28182,333
2012-07-27$31.15$28.0226.6%7.6%30.4%11.8%25.5%7.3%-0.0%1.4M-85.7M-762.8K0.638.136,6594,19774,61583,286
2012-07-30$30.67$28.0227.8%8.0%29.8%14.1%33.0%7.3%-0.1%1.8M-75.3M-773.7K0.815.812,2811,85479,01282,930
2012-07-31$30.64$28.0227.7%7.9%29.9%13.9%29.0%7.1%0.1%1.8M-74.9M-762.1K1.358.041,7512,35777,58983,653