IP Options History — August 2012

In August 2012, IP traded between $29.92 and $32.57. ATM implied volatility averaged 24.4%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.5% (HV 20d: 24.9%). Max pain ranged from $28.02 to $30.82. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2012-08-10: Highest Volume — 32,428 contracts
  • 2012-08-16: Largest IV spike — 14.1% change
  • 2012-08-02: Highest IV Rank — 16.9%
  • 2012-08-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.61$29.92$32.57$30.29$32.28
Max Pain$29.72$28.02$30.82$28.02$30.82
ATM IV24.4%21.3%29.3%29.2%23.9%
Expected Move7.2%6.5%8.4%8.4%6.8%
HV 20d24.9%18.3%30.5%30.0%18.3%
HV 60d29.1%26.3%31.1%30.7%26.3%
IV Rank9.3%2.8%16.9%16.7%8.9%
IV Percentile17.9%3.6%38.1%37.7%17.9%
Term Structure1.2%-0.7%3.1%-0.7%2.2%
VWIV26.2%22.3%32.6%26.5%24.5%
Skew 25d5.8%4.6%7.5%7.5%4.8%
Skew 10d12.4%9.2%16.8%16.3%9.9%
Call IV 25d23.2%21.3%26.9%25.6%23.2%
Put IV 25d29.0%26.3%33.5%33.1%28.0%
Bid-Ask Spread %6.575.099.189.187.69
Gamma HHI0.140.100.180.100.14
Net GEX2.4M1.4M3.2M1.7M3.0M
Net DEX-87.2M-110.8M-55.2M-64.8M-97.6M
Net VEX-753.6K-817.3K-712.9K-785.9K-752.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.044.160.140.29
Total Volume6,002.26170432,4282,082704
Total OI173,804.826165,579182,699166,435176,565

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$30.29$28.0229.2%8.4%30.0%16.7%26.5%7.5%-0.7%1.7M-64.8M-785.9K0.149.181,82325981,52384,912
2012-08-02$29.92$28.0229.3%8.4%30.5%16.9%32.6%6.6%1.2%1.6M-55.2M-776.2K1.788.137,09712,61482,05685,025
2012-08-03$30.55$28.0225.3%7.2%30.2%9.4%28.9%6.5%3.1%1.4M-67.3M-817.3K1.108.741,7741,96183,38294,640
2012-08-06$30.63$29.8825.4%7.7%29.9%9.8%29.2%7.3%0.4%1.7M-70.6M-787.5K1.046.131,2691,31783,89994,350
2012-08-07$31.03$29.8824.9%7.6%29.1%8.7%27.8%6.9%0.7%2.2M-85.7M-778.7K2.465.931,3103,22284,20594,799
2012-08-08$30.58$29.8823.5%7.5%27.6%7.5%26.8%7.0%0.4%1.7M-67.4M-784.9K0.965.881,0721,03184,73995,618
2012-08-09$30.53$29.8822.9%7.4%27.6%6.1%25.2%7.0%0.5%1.8M-69.2M-776.1K1.357.241,7562,36284,80995,810
2012-08-10$30.72$29.8821.3%7.2%26.7%2.8%25.2%6.7%0.8%1.8M-72.3M-768.8K0.047.3831,2401,18885,38197,318
2012-08-13$31.70$29.8823.7%7.1%28.4%8.5%25.5%5.9%0.9%3.1M-85.6M-718.3K1.036.754,5314,67273,53696,952
2012-08-14$31.86$29.8823.3%7.2%25.6%7.4%26.7%6.1%0.8%3.1M-90.3M-751.8K1.536.002,2523,44775,42196,936
2012-08-15$32.07$29.8821.7%7.3%25.4%3.8%26.8%5.7%0.7%3.2M-101.7M-712.9K4.165.299924,12575,92597,778
2012-08-16$32.57$29.8824.8%7.1%25.7%11.0%24.8%5.5%1.0%2.6M-110.8M-745.0K0.426.9910,8214,57975,80799,876
2012-08-17$32.29$29.8823.0%6.6%25.7%6.9%24.8%5.3%1.6%2.4M-106.4M-744.2K0.576.052,1961,26079,148101,156
2012-08-20$32.26$30.8222.8%6.5%25.5%6.3%25.1%5.3%1.5%2.3M-93.8M-734.7K1.445.091,2471,79275,19190,388
2012-08-21$32.37$29.8822.8%6.5%23.6%6.4%24.4%5.0%1.6%2.4M-95.6M-740.0K1.657.451,8743,09975,53990,705
2012-08-22$32.42$29.8822.8%6.5%23.5%6.2%22.3%4.9%2.1%2.7M-100.7M-715.2K0.396.633,4461,33976,39090,347
2012-08-23$31.91$29.8825.0%7.2%22.1%11.5%23.5%4.6%1.7%2.5M-88.6M-726.9K0.996.072,7692,74578,38191,029
2012-08-24$32.27$29.8823.7%6.8%20.3%8.5%24.1%4.8%1.6%2.9M-100.1M-729.9K0.735.2846534080,07192,175
2012-08-27$32.18$29.8825.8%7.4%19.3%13.4%26.5%4.9%0.9%2.9M-95.1M-743.6K0.815.0945136680,36892,224
2012-08-28$32.07$29.8825.6%7.3%19.4%13.0%26.4%5.1%1.3%2.9M-90.3M-738.1K3.466.158472,93480,45692,323
2012-08-29$32.55$29.8824.1%6.9%19.1%9.5%27.8%4.9%1.8%3.2M-106.3M-745.1K1.475.159731,43080,74393,710
2012-08-30$32.09$29.8826.1%7.5%19.4%14.1%26.2%5.0%1.6%2.7M-90.0M-759.9K1.406.7144261981,22894,677
2012-08-31$32.28$30.8223.9%6.8%18.3%8.9%24.5%4.8%2.2%3.0M-97.6M-752.7K0.297.6954615881,44195,124