IP Options History — September 2012

In September 2012, IP traded between $31.82 and $34.35. ATM implied volatility averaged 27.8%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.8% (HV 20d: 28.7%). Max pain ranged from $28.95 to $30.82. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2012-09-20: Highest Volume — 48,628 contracts
2012-09-10: Largest IV spike — 19.1% change
2012-09-20: Highest IV Rank — 29.0%
2012-09-20: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.94	$31.82	$34.35	$31.92	$33.92
Max Pain	$30.33	$28.95	$30.82	$30.82	$30.82
ATM IV	27.8%	23.7%	32.4%	27.2%	26.1%
Expected Move	8.0%	6.9%	9.3%	7.8%	7.5%
HV 20d	28.7%	18.5%	34.7%	18.9%	34.3%
HV 60d	27.9%	26.0%	28.9%	26.5%	28.3%
IV Rank	18.2%	8.5%	29.0%	16.6%	14.0%
IV Percentile	41.8%	16.3%	68.7%	35.7%	31.7%
Term Structure	1.0%	-2.4%	4.2%	0.7%	4.2%
VWIV	28.7%	24.5%	34.2%	27.2%	27.8%
Skew 25d	5.8%	4.7%	6.5%	5.3%	5.4%
Skew 10d	12.7%	10.0%	15.0%	10.0%	10.7%
Call IV 25d	25.7%	22.6%	30.5%	25.0%	23.6%
Put IV 25d	31.5%	28.1%	35.7%	30.3%	29.0%
Bid-Ask Spread %	7.36	5.47	10.96	5.83	10.96
Gamma HHI	0.22	0.14	0.35	0.14	0.18
Net GEX	5.8M	2.8M	10.6M	2.8M	6.2M
Net DEX	-149.2M	-230.1M	-84.4M	-85.1M	-183.3M
Net VEX	-852.4K	-999.8K	-677.3K	-735.9K	-907.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.13	1.53	1.03	0.26
Total Volume	13,595.474	708	48,628	708	2,958
Total OI	217,302.211	176,854	270,625	176,854	231,762

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$31.92	$30.82	27.2%	7.8%	18.9%	16.6%	27.2%	5.3%	0.7%	2.8M	-85.1M	-735.9K	1.03	5.83	348	360	81,700	95,154
2012-09-05	$31.92	$30.82	27.5%	7.9%	18.5%	17.5%	25.9%	5.5%	0.8%	2.8M	-84.4M	-734.8K	0.32	7.25	6,483	2,049	81,696	95,179
2012-09-06	$33.20	$30.82	24.0%	6.9%	21.9%	9.3%	26.4%	4.7%	1.3%	4.3M	-134.9M	-715.8K	1.12	5.65	2,807	3,155	85,589	96,408
2012-09-07	$33.90	$28.95	23.7%	7.3%	22.5%	8.5%	24.5%	6.0%	1.7%	5.0M	-161.0M	-677.3K	0.49	7.53	9,076	4,476	85,783	96,542
2012-09-10	$32.49	$29.88	28.2%	7.8%	28.2%	19.1%	28.4%	6.5%	1.1%	5.0M	-117.4M	-741.5K	0.31	7.25	16,819	5,294	95,227	98,227
2012-09-11	$32.20	$29.88	29.9%	8.2%	26.3%	23.2%	28.9%	6.3%	0.6%	4.2M	-109.4M	-827.6K	0.48	5.47	6,504	3,152	101,818	100,965
2012-09-12	$32.74	$29.88	28.0%	7.9%	26.9%	18.6%	29.2%	6.4%	0.9%	5.5M	-142.6M	-861.7K	1.53	9.36	2,273	3,488	105,878	102,722
2012-09-13	$33.40	$29.88	26.1%	7.5%	27.6%	14.0%	28.5%	6.1%	1.4%	6.5M	-172.9M	-871.1K	1.06	6.87	2,304	2,435	108,288	105,339
2012-09-14	$33.17	$29.88	26.0%	7.5%	27.3%	14.0%	25.9%	6.0%	1.3%	6.7M	-159.5M	-863.1K	0.51	6.38	4,947	2,501	108,078	105,766
2012-09-17	$31.92	$29.88	29.4%	8.4%	30.6%	21.9%	29.6%	6.4%	-0.4%	4.4M	-104.7M	-841.3K	1.47	7.47	5,188	7,605	111,131	105,883
2012-09-18	$31.82	$29.88	31.3%	9.0%	30.6%	26.4%	30.4%	5.3%	-1.7%	4.1M	-97.5M	-853.0K	0.13	10.25	22,184	2,990	114,884	109,759
2012-09-19	$31.87	$29.88	31.6%	9.1%	30.5%	27.1%	31.1%	4.9%	-1.8%	6.3M	-121.0M	-903.0K	1.05	6.67	3,946	4,135	131,443	110,016
2012-09-20	$32.41	$30.82	32.4%	9.3%	31.2%	29.0%	34.2%	5.2%	-2.4%	7.8M	-152.2M	-922.5K	1.12	7.51	22,922	25,706	132,071	111,600
2012-09-21	$33.16	$30.82	30.6%	8.8%	31.6%	24.7%	32.1%	6.3%	-1.4%	10.6M	-206.2M	-983.2K	0.35	7.45	21,221	7,469	140,210	130,415
2012-09-24	$34.35	$30.82	26.2%	7.5%	33.6%	14.4%	28.4%	5.8%	3.1%	7.1M	-230.1M	-903.5K	0.38	6.15	28,898	10,898	119,472	114,006
2012-09-25	$33.59	$30.82	27.7%	7.9%	34.7%	17.8%	29.0%	6.2%	2.9%	8.3M	-205.5M	-999.8K	0.79	6.06	3,231	2,561	131,551	117,283
2012-09-26	$33.65	$30.82	28.0%	8.0%	34.7%	18.6%	29.3%	6.1%	2.9%	5.6M	-170.6M	-943.8K	1.01	5.69	1,142	1,154	115,087	118,278
2012-09-27	$34.13	$30.82	24.9%	7.2%	34.7%	11.4%	28.5%	5.2%	4.2%	6.5M	-197.2M	-910.3K	0.31	10.11	4,310	1,325	114,979	118,553
2012-09-28	$33.92	$30.82	26.1%	7.5%	34.3%	14.0%	27.8%	5.4%	4.2%	6.2M	-183.3M	-907.1K	0.26	10.96	2,349	609	113,185	118,577