IP Options History — October 2012

In October 2012, IP traded between $32.93 and $35.67. ATM implied volatility averaged 27.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 1.4% (HV 20d: 25.7%). Max pain ranged from $30.82 to $33.62. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-10-17: Highest Volume — 101,800 contracts
  • 2012-10-11: Largest IV spike — 29.3% change
  • 2012-10-24: Highest IV Rank — 50.6%
  • 2012-10-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.34$32.93$35.67$33.77$33.46
Max Pain$32.60$30.82$33.62$30.82$33.62
ATM IV27.1%22.0%32.6%26.0%26.7%
Expected Move8.1%7.0%9.4%7.5%7.7%
HV 20d25.7%20.5%34.4%34.4%23.6%
HV 60d26.3%25.2%28.1%28.1%25.9%
IV Rank25.6%6.4%50.6%13.9%26.6%
IV Percentile40.9%6.3%79.0%31.3%39.3%
Term Structure0.4%-3.0%5.6%4.5%0.8%
VWIV29.0%25.4%31.4%28.1%28.0%
Skew 25d5.6%4.3%6.3%5.2%5.0%
Skew 10d11.5%8.9%13.4%11.3%8.9%
Call IV 25d25.7%21.8%29.3%23.8%24.7%
Put IV 25d31.3%26.1%35.4%29.0%29.7%
Bid-Ask Spread %7.664.9413.9410.4811.87
Gamma HHI0.170.140.250.180.16
Net GEX12.2M6.5M23.3M6.5M9.7M
Net DEX-244.0M-421.6M-116.3M-177.1M-136.8M
Net VEX-1.2M-1.5M-883.7K-883.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.021.980.111.58
Total Volume17,635.0481,200101,80041,3522,901
Total OI289,688.143232,256375,574232,256258,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$33.77$30.8226.0%7.5%34.4%13.9%28.1%5.2%4.5%6.5M-177.1M-883.7K0.1110.4837,2874,065113,634118,622
2012-10-02$33.61$30.8225.1%7.2%34.1%11.7%26.3%5.1%4.8%8.7M-196.7M-1.1M0.3512.5513,5014,711147,009120,133
2012-10-03$33.80$30.8224.3%7.0%34.1%11.2%25.4%4.7%5.6%11.1M-232.1M-1.2M0.6013.941,395842175,121123,286
2012-10-04$34.08$30.8224.5%7.0%31.4%14.0%25.5%4.3%5.4%10.6M-239.3M-1.1M1.0312.492,3342,402159,363123,322
2012-10-05$34.38$32.6922.0%8.2%30.7%6.4%29.5%5.8%-0.4%11.1M-256.8M-1.1M1.136.494,1644,715158,757123,106
2012-10-08$34.41$32.6923.5%8.4%26.1%12.0%30.8%6.0%-0.8%10.7M-239.8M-1.1M0.626.273,9912,472159,244124,255
2012-10-09$34.15$32.6923.4%8.4%26.0%12.3%31.4%6.0%-0.6%11.0M-240.4M-1.1M0.966.71612588158,430126,350
2012-10-10$34.19$32.6923.1%8.4%25.5%10.9%30.0%5.8%-0.8%11.3M-234.6M-1.1M0.477.114,3732,062158,197126,169
2012-10-11$34.78$32.6929.8%8.6%25.3%35.8%29.7%5.8%-1.2%11.9M-283.1M-1.1M0.225.2324,7395,525159,105126,907
2012-10-12$34.37$32.6929.8%8.5%25.6%35.7%29.3%6.1%-0.6%12.1M-258.7M-1.2M0.316.4010,2723,139166,119130,064
2012-10-15$35.11$32.6929.5%8.5%21.6%34.7%30.8%6.1%-0.9%14.2M-313.3M-1.2M0.275.935,8521,599173,170131,117
2012-10-16$35.67$32.6929.0%8.3%21.7%32.8%29.6%6.0%-0.8%14.7M-356.3M-1.1M0.255.3212,7103,201173,383130,240
2012-10-17$35.03$32.6928.4%8.2%23.3%31.1%29.9%5.9%-0.7%16.6M-315.0M-1.1M0.024.9499,9571,843180,606131,204
2012-10-18$35.63$32.6928.5%8.2%23.3%31.2%28.0%5.8%-0.9%23.3M-421.6M-1.5M0.075.339,298697244,555131,019
2012-10-19$34.95$32.6929.6%8.5%23.8%37.3%30.7%5.5%-1.1%14.9M-356.6M-1.5M0.895.864,0093,558242,414131,413
2012-10-22$35.14$33.6228.0%8.0%20.5%31.6%29.5%6.3%-1.1%14.1M-241.5M-1.4M0.246.294,5221,096193,80174,506
2012-10-23$34.35$33.6229.9%8.6%20.6%39.5%30.4%6.3%-1.9%12.6M-195.9M-1.3M1.985.731,1472,270196,31875,168
2012-10-24$33.98$33.6232.6%9.4%21.0%50.6%31.3%6.1%-3.0%11.4M-174.9M-1.3M0.407.038,6683,503196,49175,324
2012-10-25$32.93$33.6227.8%8.0%23.1%30.9%25.7%4.8%0.5%9.4M-116.3M-1.2M0.097.6561,1725,231201,39277,129
2012-10-26$33.30$33.6226.8%7.7%23.5%26.9%28.1%5.5%1.0%10.6M-137.1M-1.2M1.087.241,8822,031190,23278,740
2012-10-31$33.46$33.6226.7%7.7%23.6%26.6%28.0%5.0%0.8%9.7M-136.8M-1.1M1.5811.871,1251,776178,99479,042