IP Options History — November 2012

In November 2012, IP traded between $31.40 and $34.84. ATM implied volatility averaged 26.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.1% (HV 20d: 28.1%). 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 21 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-11-27: Highest Volume — 52,235 contracts
  • 2012-11-05: Largest IV spike — 13.1% change
  • 2012-11-05: Highest IV Rank — 40.8%
  • 2012-11-08: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.14$31.40$34.84$34.49$34.68
Max Pain$32.46$30.82$33.62$33.62$32.69
ATM IV26.0%22.5%30.2%24.8%22.7%
Expected Move7.4%6.4%8.3%7.1%6.5%
HV 20d28.1%25.9%30.1%25.9%25.9%
HV 60d27.7%26.6%28.6%26.6%28.4%
IV Rank23.9%9.9%40.8%19.1%12.1%
IV Percentile35.9%8.7%68.7%27.0%10.7%
Term Structure1.5%0.8%2.4%1.6%2.3%
VWIV26.3%23.1%29.1%25.6%24.9%
Skew 25d4.0%3.2%4.9%4.2%3.4%
Skew 10d7.6%6.2%9.0%8.4%7.0%
Call IV 25d24.3%20.9%26.7%23.0%21.6%
Put IV 25d28.3%24.1%31.5%27.3%24.9%
Bid-Ask Spread %6.944.4711.7011.708.64
Gamma HHI0.160.130.240.170.18
Net GEX9.0M3.9M16.8M12.1M13.7M
Net DEX-115.0M-249.6M-19.8M-191.6M-220.1M
Net VEX-1.1M-1.3M-917.7K-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.041.860.570.44
Total Volume10,100.811,18752,2354,7442,814
Total OI260,799.905245,238286,647256,390269,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$34.49$33.6224.8%7.1%25.9%19.1%25.6%4.2%1.6%12.1M-191.6M-1.2M0.5711.703,0281,716176,61879,772
2012-11-02$33.55$33.6226.7%7.7%27.7%26.6%27.4%4.5%1.0%9.8M-136.9M-1.1M1.8610.441,6743,120177,20380,069
2012-11-05$33.03$32.6930.2%8.2%28.1%40.8%27.6%4.5%0.8%8.2M-108.2M-1.1M0.697.132,1911,503177,81281,322
2012-11-06$33.27$32.6928.0%7.8%28.0%31.8%27.2%4.4%1.2%8.7M-119.0M-1.1M0.676.13711476178,18581,558
2012-11-07$32.66$32.6928.1%8.0%28.6%32.1%28.3%4.6%0.9%7.0M-86.6M-1.0M0.675.491,9281,290178,43781,609
2012-11-08$32.20$32.6928.6%8.3%28.8%34.2%28.6%4.9%1.0%5.5M-62.9M-985.4K0.855.314,3833,729178,85382,108
2012-11-09$32.55$32.6926.1%7.9%29.2%24.3%29.1%4.8%1.2%6.4M-77.3M-1.0M0.665.676,1254,039181,65584,990
2012-11-12$32.37$32.6927.4%7.7%28.3%29.3%28.0%4.4%1.2%5.7M-69.9M-1.0M0.055.2543,1641,967185,51887,610
2012-11-13$32.09$32.6929.5%8.1%28.2%37.8%26.9%4.1%1.2%6.1M-57.4M-1.0M0.894.471,5321,362181,01786,766
2012-11-14$31.40$32.6928.0%8.0%27.3%31.7%27.3%4.3%1.4%3.9M-19.8M-917.7K0.794.672,2501,788181,13786,713
2012-11-15$31.43$32.6928.1%8.1%26.2%32.2%28.0%4.1%1.1%4.0M-21.7M-928.6K0.705.452,0391,419178,98187,072
2012-11-16$32.04$32.6927.5%7.9%27.3%29.6%27.0%4.0%1.3%6.2M-48.7M-963.9K1.054.754,3404,542179,06887,158
2012-11-19$33.24$32.6924.4%7.0%30.1%17.2%26.2%4.0%2.0%9.5M-112.0M-1.0M0.606.264,7322,839165,67279,566
2012-11-20$33.02$30.8225.0%7.2%29.6%19.7%26.6%4.0%1.9%9.2M-104.2M-1.0M0.438.091,232525168,62979,189
2012-11-21$33.12$30.8224.6%7.1%29.5%18.1%24.4%3.5%1.9%9.3M-106.9M-1.0M1.297.991,8672,415168,67279,456
2012-11-23$33.86$31.7523.3%6.7%29.8%12.9%24.2%3.5%2.1%11.4M-143.4M-1.0M1.255.961,0871,359169,15381,555
2012-11-26$33.71$31.7523.8%6.8%29.6%14.8%23.8%3.7%1.9%11.2M-135.6M-998.3K0.437.981,153491169,56381,485
2012-11-27$33.85$31.7524.2%6.9%27.3%16.5%24.2%3.6%1.7%11.6M-145.1M-1.0M0.068.1049,1723,063169,94781,509
2012-11-28$34.49$32.6922.6%6.5%27.8%10.2%23.1%3.3%2.1%13.6M-197.0M-1.2M0.046.2533,3931,479182,04683,002
2012-11-29$34.84$32.6922.5%6.4%27.9%9.9%24.2%3.2%2.4%16.8M-249.6M-1.3M0.4610.062,8661,314203,09483,553
2012-11-30$34.68$32.6922.7%6.5%25.9%12.1%24.9%3.4%2.3%13.7M-220.1M-1.3M0.448.641,958856185,50083,976