IP Options History — January 2013

In January 2013, IP traded between $37.37 and $39.70. ATM implied volatility averaged 22.3%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.0% (HV 20d: 17.3%). Max pain ranged from $32.69 to $37.36. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-01-25: Highest Volume — 64,811 contracts
  • 2013-01-10: Largest IV spike — 36.4% change
  • 2013-01-28: Highest IV Rank — 46.3%
  • 2013-01-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$37.37$39.70$37.81$38.68
Max Pain$36.60$32.69$37.36$32.69$37.36
ATM IV22.3%18.0%26.9%22.0%21.2%
Expected Move6.8%5.7%7.7%6.3%6.1%
HV 20d17.3%14.4%18.7%18.4%14.4%
HV 60d22.4%19.2%23.6%23.6%19.2%
IV Rank20.9%0.0%46.3%11.1%16.7%
IV Percentile17.9%0.0%57.9%6.0%6.3%
Term Structure-0.4%-4.1%5.2%4.9%-0.4%
VWIV24.2%20.7%28.0%22.4%20.8%
Skew 25d3.8%1.9%4.5%1.9%4.4%
Skew 10d8.1%4.2%10.9%4.2%7.7%
Call IV 25d21.9%18.5%25.1%21.4%18.5%
Put IV 25d25.7%22.7%28.8%23.2%22.9%
Bid-Ask Spread %6.333.6310.277.808.19
Gamma HHI0.210.150.510.210.16
Net GEX13.6M7.7M25.8M15.1M11.9M
Net DEX-307.6M-412.4M-199.7M-359.9M-210.0M
Net VEX-972.9K-1.5M-772.5K-912.9K-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.072.260.171.19
Total Volume11,191.0951,98264,81117,0771,982
Total OI223,471.762126,492259,064244,242216,819

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$37.81$32.6922.0%6.3%18.4%11.1%22.4%1.9%4.9%15.1M-359.9M-912.9K0.177.8014,5882,489157,08787,155
2013-01-03$37.70$32.6921.1%6.1%17.1%6.0%21.2%2.1%5.2%15.7M-345.2M-1.0M0.4610.274,0941,885167,58587,346
2013-01-04$38.15$36.4219.3%7.2%16.7%0.0%25.4%4.2%0.1%15.8M-364.2M-982.7K1.075.091,2491,332166,18988,278
2013-01-07$38.09$36.4219.4%7.2%16.7%0.3%27.3%4.3%-0.1%16.0M-365.2M-948.6K1.855.351,8373,399166,39089,087
2013-01-08$37.74$36.4218.8%7.4%17.5%0.0%26.1%3.8%-0.6%15.4M-350.3M-923.6K1.355.791,7542,362166,36890,587
2013-01-09$37.66$36.4218.0%7.3%17.7%0.0%26.0%3.6%-0.4%15.2M-353.1M-919.8K0.547.193,6271,947167,06390,896
2013-01-10$37.37$37.3624.5%7.0%17.1%34.1%26.0%3.8%-0.5%15.9M-330.1M-922.7K0.186.676,7751,205167,05491,464
2013-01-11$37.46$37.3624.1%6.9%17.1%31.9%22.9%3.8%-0.3%14.4M-328.3M-863.4K0.076.607,142467162,12691,597
2013-01-14$38.13$36.4224.4%7.0%17.8%33.3%24.7%4.3%-0.5%15.9M-376.4M-853.8K0.436.596,5362,813164,98491,637
2013-01-15$38.10$36.4224.3%7.0%17.7%32.7%25.5%4.1%-0.6%13.7M-373.0M-841.7K1.466.731,8662,724165,81491,882
2013-01-16$37.91$36.4223.8%6.8%18.0%30.4%24.5%4.3%-0.2%13.3M-361.2M-857.9K0.146.193,195439166,10792,957
2013-01-17$38.89$37.3623.3%6.7%18.7%27.5%23.5%4.0%-0.2%15.0M-404.0M-811.9K0.363.637,8892,839161,23392,665
2013-01-18$39.14$37.3622.5%6.5%18.7%23.5%23.5%3.9%-0.3%25.8M-412.4M-789.0K0.374.823,1171,155162,74993,463
2013-01-22$39.28$37.3623.5%6.7%17.9%28.6%23.5%3.9%-2.0%7.7M-199.7M-772.5K0.614.906,0293,68687,13439,358
2013-01-23$39.46$37.3624.0%6.9%17.5%31.5%24.5%3.9%-2.6%8.0M-208.7M-829.1K2.265.221,3202,98691,96943,007
2013-01-24$39.59$37.3624.2%6.9%17.5%32.4%25.4%3.7%-2.9%8.0M-211.5M-856.1K1.375.551,8072,47492,01045,020
2013-01-25$39.70$37.3623.9%6.8%17.5%30.6%24.7%3.8%-2.2%7.8M-214.7M-883.9K0.105.1458,9705,84192,97446,381
2013-01-28$39.34$37.3626.9%7.7%18.0%46.3%28.0%3.7%-4.1%9.4M-213.1M-1.2M0.107.2348,0284,682126,80750,609
2013-01-29$39.13$37.3620.0%5.7%16.5%10.3%21.4%4.0%0.0%13.7M-253.5M-1.5M1.005.772,7002,710172,62052,458
2013-01-30$39.01$37.3620.2%5.8%14.9%11.6%20.7%4.5%0.1%12.2M-224.2M-1.4M0.738.191,7741,299162,63953,339
2013-01-31$38.68$37.3621.2%6.1%14.4%16.7%20.8%4.4%-0.4%11.9M-210.0M-1.4M1.198.199061,076163,13553,684