IP Options History — February 2013

In February 2013, IP traded between $37.42 and $41.14. ATM implied volatility averaged 22.2%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.4% (HV 20d: 20.7%). Max pain ranged from $38.29 to $39.22. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.90.

Notable Days

2013-02-12: Highest Volume — 48,157 contracts
2013-02-20: Largest IV spike — 25.7% change
2013-02-25: Highest IV Rank — 68.8%
2013-02-25: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.48	$37.42	$41.14	$39.55	$41.10
Max Pain	$38.98	$38.29	$39.22	$38.29	$39.22
ATM IV	22.2%	18.7%	31.2%	19.2%	24.5%
Expected Move	6.4%	5.4%	8.9%	5.6%	7.0%
HV 20d	20.7%	14.2%	32.6%	16.1%	32.5%
HV 60d	19.5%	16.6%	22.9%	19.3%	22.9%
IV Rank	21.8%	3.9%	68.8%	6.5%	34.2%
IV Percentile	23.1%	0.4%	90.5%	0.8%	43.7%
Term Structure	0.3%	-2.9%	1.3%	1.3%	0.7%
VWIV	23.1%	19.1%	31.4%	22.1%	26.5%
Skew 25d	4.1%	3.3%	5.7%	3.5%	5.2%
Skew 10d	9.2%	6.6%	12.1%	9.0%	11.6%
Call IV 25d	20.9%	17.4%	29.9%	18.4%	22.7%
Put IV 25d	25.0%	20.7%	35.5%	21.8%	27.9%
Bid-Ask Spread %	8.52	5.57	11.15	6.69	7.52
Gamma HHI	0.19	0.16	0.23	0.16	0.23
Net GEX	13.6M	11.0M	16.6M	13.3M	16.0M
Net DEX	-257.2M	-384.0M	-134.8M	-255.9M	-375.3M
Net VEX	-1.6M	-2.1M	-1.3M	-1.4M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.02	2.72	1.12	2.72
Total Volume	12,809.421	1,783	48,157	3,622	9,205
Total OI	253,322.526	217,711	303,018	217,711	303,018

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
2013-02-01	$39.55	$38.29	19.2%	5.6%	16.1%	6.5%	22.1%	3.5%	1.3%	13.3M	-255.9M	-1.4M	1.12	6.69	1,705	1,917	163,372	54,339
2013-02-04	$39.34	$38.29	20.8%	6.0%	16.0%	14.9%	21.9%	3.7%	0.7%	12.8M	-242.2M	-1.4M	0.85	6.20	3,539	2,999	163,368	55,113
2013-02-05	$39.96	$38.29	19.3%	5.6%	16.7%	6.8%	21.0%	3.8%	1.0%	13.6M	-279.6M	-1.4M	0.63	7.00	6,788	4,276	164,614	56,789
2013-02-06	$39.64	$38.29	20.5%	6.0%	16.6%	13.0%	21.4%	4.1%	0.4%	13.3M	-260.3M	-1.4M	1.04	8.58	4,760	4,954	165,822	59,720
2013-02-07	$39.36	$39.22	20.9%	6.0%	16.8%	15.0%	21.6%	3.9%	0.2%	12.7M	-242.5M	-1.4M	0.38	9.72	3,035	1,149	168,697	63,226
2013-02-08	$39.78	$39.22	19.5%	5.6%	16.7%	7.7%	19.8%	3.8%	0.9%	13.9M	-273.0M	-1.5M	0.36	7.17	1,314	469	170,538	63,300
2013-02-11	$39.38	$39.22	20.5%	5.9%	17.3%	12.9%	22.6%	3.8%	0.6%	13.6M	-248.6M	-1.4M	0.66	9.24	2,135	1,410	171,283	63,497
2013-02-12	$39.23	$39.22	19.9%	5.7%	16.5%	10.1%	21.1%	4.1%	0.5%	13.4M	-240.0M	-1.4M	0.05	11.15	45,733	2,424	171,977	64,196
2013-02-13	$38.99	$39.22	19.0%	5.4%	16.7%	5.2%	19.5%	3.5%	0.8%	11.4M	-193.4M	-1.3M	0.02	5.57	44,882	1,115	159,694	65,084
2013-02-14	$39.04	$39.22	19.1%	5.5%	16.5%	5.9%	20.2%	3.5%	0.9%	14.5M	-229.0M	-1.6M	1.08	6.89	1,024	1,106	202,951	64,918
2013-02-15	$39.38	$39.22	18.7%	5.4%	14.2%	3.9%	19.1%	3.3%	1.0%	16.6M	-261.1M	-1.6M	0.92	9.40	2,394	2,214	203,451	65,474
2013-02-19	$39.14	$39.22	19.0%	5.4%	14.2%	5.1%	19.1%	3.5%	0.8%	14.8M	-240.7M	-1.6M	0.88	10.27	1,272	1,121	198,967	60,241
2013-02-20	$37.42	$39.22	23.8%	6.8%	21.2%	30.5%	24.1%	4.3%	-0.5%	11.0M	-134.8M	-1.4M	1.52	9.32	6,729	10,255	199,287	60,564
2013-02-21	$38.58	$39.22	25.6%	7.3%	24.2%	39.6%	25.7%	3.3%	-0.2%	11.9M	-198.7M	-1.6M	0.84	8.03	12,830	10,765	198,742	66,532
2013-02-22	$40.16	$38.29	25.9%	7.4%	28.2%	41.1%	26.2%	4.5%	-0.6%	14.6M	-303.6M	-1.8M	0.96	8.48	7,770	7,422	202,908	73,944
2013-02-25	$39.03	$39.22	31.2%	8.9%	30.1%	68.8%	31.4%	5.7%	-2.9%	12.2M	-233.9M	-1.8M	0.92	9.72	3,902	3,598	206,548	78,503
2013-02-26	$39.92	$39.22	28.7%	8.2%	31.0%	55.9%	29.2%	5.2%	-1.1%	13.4M	-291.1M	-2.0M	0.95	10.29	7,225	6,839	207,612	79,748
2013-02-27	$41.14	$39.22	25.3%	7.3%	32.6%	38.1%	26.7%	5.1%	0.4%	15.9M	-384.0M	-2.1M	1.28	10.63	5,739	7,365	212,273	82,818
2013-02-28	$41.10	$39.22	24.5%	7.0%	32.5%	34.2%	26.5%	5.2%	0.7%	16.0M	-375.3M	-2.1M	2.72	7.52	2,472	6,733	215,443	87,575