IP Options History — March 2013

In March 2013, IP traded between $41.35 and $43.89. ATM implied volatility averaged 21.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 7.1% (HV 20d: 28.2%). Max pain ranged from $36.42 to $39.22. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-03-15: Highest Volume — 38,492 contracts
  • 2013-03-14: Largest IV spike — 13.3% change
  • 2013-03-01: Highest IV Rank — 32.0%
  • 2013-03-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.61$41.35$43.89$41.35$43.50
Max Pain$36.56$36.42$39.22$39.22$36.42
ATM IV21.1%17.9%24.1%24.1%21.1%
Expected Move6.2%5.7%6.9%6.9%6.1%
HV 20d28.2%16.4%32.4%32.3%17.9%
HV 60d22.8%22.4%23.1%22.8%22.7%
IV Rank16.5%0.0%32.0%32.0%16.9%
IV Percentile13.1%0.0%36.1%36.1%13.5%
Term Structure2.8%0.9%3.8%0.9%3.8%
VWIV23.6%19.9%30.3%23.0%21.6%
Skew 25d4.6%3.9%5.5%5.5%4.9%
Skew 10d10.5%8.3%13.8%11.2%9.3%
Call IV 25d20.2%18.7%22.6%21.9%19.9%
Put IV 25d24.7%22.7%27.8%27.4%24.7%
Bid-Ask Spread %5.943.507.796.186.27
Gamma HHI0.250.220.270.220.27
Net GEX20.0M16.2M21.9M16.2M21.9M
Net DEX-492.0M-599.7M-391.1M-391.1M-572.5M
Net VEX-2.2M-2.4M-1.9M-2.1M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.012.450.200.39
Total Volume9,107.41,64038,4928,96815,598
Total OI342,199.3306,733380,689306,733380,689

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$41.35$39.2224.1%6.9%32.3%32.0%23.0%5.5%0.9%16.2M-391.1M-2.1M0.206.187,4681,500215,52391,210
2013-03-04$41.60$36.4223.0%6.9%31.5%25.9%30.3%5.1%2.1%17.1M-409.7M-2.0M2.457.792,5086,132218,87092,094
2013-03-05$42.27$36.4221.6%6.7%31.7%19.0%25.1%5.1%2.1%18.1M-463.9M-2.1M0.837.593,0812,553220,38795,610
2013-03-06$43.01$36.4221.5%6.6%31.8%18.4%24.4%4.8%2.2%18.4M-529.8M-2.0M1.336.113,5524,737221,90797,537
2013-03-07$43.18$36.4220.5%6.4%31.5%13.2%24.9%4.6%2.5%19.4M-529.1M-2.1M1.054.88798842224,17398,326
2013-03-08$43.69$36.4218.4%6.0%31.3%2.1%21.6%4.2%2.6%18.9M-580.8M-2.0M1.383.501,9152,652224,24998,532
2013-03-11$43.89$36.4219.7%5.9%31.3%8.8%23.9%3.9%3.2%19.6M-599.7M-1.9M0.435.724,4201,920225,07699,585
2013-03-12$43.17$36.4220.1%6.1%31.8%11.1%24.1%4.0%3.1%20.4M-530.0M-2.0M1.185.741,5101,778224,885100,559
2013-03-13$42.72$36.4217.9%5.9%32.1%0.0%20.6%4.2%3.3%19.9M-508.1M-1.9M0.665.603,2132,126225,611101,797
2013-03-14$42.87$36.4220.3%5.8%31.9%12.4%21.5%4.1%3.5%20.5M-507.3M-1.9M0.975.601,4501,400226,136101,259
2013-03-15$42.64$36.4219.8%5.7%32.0%9.8%19.9%4.0%3.6%19.6M-489.9M-2.0M0.015.4437,932560226,816101,959
2013-03-18$42.39$36.4221.9%6.3%32.2%20.9%22.5%4.3%3.0%20.5M-465.7M-2.2M0.137.0825,6083,393247,18484,912
2013-03-19$41.98$36.4222.1%6.3%32.4%22.1%24.7%4.8%2.7%21.3M-448.4M-2.3M2.035.542,8165,705270,50387,373
2013-03-20$42.58$36.4221.2%6.1%27.0%17.0%23.7%4.7%2.8%21.8M-495.6M-2.4M1.796.272,8125,046272,71691,588
2013-03-21$41.89$36.4222.5%6.4%26.6%23.8%26.8%4.7%2.7%20.7M-428.2M-2.4M1.025.723,7933,862274,60595,996
2013-03-22$42.12$36.4222.3%6.4%22.9%23.0%23.4%4.8%2.9%20.5M-449.1M-2.4M0.355.752,168750275,80897,949
2013-03-25$42.11$36.4222.8%6.5%19.9%25.4%26.1%4.9%2.4%21.4M-444.3M-2.4M2.345.381,3503,162276,66898,395
2013-03-26$42.74$36.4220.8%6.0%19.1%15.2%22.2%4.4%3.5%21.6M-503.1M-2.4M0.276.497,2261,973277,207100,195
2013-03-27$42.56$36.4220.4%5.9%16.4%13.2%20.8%4.3%3.7%21.9M-493.4M-2.3M0.886.141,5081,331279,373100,724
2013-03-28$43.50$36.4221.1%6.1%17.9%16.9%21.6%4.9%3.8%21.9M-572.5M-2.4M0.396.2711,2104,388279,370101,319