IP Options History — April 2013

In April 2013, IP traded between $41.98 and $45.29. ATM implied volatility averaged 31.3%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.9% (HV 20d: 33.2%). Max pain ranged from $36.42 to $42.96. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-04-02: Highest Volume — 39,100 contracts
  • 2013-04-26: Largest IV spike — 34.1% change
  • 2013-04-26: Highest IV Rank — 100.0%
  • 2013-04-15: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.86$41.98$45.29$43.25$43.87
Max Pain$41.69$36.42$42.96$36.42$42.96
ATM IV31.3%23.1%52.0%23.1%52.0%
Expected Move8.6%6.6%10.0%6.6%9.2%
HV 20d33.2%18.1%43.0%18.1%40.9%
HV 60d28.1%22.6%32.2%22.6%32.0%
IV Rank63.0%27.1%100.0%27.1%100.0%
IV Percentile74.5%25.8%100.0%25.8%100.0%
Term Structure-1.7%-3.5%3.3%3.3%-3.2%
VWIV30.1%24.0%35.3%24.0%32.4%
Skew 25d4.5%3.7%5.2%4.7%4.5%
Skew 10d10.8%7.3%17.0%10.7%15.8%
Call IV 25d28.1%21.1%32.9%21.1%30.2%
Put IV 25d32.7%25.8%37.7%25.8%34.7%
Bid-Ask Spread %7.914.8011.505.7610.00
Gamma HHI0.270.240.300.240.26
Net GEX22.0M17.6M24.8M23.3M22.0M
Net DEX-551.7M-737.6M-354.8M-555.2M-408.3M
Net VEX-2.9M-3.1M-2.5M-2.5M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.292.040.881.37
Total Volume11,709.9091,94939,10030,0377,660
Total OI423,530.455364,732470,668388,686381,110

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$43.25$36.4223.1%6.6%18.1%27.1%24.0%4.7%3.3%23.3M-555.2M-2.5M0.885.7615,95414,083284,519104,167
2013-04-02$44.88$36.4224.6%7.1%21.9%35.1%26.0%4.1%2.4%22.8M-703.5M-2.8M0.716.2522,87116,229294,670114,993
2013-04-03$43.24$36.4227.4%7.8%25.8%49.2%27.4%4.4%1.2%22.4M-550.4M-2.9M0.966.457,1026,833305,195122,159
2013-04-04$43.62$36.4225.2%7.2%25.3%38.1%25.4%4.6%2.9%22.6M-592.5M-3.0M0.986.888,6508,491310,659127,451
2013-04-05$43.10$42.9626.1%8.3%25.6%42.4%29.5%4.7%-1.9%21.2M-548.8M-3.0M0.708.092,0721,453314,251132,421
2013-04-08$44.03$42.9626.4%8.3%26.4%44.2%29.6%5.0%-1.9%22.5M-642.3M-3.1M0.477.484,2021,964314,721132,143
2013-04-09$44.19$42.9625.4%8.2%26.4%38.8%28.5%4.9%-1.8%23.3M-657.5M-3.0M0.766.891,108841316,309132,715
2013-04-10$44.57$42.9623.5%7.9%25.8%29.0%27.8%4.8%-1.7%24.3M-699.2M-3.0M1.0411.501,1641,215316,746133,486
2013-04-11$45.04$42.9628.0%8.0%25.6%52.7%29.7%4.0%-2.3%24.6M-737.6M-3.1M0.827.496,8605,599316,680133,512
2013-04-12$45.01$42.9628.4%8.1%25.6%54.3%28.8%3.8%-2.3%24.8M-734.4M-3.1M0.297.835,5701,602318,593136,697
2013-04-15$42.34$42.9634.8%10.0%34.1%87.9%34.3%4.4%-3.5%20.2M-478.3M-2.9M1.109.409,19710,162319,437136,061
2013-04-16$44.33$42.9632.3%9.3%37.7%74.7%32.1%4.6%-2.9%23.2M-671.3M-3.1M0.757.624,9103,681323,746141,151
2013-04-17$42.97$42.9633.6%9.6%39.4%81.3%33.6%4.9%-3.3%20.9M-537.1M-3.0M2.0410.094,0628,276324,339142,294
2013-04-18$41.98$42.9634.4%9.9%40.0%85.6%35.3%5.2%-3.3%17.6M-428.2M-2.8M1.787.602,8245,036324,659145,821
2013-04-19$42.65$42.9633.8%9.7%40.0%82.7%34.2%5.0%-3.5%18.8M-509.7M-2.8M0.588.4310,3286,012325,485145,183
2013-04-22$44.03$42.0332.0%9.2%41.4%73.0%32.1%4.3%-3.0%20.5M-421.1M-2.9M0.977.159,1278,879263,357101,375
2013-04-23$44.54$42.9630.4%8.7%41.5%64.9%29.8%4.9%-2.3%22.1M-472.3M-3.0M0.928.604,6984,336269,518106,591
2013-04-24$45.29$42.0329.8%8.6%41.6%61.9%29.2%3.7%-1.9%23.2M-546.3M-3.0M0.387.614,2791,619269,578106,154
2013-04-25$44.43$42.9630.1%8.6%42.3%63.3%30.0%3.8%-2.4%21.8M-462.8M-3.0M0.534.802,2171,184268,208107,167
2013-04-26$43.34$42.9640.3%9.2%42.7%100.0%31.2%4.6%-3.2%19.9M-354.8M-2.8M1.039.974,4814,594269,283107,601
2013-04-29$44.08$42.9647.4%9.1%43.0%100.0%31.2%4.5%-2.9%21.8M-425.0M-2.9M0.638.093,8032,390269,864107,601
2013-04-30$43.87$42.9652.0%9.2%40.9%100.0%32.4%4.5%-3.2%22.0M-408.3M-2.9M1.3710.003,2274,433272,016109,094