IP Options History — May 2013

In May 2013, IP traded between $41.34 and $45.46. ATM implied volatility averaged 27.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 7.1% (HV 20d: 34.5%). Max pain ranged from $42.03 to $42.96. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-05-02: Highest Volume — 26,745 contracts
  • 2013-05-02: Largest IV drop — 52.7% change
  • 2013-05-01: Highest IV Rank — 100.0%
  • 2013-05-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.82$41.34$45.46$42.86$43.10
Max Pain$42.83$42.03$42.96$42.96$42.96
ATM IV27.5%22.6%63.6%63.6%28.6%
Expected Move7.5%6.7%9.6%9.6%7.9%
HV 20d34.5%25.7%42.7%39.5%25.7%
HV 60d32.5%31.0%33.9%32.4%31.3%
IV Rank21.0%10.3%100.0%100.0%23.5%
IV Percentile52.4%17.5%100.0%100.0%75.4%
Term Structure0.4%-4.1%1.5%-4.1%1.1%
VWIV26.8%24.1%34.3%34.3%28.1%
Skew 25d4.2%3.0%5.1%5.1%4.2%
Skew 10d9.2%5.1%15.8%10.7%10.5%
Call IV 25d24.8%22.8%31.7%31.7%25.7%
Put IV 25d29.0%26.5%36.8%36.8%29.9%
Bid-Ask Spread %7.755.2110.3010.307.13
Gamma HHI0.250.200.300.240.26
Net GEX23.7M14.6M33.1M19.4M18.9M
Net DEX-414.4M-630.9M-156.4M-306.8M-311.5M
Net VEX-2.7M-2.8M-2.6M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.215.391.122.03
Total Volume11,236.2734,62026,74520,00610,785
Total OI403,464.864371,689427,506386,814394,144

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$42.86$42.9663.6%9.6%39.5%100.0%34.3%5.1%-4.1%19.4M-306.8M-2.8M1.1210.309,45210,554274,375112,439
2013-05-02$41.34$42.9630.0%8.2%41.3%26.6%28.5%3.2%-0.8%14.6M-156.4M-2.6M0.839.3914,65012,095280,720120,504
2013-05-03$42.60$42.0325.8%7.5%42.7%17.4%26.6%4.3%0.2%16.6M-293.8M-2.8M0.768.687,6885,858289,144127,699
2013-05-06$42.86$42.0329.1%7.6%42.0%24.6%26.8%4.1%0.1%22.2M-326.4M-2.7M2.137.181,6173,440287,891123,701
2013-05-07$43.44$42.0329.1%7.5%42.3%24.5%27.5%4.6%0.0%24.4M-389.5M-2.8M2.095.215,10910,696288,266125,205
2013-05-08$43.81$42.9625.3%7.5%42.3%16.1%27.9%4.7%0.3%26.1M-429.6M-2.8M0.766.572,6221,998289,733126,124
2013-05-09$43.82$42.9624.3%7.5%42.1%14.0%26.7%4.8%0.2%26.9M-435.0M-2.8M0.437.925,5322,391290,317126,640
2013-05-10$43.43$42.9623.6%7.6%42.2%12.5%27.3%5.1%0.5%22.6M-384.9M-2.8M5.397.841,5448,324293,070127,935
2013-05-13$44.39$42.9626.5%7.5%36.6%18.9%25.4%4.6%0.4%27.9M-498.5M-2.8M0.696.946,0894,194291,589132,412
2013-05-14$45.08$42.9623.6%7.1%33.2%12.5%26.0%3.8%0.9%31.8M-596.0M-2.8M0.387.497,5742,849294,370133,136
2013-05-15$45.46$42.9622.6%6.8%31.0%10.3%24.1%3.9%1.1%33.1M-630.9M-2.8M0.219.295,0001,043293,052133,852
2013-05-16$44.29$42.9625.1%7.2%31.4%15.7%25.4%4.7%1.1%29.3M-481.5M-2.7M0.9910.173,6483,620289,426130,586
2013-05-17$45.00$42.9624.1%6.9%31.4%13.6%27.1%4.2%1.3%30.3M-575.6M-2.7M0.739.176,6514,862290,101132,185
2013-05-20$44.37$42.9623.5%6.8%29.9%12.4%26.2%3.8%1.5%23.0M-427.6M-2.7M1.067.875,7056,046257,410114,279
2013-05-21$44.59$42.9623.5%6.7%29.7%12.3%25.4%3.8%1.5%23.0M-452.1M-2.7M0.249.547,4051,814259,624119,266
2013-05-22$43.43$42.9625.4%7.3%30.4%16.3%24.7%3.9%1.2%20.2M-349.2M-2.7M1.037.084,6984,827258,948120,428
2013-05-23$44.06$42.9625.8%7.4%30.3%17.4%25.4%3.0%0.7%20.8M-417.5M-2.7M0.436.549,2373,995261,385123,227
2013-05-24$43.94$42.9625.7%7.4%28.9%17.1%26.5%3.3%1.0%19.0M-404.9M-2.7M1.096.493,4503,747265,643125,595
2013-05-28$44.68$42.9626.1%7.5%28.9%18.0%27.3%3.1%0.1%25.1M-481.8M-2.7M0.376.439,7603,566264,691122,232
2013-05-29$43.76$42.9626.5%7.6%29.8%18.7%25.5%4.8%0.7%23.6M-384.3M-2.7M0.536.728,2054,352267,881124,426
2013-05-30$43.73$42.9626.5%7.6%28.5%18.9%26.7%4.5%0.9%22.3M-383.3M-2.7M3.596.472,2908,216266,200126,376
2013-05-31$43.10$42.9628.6%7.9%25.7%23.5%28.1%4.2%1.1%18.9M-311.5M-2.6M2.037.133,5627,223266,411127,733