IP Options History — June 2013

In June 2013, IP traded between $40.05 and $43.20. ATM implied volatility averaged 29.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.2% (HV 20d: 26.6%). Max pain ranged from $42.03 to $42.96. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-06-07: Highest Volume — 104,349 contracts
  • 2013-06-05: Largest IV spike — 27.8% change
  • 2013-06-05: Highest IV Rank — 53.3%
  • 2013-06-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$40.05$43.20$42.89$41.38
Max Pain$42.21$42.03$42.96$42.96$42.03
ATM IV29.8%23.9%42.3%33.2%23.9%
Expected Move8.2%7.3%8.9%8.0%7.3%
HV 20d26.6%23.6%28.5%23.6%28.0%
HV 60d32.5%31.2%33.7%31.3%32.0%
IV Rank26.0%13.2%53.3%33.6%13.2%
IV Percentile77.2%34.5%98.8%94.0%34.5%
Term Structure2.0%0.2%4.7%0.7%4.7%
VWIV28.9%26.9%30.6%28.4%28.3%
Skew 25d4.4%3.6%5.5%4.5%3.6%
Skew 10d9.5%7.3%13.1%11.3%7.4%
Call IV 25d27.1%23.9%29.8%26.4%23.9%
Put IV 25d31.5%27.6%34.4%30.9%27.6%
Bid-Ask Spread %6.174.249.156.879.15
Gamma HHI0.230.190.280.270.20
Net GEX18.0M9.8M26.1M20.3M10.7M
Net DEX-220.2M-372.4M-83.5M-297.2M-116.1M
Net VEX-2.6M-3.1M-2.2M-2.6M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.043.950.451.91
Total Volume16,214.43,059104,34913,7925,275
Total OI435,951.6389,021482,754389,021403,562

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$42.89$42.9633.2%8.0%23.6%33.6%28.4%4.5%0.7%20.3M-297.2M-2.6M0.456.879,4904,302264,162124,859
2013-06-04$42.50$42.9633.1%8.0%23.7%33.2%28.4%4.4%0.8%19.7M-264.1M-2.5M1.337.823,1424,166270,917127,105
2013-06-05$41.39$42.9642.3%8.9%24.8%53.3%30.3%4.4%0.2%14.7M-151.0M-2.4M3.957.764,04015,949272,708130,139
2013-06-06$42.04$42.9631.1%8.5%25.4%28.9%29.4%4.4%0.8%15.1M-216.5M-2.5M1.447.311,6512,381275,685134,116
2013-06-07$42.60$42.0327.8%8.2%25.9%21.7%28.8%5.5%1.9%19.2M-284.1M-2.5M0.044.78100,4163,933276,345130,528
2013-06-10$42.55$42.0329.9%8.4%25.8%26.3%29.5%5.3%1.2%25.6M-350.8M-3.1M0.775.105,7864,476358,615124,139
2013-06-11$42.31$42.0330.7%8.5%24.3%28.0%29.0%5.2%1.2%22.8M-305.6M-3.0M0.675.532,0221,364352,773127,632
2013-06-12$41.12$42.0329.5%8.7%25.1%25.5%30.1%4.7%1.0%17.1M-175.0M-2.7M0.835.9014,74912,238353,605127,577
2013-06-13$42.59$42.0328.0%8.0%28.5%22.2%28.2%4.0%2.1%23.1M-315.3M-2.9M0.195.5113,5222,503343,532130,718
2013-06-14$42.35$42.0328.9%8.3%27.2%24.1%28.3%4.3%1.7%20.6M-276.1M-2.8M0.914.242,6172,369334,143131,238
2013-06-17$43.20$42.0327.9%8.0%27.6%22.0%27.8%3.9%2.3%26.1M-372.4M-2.9M0.165.7814,7332,357333,424128,862
2013-06-18$42.93$42.0327.4%7.9%27.3%20.9%28.0%3.8%2.5%23.7M-323.6M-2.8M0.984.261,5461,513325,522128,811
2013-06-19$42.74$42.0326.9%7.7%27.2%19.7%26.9%3.8%3.0%23.1M-306.5M-2.7M1.335.951,7662,345325,402128,921
2013-06-20$41.33$42.0331.2%8.9%28.1%29.1%30.5%4.6%0.9%16.0M-159.6M-2.6M0.905.644,8744,386323,481128,733
2013-06-21$40.72$42.0329.7%8.5%27.7%25.9%30.3%3.9%1.7%12.3M-87.8M-2.4M1.756.223,3555,858322,835130,489
2013-06-24$40.05$42.0331.1%8.9%28.0%29.0%30.1%4.6%2.4%12.4M-83.5M-2.2M0.096.8140,0673,459305,484110,045
2013-06-25$40.45$42.0329.6%8.5%27.4%25.6%30.6%4.2%2.8%16.7M-121.4M-2.3M1.676.853,6616,105320,303112,291
2013-06-26$41.21$42.0326.8%7.7%28.0%19.5%29.0%4.2%4.0%10.0M-108.4M-2.2M3.256.442,0586,693279,863117,938
2013-06-27$41.00$42.0326.1%7.5%28.0%17.9%27.1%4.2%4.1%9.8M-88.8M-2.2M0.615.401,9361,185280,405122,125
2013-06-28$41.38$42.0323.9%7.3%28.0%13.2%28.3%3.6%4.7%10.7M-116.1M-2.2M1.919.151,8133,462280,751122,811