IP Options History — July 2013

In July 2013, IP traded between $42.15 and $46.87. ATM implied volatility averaged 25.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.2% (HV 20d: 24.4%). Max pain ranged from $41.09 to $43.89. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2013-07-15: Highest Volume — 46,186 contracts
  • 2013-07-08: Largest IV spike — 15.5% change
  • 2013-07-31: Highest IV Rank — 20.5%
  • 2013-07-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.36$42.15$46.87$42.15$45.12
Max Pain$41.90$41.09$43.89$42.03$43.89
ATM IV25.6%23.3%27.2%26.4%27.2%
Expected Move7.3%6.5%8.5%7.2%6.5%
HV 20d24.4%16.6%29.2%28.9%27.4%
HV 60d28.3%25.2%32.2%32.2%26.5%
IV Rank16.9%11.9%20.5%18.7%20.5%
IV Percentile53.0%24.6%71.0%61.1%71.0%
Term Structure0.9%-1.5%5.1%4.8%1.3%
VWIV26.2%22.6%30.0%25.4%23.5%
Skew 25d4.0%2.4%5.0%3.5%3.1%
Skew 10d8.8%5.3%13.4%6.3%11.0%
Call IV 25d24.0%20.8%27.0%23.6%21.2%
Put IV 25d27.9%24.3%31.9%27.0%24.3%
Bid-Ask Spread %6.554.7110.277.118.03
Gamma HHI0.240.190.370.220.24
Net GEX17.7M12.2M30.2M13.9M15.5M
Net DEX-296.9M-429.3M-171.2M-171.2M-265.6M
Net VEX-2.2M-2.4M-2.0M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.032.260.510.55
Total Volume9,9011,26646,1865,1681,856
Total OI370,639.591297,680435,269403,940317,136

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$42.15$42.0326.4%7.2%28.9%18.7%25.4%3.5%4.8%13.9M-171.2M-2.2M0.517.113,4171,751280,161123,779
2013-07-02$42.73$41.0925.3%6.9%29.2%16.2%25.1%3.2%4.6%16.8M-218.3M-2.3M0.366.666,9242,489281,001124,026
2013-07-03$42.74$41.0924.6%7.0%27.4%14.6%26.5%3.4%5.1%17.1M-218.8M-2.3M1.065.37614652280,018123,758
2013-07-05$43.26$41.0923.5%8.5%27.2%12.3%28.7%4.7%-0.7%18.5M-258.4M-2.3M0.496.081,796881280,555124,124
2013-07-08$43.49$41.0927.2%8.3%26.9%20.3%29.4%5.0%-0.1%16.8M-253.7M-2.2M1.875.281,0141,897280,287123,101
2013-07-09$43.79$41.0926.0%8.1%26.9%17.8%28.8%4.5%-0.4%16.8M-274.6M-2.2M0.666.521,8841,241280,794124,405
2013-07-10$43.37$41.0923.6%8.2%27.1%12.5%28.2%4.3%-0.5%14.9M-241.5M-2.2M0.555.661,8621,027281,467124,824
2013-07-11$44.42$41.0925.7%7.4%25.8%17.1%25.7%3.9%0.8%24.4M-338.8M-2.2M0.497.325,8222,873282,453125,457
2013-07-12$44.95$41.0926.2%7.5%23.2%18.2%27.9%4.0%0.3%30.2M-393.3M-2.3M0.596.3726,70015,792285,074126,156
2013-07-15$44.93$41.0926.6%7.6%23.0%19.0%26.7%4.0%0.2%27.2M-419.8M-2.4M0.035.7544,9291,257296,465138,804
2013-07-16$45.19$41.0926.6%7.6%22.2%19.1%26.6%4.0%0.3%21.8M-429.3M-2.3M0.607.461,436855266,040139,033
2013-07-17$44.60$41.0926.5%7.6%22.7%18.7%30.0%4.2%0.2%16.0M-377.5M-2.2M2.267.061,9174,341255,823139,365
2013-07-18$44.71$41.0925.9%7.4%22.6%17.4%25.7%4.4%0.7%15.9M-382.5M-2.2M0.517.244,0862,081253,923137,571
2013-07-19$44.57$42.0324.9%7.1%18.3%15.4%26.3%4.3%1.4%16.7M-364.3M-2.2M0.607.234,0632,457255,064138,670
2013-07-22$44.27$42.0325.4%7.3%17.4%16.4%25.8%4.2%-0.2%13.6M-222.3M-2.1M1.045.421,6681,736213,74583,935
2013-07-23$43.78$42.0324.8%7.1%16.7%15.2%24.2%4.6%-0.5%12.2M-190.2M-2.0M0.495.101,698834214,55285,051
2013-07-24$44.09$42.0326.8%7.7%16.6%19.5%27.1%4.0%-1.5%13.4M-214.2M-2.1M1.456.317,71311,146215,65885,290
2013-07-25$46.87$42.9623.3%6.7%25.8%11.9%25.0%3.4%0.8%19.0M-397.9M-2.3M0.694.7117,66412,181219,14693,496
2013-07-26$45.86$43.8924.6%6.6%27.4%14.8%23.7%2.4%1.4%17.5M-317.7M-2.2M1.334.903,2984,378223,666100,765
2013-07-29$45.56$43.8925.6%6.5%27.7%16.9%22.6%4.3%1.4%15.6M-290.9M-2.2M0.458.283,3351,487220,08793,055
2013-07-30$45.55$43.8926.4%6.5%27.3%18.5%24.0%4.2%1.4%16.3M-291.3M-2.2M0.2610.272,198572222,31193,980
2013-07-31$45.12$43.8927.2%6.5%27.4%20.5%23.5%3.1%1.3%15.5M-265.6M-2.1M0.558.031,200656223,17093,966