IP Options History — August 2013

In August 2013, IP traded between $43.42 and $46.22. ATM implied volatility averaged 22.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.8% (HV 20d: 26.5%). Max pain ranged from $43.89 to $45.76. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2013-08-23: Highest Volume — 15,259 contracts
2013-08-05: Largest IV spike — 18.2% change
2013-08-27: Highest IV Rank — 14.6%
2013-08-30: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.57	$43.42	$46.22	$46.22	$44.09
Max Pain	$44.91	$43.89	$45.76	$43.89	$44.83
ATM IV	22.6%	19.4%	24.6%	22.6%	23.2%
Expected Move	6.6%	6.1%	7.1%	6.4%	7.1%
HV 20d	26.5%	20.3%	31.4%	28.4%	20.5%
HV 60d	26.1%	25.4%	27.0%	26.8%	25.4%
IV Rank	10.4%	3.2%	14.6%	10.2%	11.6%
IV Percentile	25.0%	4.4%	47.2%	17.5%	24.6%
Term Structure	2.1%	1.2%	2.7%	1.2%	2.3%
VWIV	23.4%	21.6%	25.3%	22.7%	25.3%
Skew 25d	3.7%	2.9%	5.3%	5.3%	3.7%
Skew 10d	7.4%	4.4%	14.1%	14.1%	4.8%
Call IV 25d	21.8%	17.8%	23.5%	18.3%	23.5%
Put IV 25d	25.5%	22.7%	27.3%	23.5%	27.3%
Bid-Ask Spread %	7.33	4.97	9.57	9.53	8.08
Gamma HHI	0.25	0.21	0.31	0.27	0.25
Net GEX	16.1M	11.8M	32.0M	18.5M	14.8M
Net DEX	-234.0M	-338.6M	-170.3M	-338.6M	-215.2M
Net VEX	-1.9M	-2.2M	-1.8M	-2.2M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.10	1.99	0.52	1.99
Total Volume	5,662.227	1,474	15,259	2,680	2,239
Total OI	318,196.273	302,949	324,375	317,500	321,008

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-08-01	$46.22	$43.89	22.6%	6.4%	28.4%	10.2%	22.7%	5.3%	1.2%	18.5M	-338.6M	-2.2M	0.52	9.53	1,767	913	223,253	94,247
2013-08-02	$46.13	$43.89	20.2%	6.1%	28.3%	5.0%	21.8%	4.9%	2.3%	19.0M	-338.2M	-2.1M	1.35	6.76	628	846	223,856	94,580
2013-08-05	$45.42	$45.76	23.8%	6.5%	29.1%	13.0%	23.3%	3.7%	1.9%	17.0M	-282.4M	-2.0M	1.66	7.43	1,278	2,124	222,525	93,276
2013-08-06	$45.06	$45.76	24.5%	6.7%	29.2%	14.4%	24.3%	3.7%	1.8%	15.5M	-254.2M	-2.0M	1.16	6.59	883	1,026	223,116	94,457
2013-08-07	$44.80	$45.76	21.3%	6.7%	29.1%	7.6%	23.6%	3.5%	1.7%	14.7M	-234.4M	-2.0M	0.36	5.72	2,580	938	223,251	94,886
2013-08-08	$44.81	$45.76	20.9%	6.5%	27.9%	6.6%	23.0%	3.4%	1.8%	15.0M	-238.8M	-1.9M	0.34	5.37	3,594	1,230	224,693	95,468
2013-08-09	$44.85	$44.83	19.4%	6.4%	27.5%	3.2%	23.6%	3.4%	2.0%	11.8M	-240.5M	-1.9M	0.57	5.76	1,020	583	225,798	95,810
2013-08-12	$45.03	$44.83	20.3%	6.5%	27.6%	5.3%	22.2%	3.5%	2.1%	17.0M	-253.0M	-1.9M	0.10	4.97	13,037	1,332	225,190	95,298
2013-08-13	$44.94	$44.83	19.9%	6.3%	27.5%	4.3%	21.6%	3.2%	2.4%	16.5M	-224.5M	-1.9M	0.48	7.46	2,783	1,343	223,507	96,065
2013-08-14	$45.67	$44.83	21.0%	6.4%	27.6%	6.9%	22.5%	2.9%	2.4%	20.8M	-309.6M	-2.0M	0.54	9.38	7,924	4,286	224,224	96,875
2013-08-15	$44.21	$44.83	24.5%	7.0%	30.1%	14.5%	24.0%	3.2%	1.9%	13.4M	-191.1M	-1.9M	0.39	6.02	2,847	1,115	227,107	96,877
2013-08-16	$44.80	$44.83	22.9%	6.6%	30.5%	11.1%	22.7%	3.1%	2.3%	32.0M	-230.7M	-1.9M	0.37	6.21	3,076	1,135	227,266	97,109
2013-08-19	$43.88	$44.83	23.9%	6.9%	31.3%	13.3%	23.6%	3.6%	2.1%	13.5M	-192.8M	-1.9M	0.22	6.38	9,146	1,975	216,888	86,061
2013-08-20	$44.08	$44.83	23.8%	6.8%	31.1%	12.9%	23.4%	3.3%	2.1%	14.3M	-213.3M	-1.9M	0.59	7.71	7,217	4,274	224,212	87,169
2013-08-21	$43.46	$44.83	23.8%	6.8%	31.4%	13.0%	24.4%	4.0%	2.1%	12.2M	-170.3M	-1.8M	1.15	7.94	763	878	228,785	90,646
2013-08-22	$43.42	$44.83	24.2%	6.9%	21.2%	13.8%	24.1%	3.9%	2.2%	13.0M	-172.4M	-1.8M	0.45	8.05	1,813	812	230,224	91,136
2013-08-23	$43.76	$44.83	22.9%	6.6%	20.5%	10.9%	24.3%	3.4%	2.7%	13.6M	-198.9M	-1.9M	0.11	8.97	13,710	1,549	229,335	91,256
2013-08-26	$44.08	$44.83	23.1%	6.6%	20.7%	11.5%	23.1%	3.4%	2.5%	14.8M	-213.4M	-1.9M	0.48	9.24	2,462	1,188	222,707	91,143
2013-08-27	$43.43	$44.83	24.6%	7.0%	21.2%	14.6%	23.4%	3.9%	2.3%	13.7M	-177.7M	-1.8M	0.60	9.57	1,609	965	224,106	91,531
2013-08-28	$43.89	$44.83	23.3%	6.7%	21.5%	11.8%	23.7%	3.9%	2.6%	15.6M	-207.8M	-1.8M	0.86	8.13	5,409	4,630	224,723	92,182
2013-08-29	$44.55	$44.83	23.7%	6.8%	20.3%	12.6%	24.0%	3.6%	2.4%	17.1M	-249.7M	-1.9M	0.78	6.00	3,167	2,475	225,386	93,086
2013-08-30	$44.09	$44.83	23.2%	7.1%	20.5%	11.6%	25.3%	3.7%	2.3%	14.8M	-215.2M	-1.9M	1.99	8.08	750	1,489	225,972	95,036