IP Options History — September 2013

In September 2013, IP traded between $41.84 and $46.14. ATM implied volatility averaged 24.5%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.0% (HV 20d: 21.5%). Max pain ranged from $35.49 to $44.83. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-09-11: Highest Volume — 40,706 contracts
  • 2013-09-11: Largest IV drop — 24.0% change
  • 2013-09-30: Highest IV Rank — 26.6%
  • 2013-09-17: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.59$41.84$46.14$44.33$41.84
Max Pain$39.13$35.49$44.83$44.83$35.49
ATM IV24.5%21.0%30.0%27.8%30.0%
Expected Move7.7%6.6%8.4%7.3%8.3%
HV 20d21.5%20.0%24.8%20.0%24.8%
HV 60d24.1%23.2%25.3%25.3%24.7%
IV Rank14.5%6.8%26.6%21.8%26.6%
IV Percentile43.2%12.7%91.3%75.8%91.3%
Term Structure2.8%1.6%4.7%1.6%3.3%
VWIV28.0%23.9%32.0%24.4%31.7%
Skew 25d3.5%2.9%4.4%3.5%3.1%
Skew 10d8.6%5.6%11.7%11.3%6.3%
Call IV 25d23.1%21.3%24.8%23.8%24.8%
Put IV 25d26.6%24.2%28.1%27.3%27.9%
Bid-Ask Spread %6.743.0118.348.873.01
Gamma HHI0.260.170.310.260.17
Net GEX15.4M6.2M22.8M15.5M6.2M
Net DEX-225.4M-366.0M-39.0M-231.1M-39.0M
Net VEX-1.9M-2.3M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.042.720.040.24
Total Volume10,847.41,71340,70612,55618,070
Total OI340,646.45309,397367,091318,751350,879

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$44.33$44.8327.8%7.3%20.0%21.8%24.4%3.5%1.6%15.5M-231.1M-1.8M0.048.8712,111445224,31194,440
2013-09-04$44.64$44.8325.9%6.8%20.1%17.4%23.9%2.9%2.1%16.3M-235.4M-1.7M0.457.971,185528214,72394,674
2013-09-05$44.50$44.8324.4%6.6%20.0%14.2%26.7%3.6%2.5%16.0M-223.2M-1.7M2.728.445351,456215,11894,874
2013-09-06$44.70$42.0322.6%7.2%20.1%10.2%26.8%3.8%2.4%16.7M-236.7M-1.7M1.637.399621,566215,18795,855
2013-09-09$45.90$42.0326.0%7.2%22.2%17.8%25.7%3.9%2.2%18.0M-309.3M-1.7M0.457.372,9621,323214,89895,363
2013-09-10$46.01$42.0327.6%7.3%22.2%21.3%25.4%4.4%1.9%18.8M-319.6M-1.6M0.946.886,6516,241215,59695,444
2013-09-11$46.10$42.0321.0%6.7%22.2%6.8%24.0%4.1%2.8%20.1M-318.1M-1.7M0.639.1324,99315,713218,218100,345
2013-09-12$44.95$42.0324.7%7.1%23.3%15.0%25.4%3.6%1.8%17.2M-253.7M-2.2M1.168.198,2519,568241,068112,621
2013-09-13$45.45$42.0323.8%6.8%20.4%12.9%26.4%3.7%2.4%18.1M-294.0M-2.2M1.838.982,0593,770244,339117,536
2013-09-16$46.14$0.0024.5%8.2%20.6%14.4%30.3%3.4%2.0%22.8M-366.0M-2.3M0.2318.344,8441,095243,230116,381
2013-09-17$44.93$35.4925.0%8.4%21.5%15.6%30.0%3.8%1.7%17.5M-251.0M-2.1M2.117.054,2658,998244,858116,367
2013-09-18$44.92$35.4924.3%8.4%21.5%14.1%30.1%3.5%2.1%16.9M-241.7M-2.1M0.419.053,8061,567246,294120,797
2013-09-19$44.66$35.4923.7%8.4%20.9%12.6%29.3%3.3%2.5%14.7M-219.2M-2.1M0.643.541,7961,142244,027120,182
2013-09-20$44.63$35.4922.9%8.4%20.9%10.9%29.8%3.4%3.2%15.6M-210.7M-2.1M0.543.183,5671,919244,625120,249
2013-09-23$43.98$35.4923.1%8.3%21.5%11.3%32.0%3.4%4.3%12.7M-170.7M-1.9M1.313.384,7556,216232,467109,980
2013-09-24$43.93$35.4922.7%8.2%21.4%10.6%29.6%3.3%4.2%12.7M-174.0M-1.9M1.783.381,3692,431234,726112,062
2013-09-25$43.61$37.3622.8%8.1%20.8%10.7%31.8%3.5%4.0%11.2M-149.5M-1.9M0.753.591,9441,455235,503113,462
2013-09-26$44.16$35.4922.1%8.1%21.0%9.3%26.6%2.9%4.7%13.8M-187.0M-1.9M1.583.633,0334,794236,116114,347
2013-09-27$42.44$35.4925.3%8.3%24.6%16.2%30.1%3.0%3.6%6.8M-77.8M-1.8M0.563.3725,38314,180237,915113,852
2013-09-30$41.84$35.4930.0%8.3%24.8%26.6%31.7%3.1%3.3%6.2M-39.0M-1.7M0.243.0114,6193,451236,551114,328