IP Options History — October 2013

In October 2013, IP traded between $40.31 and $42.56. ATM implied volatility averaged 27.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.8% (HV 20d: 23.2%). Max pain ranged from $35.49 to $40.16. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-10-07: Highest Volume — 97,005 contracts
  • 2013-10-24: Largest IV drop — 19.2% change
  • 2013-10-08: Highest IV Rank — 30.7%
  • 2013-10-08: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.61$40.31$42.56$42.29$41.66
Max Pain$38.33$35.49$40.16$35.49$40.16
ATM IV27.0%20.0%31.9%27.5%21.6%
Expected Move8.2%7.9%8.6%8.3%8.0%
HV 20d23.2%18.8%25.7%25.1%18.8%
HV 60d23.6%21.6%25.4%24.8%21.6%
IV Rank19.9%4.6%30.7%21.0%8.1%
IV Percentile66.9%7.5%94.4%77.4%16.3%
Term Structure-1.1%-3.8%3.8%3.8%0.5%
VWIV30.2%27.2%33.2%31.0%28.5%
Skew 25d3.8%2.7%4.7%3.0%3.2%
Skew 10d7.9%5.1%9.4%6.2%7.3%
Call IV 25d25.2%20.1%30.5%23.8%20.4%
Put IV 25d29.0%23.4%35.1%26.8%23.6%
Bid-Ask Spread %3.612.935.133.183.23
Gamma HHI0.190.140.320.190.15
Net GEX9.0M2.4M18.1M7.3M9.6M
Net DEX-70.2M-169.9M37.7M-65.3M-99.1M
Net VEX-2.0M-2.1M-1.7M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.031.050.260.43
Total Volume14,271.0433,79297,0056,2033,981
Total OI333,483.261265,737399,044348,819289,509

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$42.29$35.4927.5%8.3%25.1%21.0%31.0%3.0%3.8%7.3M-65.3M-1.9M0.263.184,9431,260225,566123,253
2013-10-02$41.65$35.4930.2%8.3%25.2%27.0%28.2%3.6%3.8%4.5M-20.2M-1.8M0.473.235,0612,395226,855123,764
2013-10-03$40.96$35.4927.0%8.5%25.7%20.0%32.5%3.8%3.6%2.4M27.2M-1.8M0.153.4021,1923,278239,211124,763
2013-10-04$40.81$35.4926.3%8.5%25.5%18.5%31.3%4.3%-2.4%2.6M37.7M-1.7M1.053.043,8904,087213,132126,651
2013-10-07$40.80$35.4930.1%8.5%22.8%26.8%30.3%4.2%-2.9%3.6M24.6M-1.7M0.033.7094,5872,418211,937124,456
2013-10-08$40.31$35.4931.9%8.6%22.7%30.7%31.8%4.5%-3.8%4.6M19.9M-1.9M0.573.646,4433,663240,708125,528
2013-10-09$40.32$35.4928.1%8.5%22.6%22.5%29.5%4.7%-3.8%4.6M22.5M-1.9M0.852.933,8333,266242,454125,898
2013-10-10$41.35$35.4930.3%8.4%24.2%27.1%28.2%4.4%-2.9%9.7M-48.8M-1.9M0.503.013,6181,796244,736126,947
2013-10-11$41.92$35.4928.7%8.3%24.4%23.7%29.1%4.3%-2.2%11.5M-89.5M-2.0M0.423.284,6771,965244,800127,846
2013-10-14$42.34$40.1629.6%8.3%23.9%25.6%30.5%4.5%-2.7%12.2M-123.0M-2.0M0.854.094,4213,768244,930127,544
2013-10-15$41.63$40.1629.9%8.3%22.9%26.4%33.2%4.2%-2.8%10.3M-61.9M-2.0M0.363.177,7392,794245,670129,754
2013-10-16$42.00$40.1628.1%8.3%23.3%22.3%28.9%3.9%-2.2%14.5M-89.9M-2.0M1.034.264,4914,647249,356131,072
2013-10-17$42.29$40.1626.9%8.2%23.6%19.7%29.8%3.7%-1.9%18.1M-120.7M-2.0M0.515.1332,78116,598249,380132,636
2013-10-18$42.46$40.1626.7%8.2%23.7%19.3%31.1%3.6%-2.0%15.5M-127.8M-2.1M0.373.795,4912,004252,774146,270
2013-10-21$41.52$40.1627.9%8.2%24.4%21.8%31.0%4.1%-2.4%8.0M-96.8M-2.0M0.843.806,9975,904170,04295,695
2013-10-22$41.60$40.1626.9%8.1%24.4%19.7%30.2%3.9%-1.9%8.4M-99.1M-2.1M0.543.645,9793,217174,598100,653
2013-10-23$41.46$40.1628.4%8.1%24.4%22.9%31.9%3.7%-2.9%8.1M-93.4M-2.1M0.833.394,9634,137177,668102,285
2013-10-24$42.01$40.1622.9%8.0%24.4%11.0%27.2%2.7%-0.2%10.7M-128.3M-2.1M0.594.858,7125,144180,155105,197
2013-10-25$42.56$40.1620.0%8.0%20.6%4.6%30.0%3.3%1.3%12.1M-169.9M-2.1M0.413.576,1542,533181,791107,158
2013-10-28$42.08$40.1623.4%8.1%20.4%12.1%28.8%3.3%-0.1%10.5M-128.1M-2.1M0.363.823,4891,260179,308104,004
2013-10-29$41.56$40.1624.5%8.1%20.5%14.5%29.9%3.3%-0.8%9.0M-93.9M-2.0M0.853.362,6252,241181,540104,550
2013-10-30$41.52$40.1623.7%7.9%19.8%12.7%32.3%3.5%-0.7%8.7M-90.2M-1.9M0.403.572,7031,089182,450105,621
2013-10-31$41.66$40.1621.6%8.0%18.8%8.1%28.5%3.2%0.5%9.6M-99.1M-2.0M0.433.232,7751,206183,513105,996