IP Options History — February 2014

In February 2014, IP traded between $42.79 and $46.11. ATM implied volatility averaged 23.4%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 23.4%). Max pain ranged from $40.16 to $40.16. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2014-02-03: Highest Volume — 19,542 contracts
2014-02-04: Largest IV drop — 38.1% change
2014-02-03: Highest IV Rank — 68.1%
2014-02-03: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.12	$42.79	$46.11	$43.02	$45.66
Max Pain	$40.16	$40.16	$40.16	$40.16	$40.16
ATM IV	23.4%	18.1%	48.8%	48.8%	18.9%
Expected Move	7.5%	7.2%	7.9%	7.9%	7.2%
HV 20d	23.4%	18.9%	25.7%	23.7%	18.9%
HV 60d	19.6%	19.0%	20.2%	19.8%	19.1%
IV Rank	13.1%	1.7%	68.1%	68.1%	3.4%
IV Percentile	31.6%	2.0%	99.2%	99.2%	4.4%
Term Structure	0.4%	-3.2%	1.4%	-3.2%	1.4%
VWIV	28.4%	25.8%	41.7%	30.6%	27.2%
Skew 25d	2.5%	2.1%	3.1%	2.8%	2.2%
Skew 10d	5.7%	4.0%	6.7%	4.0%	4.6%
Call IV 25d	20.7%	18.0%	29.3%	29.3%	18.0%
Put IV 25d	23.2%	20.2%	32.1%	32.1%	20.2%
Bid-Ask Spread %	7.94	4.39	16.67	10.01	7.42
Gamma HHI	0.18	0.14	0.23	0.14	0.23
Net GEX	11.7M	6.4M	16.7M	6.5M	11.2M
Net DEX	-213.2M	-294.8M	-58.3M	-81.6M	-232.0M
Net VEX	-2.4M	-2.5M	-2.3M	-2.3M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.18	1.38	0.86	1.38
Total Volume	6,420.579	1,351	19,542	19,542	1,351
Total OI	253,882.789	237,841	265,000	244,738	243,196

Daily Data (19 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
2014-02-03	$43.02	$40.16	48.8%	7.9%	23.7%	68.1%	30.6%	2.8%	-3.2%	6.5M	-81.6M	-2.3M	0.86	10.01	10,527	9,015	158,133	86,605
2014-02-04	$42.79	$40.16	30.2%	7.7%	23.7%	28.0%	29.1%	3.1%	0.2%	6.4M	-58.3M	-2.3M	1.16	13.59	5,902	6,818	163,442	92,520
2014-02-05	$43.74	$40.16	31.3%	7.8%	24.9%	30.4%	27.8%	2.8%	0.6%	7.8M	-120.7M	-2.5M	0.32	9.71	6,519	2,083	165,205	96,516
2014-02-06	$43.88	$40.16	25.8%	7.6%	25.0%	18.4%	27.6%	2.6%	1.3%	8.6M	-133.9M	-2.5M	1.37	11.29	909	1,243	167,803	96,578
2014-02-07	$44.29	$40.16	22.4%	7.7%	25.2%	11.2%	27.2%	2.9%	0.4%	8.1M	-162.1M	-2.4M	0.27	4.39	3,703	993	168,143	96,857
2014-02-10	$44.87	$40.16	24.9%	7.7%	25.7%	16.5%	27.1%	2.7%	0.2%	13.2M	-199.7M	-2.4M	0.66	10.09	2,935	1,923	166,151	92,130
2014-02-11	$45.24	$40.16	23.1%	7.6%	25.2%	12.7%	28.9%	2.6%	0.5%	13.9M	-223.9M	-2.4M	0.31	5.80	7,245	2,241	165,664	92,736
2014-02-12	$45.55	$40.16	18.1%	7.4%	25.0%	1.7%	27.2%	2.3%	0.6%	13.5M	-241.3M	-2.4M	0.21	6.73	6,617	1,418	160,147	93,665
2014-02-13	$45.85	$40.16	20.9%	7.4%	25.1%	7.8%	28.0%	2.4%	0.3%	14.8M	-267.3M	-2.4M	0.84	5.16	2,564	2,150	161,171	93,970
2014-02-14	$45.93	$40.16	20.3%	7.4%	25.1%	6.5%	27.6%	2.4%	0.6%	15.9M	-277.5M	-2.4M	0.18	5.13	10,855	1,959	162,098	93,650
2014-02-18	$45.96	$40.16	20.7%	7.4%	24.7%	7.4%	26.7%	2.3%	0.3%	16.7M	-286.6M	-2.4M	0.47	6.73	5,513	2,585	167,909	94,264
2014-02-19	$45.49	$40.16	20.8%	7.4%	25.0%	7.5%	41.7%	2.7%	0.3%	16.4M	-248.5M	-2.4M	0.31	16.67	2,566	804	166,781	93,821
2014-02-20	$46.11	$40.16	20.7%	7.4%	25.1%	7.3%	27.4%	2.4%	0.4%	15.0M	-294.8M	-2.4M	1.31	7.28	1,512	1,979	166,990	93,249
2014-02-21	$45.91	$40.16	20.1%	7.4%	25.1%	6.1%	29.1%	2.4%	0.5%	10.5M	-282.7M	-2.4M	0.34	5.32	4,128	1,385	167,394	94,226
2014-02-24	$45.66	$40.16	19.6%	7.2%	19.5%	5.1%	25.8%	2.4%	0.6%	10.5M	-230.8M	-2.3M	0.45	8.20	4,145	1,883	154,432	83,409
2014-02-25	$45.84	$40.16	19.4%	7.2%	19.5%	4.7%	26.2%	2.4%	1.0%	10.8M	-241.2M	-2.3M	1.31	4.71	1,287	1,684	155,810	84,751
2014-02-26	$45.80	$40.16	19.0%	7.2%	19.5%	3.7%	26.8%	2.1%	1.3%	10.9M	-238.3M	-2.3M	1.08	5.84	901	975	156,324	85,598
2014-02-27	$45.62	$40.16	18.8%	7.2%	18.9%	3.2%	0.0%	2.4%	1.3%	10.8M	-230.3M	-2.3M	1.02	6.84	830	844	156,462	85,973
2014-02-28	$45.66	$40.16	18.9%	7.2%	18.9%	3.4%	27.2%	2.2%	1.4%	11.2M	-232.0M	-2.3M	1.38	7.42	567	784	156,782	86,414