IP Options History — January 2007

In January 2007, IP traded between $30.67 and $32.39. ATM implied volatility averaged 20.7%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.5% (HV 20d: 20.2%). Max pain ranged from $32.69 to $32.69. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2007-01-18: Highest Volume — 3,554 contracts
  • 2007-01-11: Largest IV spike — 64.6% change
  • 2007-01-09: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.68$30.67$32.39$32.36$31.47
Max Pain$32.69$32.69$32.69$32.69$32.69
ATM IV20.7%13.5%23.1%18.3%22.7%
Expected Move6.2%4.9%6.9%5.2%6.5%
HV 20d20.2%19.7%20.9%20.9%19.9%
Term Structure-1.4%-4.0%4.7%3.5%-4.0%
VWIV21.4%17.3%24.2%17.9%21.2%
Skew 25d1.8%-2.3%3.8%-0.7%1.5%
Skew 10d2.2%-4.5%7.7%0.0%1.1%
Call IV 25d20.5%15.4%22.5%15.4%20.1%
Put IV 25d22.2%14.7%24.2%14.7%21.7%
Bid-Ask Spread %11.014.4817.094.4815.51
Gamma HHI0.310.230.550.300.23
Net GEX973.4K327.6K2.5M1.4M604.1K
Net DEX-11.0M-49.7M6.6M-49.7M-4.5M
Net VEX-441.8K-522.3K-395.8K-522.3K-408.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.054.390.530.48
Total Volume1,710.054933,5541,5921,253
Total OI107,74659,511140,094135,66965,276

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$32.36$32.6918.3%5.2%0.0%0.0%17.9%-0.7%3.5%1.4M-49.7M-522.3K0.534.481,03955371,65164,018
2007-01-04$31.90$32.6917.2%4.9%0.0%0.0%17.3%2.3%4.7%1.1M-25.4M-502.2K2.677.7433389072,00364,090
2007-01-05$31.25$32.6919.0%6.8%0.0%0.0%21.8%1.9%-2.6%327.6K2.3M-464.2K1.198.6447756772,16564,427
2007-01-08$31.64$32.6919.1%6.4%0.0%0.0%21.5%2.2%-1.2%792.5K-10.5M-479.7K1.8715.7046987872,13264,869
2007-01-09$31.52$32.6922.5%6.9%0.0%0.0%19.6%2.6%-3.1%539.8K-3.5M-466.8K4.3915.393851,69472,17465,464
2007-01-10$31.67$32.6913.5%6.4%0.0%0.0%24.2%2.5%-1.8%893.2K-7.8M-466.2K0.446.9362827872,32865,737
2007-01-11$32.04$32.6922.3%6.4%0.0%0.0%22.0%2.1%-1.8%1.4M-24.6M-474.9K0.0513.961,97310672,50265,737
2007-01-12$32.02$32.6921.9%6.3%0.0%0.0%21.7%1.6%-1.6%1.2M-21.4M-472.4K0.5816.9153631472,10265,736
2007-01-16$32.39$32.6922.3%6.4%0.0%0.0%22.3%3.3%-1.6%1.9M-35.9M-462.1K0.6917.0967947172,19765,706
2007-01-17$31.97$32.6923.1%6.6%0.0%0.0%24.2%1.7%-3.0%1.1M-4.0M-424.6K1.418.4720528872,26665,873
2007-01-18$32.23$32.6921.8%6.3%0.0%0.0%21.9%2.1%-1.6%1.9M-19.5M-431.4K0.5216.152,3431,21172,29766,106
2007-01-19$32.38$32.6921.5%6.2%0.0%0.0%22.4%3.0%-1.6%2.5M-10.6M-430.9K1.289.501,0981,40673,49166,603
2007-01-22$31.76$32.6920.2%5.8%0.0%0.0%20.4%3.6%-0.9%468.8K-7.5M-408.1K1.648.171,0771,76433,60525,906
2007-01-23$31.67$32.6920.9%6.0%0.0%0.0%21.1%2.6%-1.9%517.2K-5.7M-408.1K0.6010.481,6901,00734,27126,282
2007-01-24$31.75$32.6919.7%5.7%0.0%0.0%19.1%3.8%-0.2%644.7K-8.1M-420.3K1.037.481,3141,35335,48526,687
2007-01-25$30.84$32.6922.1%6.3%20.9%0.0%22.6%2.5%-2.3%525.6K6.0M-395.8K1.149.101,2181,39136,52927,223
2007-01-26$30.67$32.6921.8%6.2%20.2%0.0%23.3%1.5%-2.3%504.4K6.6M-396.2K0.678.5363142536,71926,809
2007-01-29$30.95$32.6922.9%6.6%20.2%0.0%22.8%-2.1%-3.0%614.4K2.4M-402.2K0.609.8654632737,14526,850
2007-01-30$31.07$32.6921.1%6.0%19.7%0.0%20.9%-2.3%-1.6%639.5K1.7M-399.4K2.0910.1244893637,36327,096
2007-01-31$31.47$32.6922.7%6.5%19.9%0.0%21.2%1.5%-4.0%604.1K-4.5M-408.3K0.4815.5184740637,57427,702