IP Options History — February 2007

Name: IP Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, IP traded between $31.94 and $35.28. ATM implied volatility averaged 18.1%. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.7% (HV 20d: 20.8%). Max pain ranged from $30.35 to $32.69. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.60.

Notable Days

2007-02-13: Highest Volume — 13,607 contracts
2007-02-27: Largest IV spike — 12.4% change
2007-02-27: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.06	$31.94	$35.28	$31.94	$33.60
Max Pain	$32.07	$30.35	$32.69	$32.69	$32.69
ATM IV	18.1%	17.0%	20.5%	18.4%	20.2%
Expected Move	5.2%	4.9%	5.9%	5.3%	5.8%
HV 20d	20.8%	17.3%	23.2%	20.2%	22.2%
Term Structure	0.2%	-0.8%	1.1%	-0.8%	0.0%
VWIV	18.2%	16.9%	21.7%	19.4%	19.4%
Skew 25d	0.3%	-4.6%	2.3%	1.9%	0.7%
Skew 10d	0.8%	-7.4%	9.1%	7.6%	-0.1%
Call IV 25d	18.3%	16.6%	19.8%	18.2%	19.5%
Put IV 25d	18.5%	14.1%	21.9%	20.1%	20.2%
Bid-Ask Spread %	12.65	5.06	21.06	18.43	12.95
Gamma HHI	0.28	0.24	0.34	0.24	0.24
Net GEX	2.1M	752.1K	3.0M	752.1K	2.4M
Net DEX	-62.2M	-87.3M	-12.2M	-12.2M	-53.1M
Net VEX	-489.8K	-540.1K	-427.9K	-427.9K	-522.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.08	2.55	0.75	0.51
Total Volume	3,877.421	552	13,607	1,732	2,094
Total OI	73,162.789	64,904	80,513	65,453	73,843

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
2007-02-01	$31.94	$32.69	18.4%	5.3%	20.2%	0.0%	19.4%	1.9%	-0.8%	752.1K	-12.2M	-427.9K	0.75	18.43	989	743	37,698	27,755
2007-02-02	$32.57	$30.35	17.0%	4.9%	20.8%	0.0%	17.1%	2.2%	0.7%	1.1M	-26.7M	-433.5K	0.20	17.79	7,334	1,434	38,213	28,222
2007-02-05	$32.61	$30.35	18.6%	5.1%	19.1%	0.0%	18.3%	2.3%	0.5%	1.6M	-32.0M	-469.4K	0.45	17.56	1,152	523	42,359	28,680
2007-02-06	$32.98	$30.35	17.9%	5.0%	19.1%	0.0%	17.3%	1.4%	0.8%	1.8M	-41.7M	-476.6K	0.47	15.27	2,616	1,227	42,766	28,983
2007-02-07	$33.64	$30.35	19.4%	5.3%	19.9%	0.0%	17.9%	2.3%	-0.5%	1.7M	-62.4M	-480.0K	0.08	10.90	5,083	403	43,972	29,457
2007-02-08	$34.12	$30.35	17.8%	5.1%	20.3%	0.0%	18.3%	-0.0%	-0.3%	1.9M	-78.9M	-481.0K	0.12	8.55	4,192	521	46,595	29,729
2007-02-09	$33.48	$32.69	17.8%	5.1%	21.6%	0.0%	17.4%	0.9%	0.6%	2.2M	-64.3M	-483.8K	0.43	10.07	1,589	677	48,239	30,044
2007-02-12	$33.87	$32.69	17.4%	5.0%	21.8%	0.0%	18.0%	2.0%	0.0%	2.2M	-70.9M	-491.2K	2.55	11.09	555	1,414	49,300	30,465
2007-02-13	$34.78	$32.69	17.4%	5.0%	23.2%	0.0%	17.7%	0.5%	1.1%	1.9M	-87.3M	-491.5K	0.53	11.98	8,901	4,706	49,463	31,050
2007-02-14	$34.86	$32.69	17.7%	5.1%	22.4%	0.0%	18.6%	0.5%	0.2%	2.2M	-64.8M	-492.4K	0.15	12.97	5,870	853	43,539	33,241
2007-02-15	$34.88	$32.69	18.0%	5.2%	22.4%	0.0%	18.6%	1.5%	0.4%	1.6M	-70.0M	-502.4K	0.82	18.99	661	541	45,269	32,030
2007-02-16	$35.28	$32.69	18.2%	5.2%	22.5%	0.0%	18.0%	0.3%	0.2%	1.8M	-82.5M	-483.3K	0.61	8.45	2,154	1,312	44,969	31,931
2007-02-20	$35.19	$32.69	17.5%	5.0%	21.0%	0.0%	17.4%	-4.0%	-0.1%	2.3M	-75.4M	-476.2K	0.71	10.02	2,117	1,512	42,451	22,453
2007-02-21	$35.06	$32.69	17.4%	5.0%	21.0%	0.0%	17.4%	-4.2%	0.6%	2.5M	-76.2M	-486.1K	0.61	16.47	3,224	1,960	44,054	23,334
2007-02-22	$34.68	$32.69	17.4%	5.0%	21.7%	0.0%	17.4%	-0.7%	0.8%	2.7M	-70.9M	-522.0K	0.29	5.06	2,018	579	46,406	24,623
2007-02-23	$34.72	$32.69	17.5%	5.0%	17.8%	0.0%	16.9%	-0.2%	0.4%	3.0M	-72.8M	-528.4K	0.51	6.77	365	187	47,763	24,981
2007-02-26	$34.98	$32.69	18.2%	5.2%	17.3%	0.0%	18.2%	-4.6%	0.2%	3.0M	-79.3M	-517.5K	0.39	6.01	955	375	47,863	25,015
2007-02-27	$33.95	$32.69	20.5%	5.9%	21.6%	0.0%	21.7%	2.0%	-0.5%	2.6M	-59.8M	-540.1K	1.21	21.06	1,284	1,551	48,309	25,029
2007-02-28	$33.60	$32.69	20.2%	5.8%	22.2%	0.0%	19.4%	0.7%	0.0%	2.4M	-53.1M	-522.8K	0.51	12.95	1,384	710	48,253	25,590