IP Options History — March 2007 In March 2007, IP traded between $32.06 and $34.05. ATM implied volatility averaged 20.2%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.7% (HV 20d: 20.9%). Max pain ranged from $32.69 to $32.69. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.50.
Notable Days 2007-03-02 : Highest Volume — 11,453 contracts2007-03-05 : Largest IV spike — 12.8% change2007-03-13 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $33.25 $32.06 $34.05 $33.41 $33.99 Max Pain $32.69 $32.69 $32.69 $32.69 $32.69 ATM IV 20.2% 18.2% 23.2% 21.4% 18.2% Expected Move 5.8% 5.2% 6.4% 6.1% 5.2% HV 20d 20.9% 17.2% 23.3% 22.2% 17.2% HV 60d 20.8% 20.1% 21.5% 20.7% 20.1% Term Structure 0.8% -0.8% 3.2% -0.7% 2.6% VWIV 20.5% 18.5% 23.3% 21.1% 19.5% Skew 25d 2.1% -0.1% 3.6% -0.1% 2.3% Skew 10d 6.3% -2.1% 12.2% -2.1% 3.2% Call IV 25d 19.1% 16.0% 21.3% 20.8% 17.6% Put IV 25d 21.2% 16.6% 24.1% 20.6% 19.9% Bid-Ask Spread % 10.32 5.67 18.98 11.70 10.89 Gamma HHI 0.24 0.21 0.27 0.23 0.27 Net GEX 2.0M 1.5M 2.3M 2.3M 2.2M Net DEX -51.5M -70.7M -22.4M -48.8M -67.7M Net VEX -746.4K -824.2K -530.8K -530.8K -807.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.00 10.89 0.10 0.22 Total Volume 3,575.682 95 11,453 5,667 4,221 Total OI 98,767.636 74,993 107,116 74,993 107,116
Daily Data (22 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 2007-03-01 $33.41 $32.69 21.4% 6.1% 22.2% 0.0% 21.1% -0.1% -0.7% 2.3M -48.8M -530.8K 0.10 11.70 5,153 514 49,044 25,949 2007-03-02 $32.73 $32.69 20.6% 5.9% 23.3% 0.0% 20.5% 0.6% 0.8% 2.1M -40.0M -591.0K 0.49 5.67 7,690 3,763 53,235 25,960 2007-03-05 $32.34 $32.69 23.2% 6.3% 22.6% 0.0% 23.0% 2.8% -0.8% 1.9M -38.9M -660.9K 0.28 10.92 4,010 1,140 59,020 29,003 2007-03-06 $32.67 $32.69 21.1% 6.0% 22.9% 0.0% 21.2% 2.2% 0.0% 2.3M -45.6M -653.8K 0.70 9.83 2,588 1,823 61,321 29,152 2007-03-07 $32.59 $32.69 20.5% 6.1% 22.6% 0.0% 21.4% 2.2% -0.5% 2.2M -44.4M -675.3K 10.89 12.29 539 5,866 60,830 30,385 2007-03-08 $32.83 $32.69 19.6% 6.0% 21.5% 0.0% 20.7% 2.0% -0.4% 2.0M -43.6M -729.6K 0.53 11.09 1,022 543 61,024 35,076 2007-03-09 $32.92 $32.69 19.9% 6.1% 20.7% 0.0% 21.8% 2.1% -0.8% 2.1M -46.9M -732.3K 1.33 8.27 1,296 1,722 61,535 35,185 2007-03-12 $33.01 $32.69 22.1% 6.1% 19.8% 0.0% 21.4% 2.5% -0.7% 2.2M -48.9M -733.4K 2.92 9.80 569 1,662 62,158 36,050 2007-03-13 $32.06 $32.69 22.1% 6.4% 21.6% 0.0% 23.3% 2.8% -0.6% 1.5M -22.4M -716.6K 1.79 10.42 2,005 3,584 62,230 36,273 2007-03-14 $32.57 $32.69 20.3% 6.3% 20.0% 0.0% 22.4% 2.5% -0.6% 1.7M -34.4M -757.2K 0.54 10.13 908 492 63,192 39,510 2007-03-15 $33.05 $32.69 22.1% 6.3% 20.9% 0.0% 21.6% 2.9% -0.3% 1.9M -46.1M -771.0K 1.92 8.83 2,318 4,446 62,951 39,683 2007-03-16 $32.97 $32.69 21.3% 6.1% 20.9% 0.0% 21.5% 3.4% 0.2% 1.7M -44.3M -778.8K 2.05 8.55 1,468 3,013 63,790 42,753 2007-03-19 $33.34 $32.69 20.2% 5.8% 20.8% 0.0% 19.6% 2.4% 1.2% 1.6M -48.2M -792.4K 0.93 18.98 1,431 1,335 55,981 43,187 2007-03-20 $33.73 $32.69 20.7% 5.9% 21.5% 0.0% 18.7% 3.6% 1.4% 1.7M -57.1M -791.7K 0.40 6.54 3,534 1,422 56,633 43,967 2007-03-21 $33.94 $32.69 18.6% 5.3% 21.7% 0.0% 19.9% 3.3% 1.9% 2.1M -63.7M -822.7K 0.38 8.52 1,877 717 59,076 44,765 2007-03-22 $34.04 $32.69 18.2% 5.2% 21.4% 0.0% 18.5% 0.6% 2.1% 2.3M -70.7M -820.5K 0.12 9.59 413 52 60,358 45,301 2007-03-23 $34.01 $32.69 18.6% 5.3% 21.4% 0.0% 19.1% 0.3% 1.9% 2.2M -68.8M -824.2K 0.76 10.60 431 328 60,349 45,302 2007-03-26 $34.05 $32.69 18.4% 5.3% 21.2% 0.0% 18.5% 3.4% 2.4% 2.3M -68.8M -815.4K 0.72 9.34 1,017 730 60,475 45,506 2007-03-27 $33.99 $32.69 18.5% 5.3% 18.3% 0.0% 18.6% 2.3% 2.2% 2.3M -68.6M -818.4K 0.00 12.33 95 0 60,502 45,894 2007-03-28 $33.62 $32.69 19.7% 5.6% 18.3% 0.0% 19.3% 0.7% 2.9% 2.2M -58.5M -799.3K 2.47 12.47 508 1,256 60,552 45,894 2007-03-29 $33.52 $32.69 19.3% 5.5% 18.3% 0.0% 19.1% 0.4% 3.2% 2.1M -56.3M -799.3K 3.40 10.34 264 900 60,605 46,116 2007-03-30 $33.99 $32.69 18.2% 5.2% 17.2% 0.0% 19.5% 2.3% 2.6% 2.2M -67.7M -807.1K 0.22 10.89 3,462 759 60,350 46,766
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