IP Options History — April 2007 In April 2007, IP traded between $34.16 and $35.68. ATM implied volatility averaged 21.5%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.3% (HV 20d: 18.2%). Max pain ranged from $32.69 to $35.02. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.61.
Notable Days 2007-04-10 : Highest Volume — 8,082 contracts2007-04-12 : Largest IV spike — 16.3% change2007-04-30 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $34.71 $34.16 $35.68 $34.22 $35.23 Max Pain $33.15 $32.69 $35.02 $32.69 $35.02 ATM IV 21.5% 17.6% 24.1% 18.8% 24.1% Expected Move 6.3% 5.0% 6.9% 5.4% 6.9% HV 20d 18.2% 16.4% 20.8% 16.4% 19.3% HV 60d 20.1% 19.2% 20.6% 19.9% 19.7% Term Structure -0.6% -2.4% 4.2% 2.8% -1.9% VWIV 22.2% 17.7% 25.5% 19.1% 24.2% Skew 25d 2.0% -0.1% 6.7% 2.2% -0.1% Skew 10d 3.4% -5.7% 10.9% 3.4% 0.6% Call IV 25d 21.3% 14.5% 24.7% 17.7% 24.7% Put IV 25d 23.3% 18.8% 24.7% 19.9% 24.7% Bid-Ask Spread % 13.34 6.33 19.32 9.71 17.79 Gamma HHI 0.27 0.24 0.29 0.29 0.28 Net GEX 2.6M 1.9M 3.4M 2.4M 3.1M Net DEX -82.4M -99.1M -61.8M -74.1M -83.8M Net VEX -835.1K -870.1K -796.3K -803.3K -851.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.05 2.01 0.64 0.39 Total Volume 2,399.1 219 8,082 1,777 219 Total OI 113,916.15 102,544 121,773 109,274 110,332
Daily Data (20 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 2007-04-02 $34.22 $32.69 18.8% 5.4% 16.4% 0.0% 19.1% 2.2% 2.8% 2.4M -74.1M -803.3K 0.64 9.71 1,085 692 62,003 47,271 2007-04-03 $35.04 $32.69 18.8% 5.4% 17.9% 0.0% 18.9% 6.7% 3.5% 2.5M -95.7M -803.3K 0.68 6.42 1,906 1,291 62,279 47,565 2007-04-04 $34.16 $32.69 17.9% 5.1% 20.5% 0.0% 18.6% 1.5% 3.8% 2.3M -72.5M -809.1K 0.45 19.32 3,094 1,400 62,805 48,361 2007-04-05 $34.36 $32.69 17.6% 5.0% 20.5% 0.0% 17.7% 2.5% 4.2% 2.5M -78.7M -817.7K 0.56 6.33 177 99 64,417 49,145 2007-04-09 $34.61 $32.69 19.4% 6.5% 20.6% 0.0% 22.2% 3.3% -0.9% 2.6M -86.8M -804.7K 0.10 13.28 1,252 122 64,475 49,228 2007-04-10 $34.97 $32.69 19.6% 6.6% 20.8% 0.0% 23.6% 1.7% -1.3% 2.8M -99.1M -796.3K 0.77 10.79 4,557 3,525 65,011 49,222 2007-04-11 $34.69 $32.69 19.0% 6.6% 17.5% 0.0% 22.2% 2.4% -1.4% 2.6M -89.5M -870.1K 0.14 15.87 2,601 365 67,586 52,616 2007-04-12 $34.45 $32.69 22.1% 6.3% 17.3% 0.0% 23.4% 2.7% -0.5% 2.6M -82.8M -870.1K 1.20 15.61 196 235 68,659 52,777 2007-04-13 $34.48 $32.69 22.7% 6.5% 16.8% 0.0% 22.2% 1.4% -1.6% 2.6M -82.9M -869.5K 0.62 16.72 325 201 68,610 52,845 2007-04-16 $34.60 $32.69 22.8% 6.5% 16.7% 0.0% 24.5% 2.0% -1.5% 2.7M -87.7M -850.2K 0.17 9.63 1,272 216 68,584 52,879 2007-04-17 $34.68 $32.69 23.3% 6.7% 16.4% 0.0% 25.5% 2.2% -2.1% 2.7M -88.6M -851.3K 0.23 14.29 1,245 290 68,446 53,030 2007-04-18 $34.38 $32.69 23.4% 6.7% 16.4% 0.0% 20.6% 0.9% -2.0% 2.5M -80.3M -844.1K 0.78 14.33 474 372 68,505 53,009 2007-04-19 $34.22 $32.69 22.9% 6.6% 16.4% 0.0% 25.2% 1.7% -2.0% 1.9M -74.6M -836.7K 0.16 15.92 1,745 278 68,720 53,053 2007-04-20 $34.74 $32.69 22.7% 6.5% 17.2% 0.0% 21.2% 2.2% -1.6% 3.4M -85.8M -833.8K 2.01 12.11 1,489 2,987 68,333 52,789 2007-04-23 $34.70 $32.69 22.6% 6.5% 17.2% 0.0% 22.8% 2.3% -1.9% 1.9M -65.1M -843.8K 0.72 12.42 565 409 59,101 45,831 2007-04-24 $34.46 $32.69 22.2% 6.4% 17.4% 0.0% 22.4% 1.1% -1.2% 2.1M -61.8M -826.6K 1.21 18.02 414 501 59,481 43,063 2007-04-25 $35.31 $35.02 22.7% 6.5% 19.3% 0.0% 22.7% 1.6% -2.2% 2.5M -81.3M -823.8K 0.05 10.74 3,247 170 59,656 43,311 2007-04-26 $35.68 $35.02 23.3% 6.7% 18.9% 0.0% 23.4% 0.5% -1.9% 3.1M -94.6M -828.4K 0.97 16.88 3,236 3,147 61,693 43,342 2007-04-27 $35.19 $35.02 23.9% 6.8% 19.7% 0.0% 23.8% 0.4% -2.4% 3.0M -81.7M -868.6K 0.26 10.71 2,052 531 64,115 46,175 2007-04-30 $35.23 $35.02 24.1% 6.9% 19.3% 0.0% 24.2% -0.1% -1.9% 3.1M -83.8M -851.1K 0.39 17.79 158 61 64,125 46,207
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