IP Options History — May 2007

In May 2007, IP traded between $35.35 and $36.58. ATM implied volatility averaged 21.4%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.5% (HV 20d: 15.9%). Max pain ranged from $35.02 to $37.36. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-05-15: Highest Volume — 38,098 contracts
  • 2007-05-03: Largest IV drop — 21.9% change
  • 2007-05-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.11$35.35$36.58$35.35$36.58
Max Pain$35.45$35.02$37.36$35.02$37.36
ATM IV21.4%19.2%29.3%24.4%19.4%
Expected Move6.1%5.5%8.4%7.0%5.6%
HV 20d15.9%13.8%19.2%19.2%13.8%
HV 60d18.2%16.5%19.6%19.4%16.5%
Term Structure-0.1%-5.8%1.9%-2.2%1.9%
VWIV21.1%19.3%29.0%24.8%20.3%
Skew 25d1.9%-0.9%4.9%1.2%0.4%
Skew 10d5.0%-4.2%12.9%4.8%-4.2%
Call IV 25d20.4%17.0%28.9%24.0%21.2%
Put IV 25d22.3%20.3%29.4%25.3%21.6%
Bid-Ask Spread %15.077.8225.0121.1315.43
Gamma HHI0.320.260.370.280.33
Net GEX3.8M3.1M4.7M3.1M4.1M
Net DEX-102.8M-124.6M-76.4M-86.2M-124.6M
Net VEX-831.8K-886.8K-484.8K-850.2K-877.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.017.900.450.42
Total Volume5,699.40939838,098686970
Total OI120,430.18283,157130,474110,277130,143

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$35.35$35.0224.4%7.0%19.2%0.0%24.8%1.2%-2.2%3.1M-86.2M-850.2K0.4521.1347421264,12346,154
2007-05-02$35.87$35.0229.3%8.4%18.0%0.0%29.0%0.5%-5.8%3.2M-100.4M-844.8K0.3018.057,6432,28664,18146,347
2007-05-03$35.68$35.0222.9%6.6%15.3%0.0%22.8%-0.9%-1.1%4.1M-96.0M-853.5K0.2510.913,22779269,58747,501
2007-05-04$35.58$35.0221.8%6.0%15.4%0.0%20.0%2.0%0.1%3.9M-92.6M-847.7K1.4412.5947568471,49047,588
2007-05-07$35.90$35.0222.8%6.1%15.5%0.0%20.6%2.3%-0.1%4.3M-100.7M-830.8K0.2319.0557813171,31348,036
2007-05-08$35.69$35.0222.8%6.2%15.3%0.0%19.4%2.7%0.0%4.0M-94.7M-843.3K7.9011.897886,22671,33948,077
2007-05-09$36.33$35.0222.6%5.9%16.0%0.0%20.8%2.2%-0.4%4.6M-111.3M-862.6K0.0517.891,7068071,58654,085
2007-05-10$35.96$35.0221.7%6.2%16.3%0.0%21.4%1.2%0.5%4.2M-101.8M-861.5K0.0321.732,0245272,56254,088
2007-05-11$36.32$35.0220.6%5.9%16.5%0.0%20.8%2.0%-0.2%4.6M-111.2M-867.2K0.4217.5872830672,53154,083
2007-05-14$36.25$35.0221.3%6.1%16.6%0.0%21.6%1.0%-0.2%3.9M-76.4M-484.8K0.2024.821,86837949,89633,261
2007-05-15$36.45$35.0220.9%6.0%16.6%0.0%21.0%1.6%-0.5%4.7M-116.8M-844.7K0.0125.0137,70938973,04754,158
2007-05-16$36.00$35.0221.4%6.1%16.9%0.0%20.7%4.0%-0.2%3.8M-100.2M-844.7K1.3817.795,2657,28470,75654,424
2007-05-17$36.24$35.0219.8%5.7%16.8%0.0%21.1%4.9%0.6%4.7M-112.4M-851.0K0.0917.653643474,15856,316
2007-05-18$36.53$35.0219.5%5.6%16.3%0.0%19.5%1.7%1.1%3.5M-114.1M-831.5K0.049.244,41016572,66356,163
2007-05-21$36.25$35.0219.3%5.5%16.7%0.0%21.0%4.0%0.9%3.1M-105.6M-842.2K0.877.821,8671,62865,80751,294
2007-05-22$36.24$35.0220.0%5.7%16.3%0.0%20.0%2.7%-0.0%3.2M-105.1M-852.6K0.079.601,0396966,71152,671
2007-05-23$36.38$35.0219.4%5.5%14.2%0.0%19.7%0.3%1.0%3.2M-110.0M-838.2K1.5511.1123135967,07152,627
2007-05-24$35.95$35.0220.6%5.9%14.5%0.0%19.5%1.6%1.1%3.1M-96.9M-854.8K0.589.9313,9988,05167,15652,497
2007-05-25$36.38$37.3619.2%5.5%14.0%0.0%19.3%0.6%1.0%3.1M-100.3M-818.4K0.4411.1981735768,29854,672
2007-05-29$36.10$37.3622.3%6.4%14.4%0.0%20.3%3.4%-0.6%3.1M-92.5M-809.7K0.0410.195,24922768,81654,289
2007-05-30$36.30$37.3619.3%5.5%14.5%0.0%21.3%2.7%1.9%3.6M-111.1M-886.8K0.0610.934,01623073,58054,319
2007-05-31$36.58$37.3619.4%5.6%13.8%0.0%20.3%0.4%1.9%4.1M-124.6M-877.4K0.4215.4368328775,91654,227