IP Options History — June 2007

In June 2007, IP traded between $34.64 and $37.24. ATM implied volatility averaged 20.3%. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.1% (HV 20d: 18.2%). Max pain ranged from $35.02 to $37.36. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2007-06-18: Highest Volume — 8,041 contracts
  • 2007-06-07: Largest IV spike — 13.4% change
  • 2007-06-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.94$34.64$37.24$36.96$36.47
Max Pain$35.13$35.02$37.36$37.36$35.02
ATM IV20.3%18.5%23.4%18.8%18.9%
Expected Move5.9%5.3%6.4%5.4%5.4%
HV 20d18.2%14.0%21.3%14.0%21.3%
HV 60d17.2%16.3%18.0%16.6%17.0%
Term Structure1.5%0.1%3.5%2.1%2.4%
VWIV20.5%19.0%22.4%19.1%19.0%
Skew 25d1.8%0.1%3.0%0.2%0.1%
Skew 10d5.2%-0.8%11.8%-0.8%3.6%
Call IV 25d20.1%18.6%22.2%21.2%20.0%
Put IV 25d21.9%20.0%24.1%21.4%20.1%
Bid-Ask Spread %14.487.8424.3517.8512.12
Gamma HHI0.350.280.440.330.44
Net GEX4.6M3.1M5.8M4.3M5.8M
Net DEX-100.0M-144.3M-55.0M-135.4M-117.8M
Net VEX-829.0K-889.4K-776.1K-870.7K-776.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.091.870.550.16
Total Volume2,269.2381668,0411,3291,878
Total OI131,114.714126,249135,008130,566129,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$36.96$37.3618.8%5.4%14.0%0.0%19.1%0.2%2.1%4.3M-135.4M-870.7K0.5517.8585947076,24654,320
2007-06-04$37.24$35.0219.8%6.1%14.1%0.0%21.6%2.6%0.1%4.4M-144.3M-844.1K0.1516.232,84943475,99754,466
2007-06-05$36.73$35.0219.6%5.9%14.9%0.0%20.6%2.2%1.0%4.7M-130.5M-873.2K0.1310.682,52631778,54654,750
2007-06-06$36.30$35.0218.9%5.8%15.5%0.0%22.3%2.8%0.7%4.6M-113.2M-889.4K0.1116.574,42050578,51454,799
2007-06-07$35.57$35.0221.5%6.3%15.8%0.0%21.3%1.8%0.4%4.1M-88.4M-883.8K0.2618.292,89075378,50454,979
2007-06-08$35.84$35.0220.8%6.2%15.7%0.0%19.9%3.0%0.4%4.1M-90.7M-841.1K0.2618.3745011976,46455,150
2007-06-11$35.41$35.0221.7%6.1%15.8%0.0%21.3%1.5%0.8%3.9M-78.1M-835.4K0.8818.7150244476,44455,235
2007-06-12$34.64$35.0223.4%6.3%17.5%0.0%22.3%1.7%0.3%3.1M-55.0M-829.9K0.5217.811,21062577,66554,675
2007-06-13$35.28$35.0222.5%6.4%18.8%0.0%22.4%2.9%0.4%3.9M-73.4M-838.9K0.189.334,40777577,67254,911
2007-06-14$35.16$35.0221.1%6.1%18.4%0.0%21.2%1.4%0.8%4.4M-75.7M-837.4K0.5711.761,24170179,63455,191
2007-06-15$35.80$35.0221.4%6.1%19.4%0.0%21.1%1.7%0.9%4.4M-102.1M-837.4K0.5919.6657433880,39354,615
2007-06-18$36.07$35.0219.9%5.7%19.4%0.0%19.8%1.1%2.0%5.2M-108.2M-812.4K0.677.844,8113,23072,96553,284
2007-06-19$36.36$35.0218.5%5.3%19.4%0.0%22.0%0.8%1.9%5.1M-112.8M-805.6K0.9312.8979573772,65355,161
2007-06-20$35.84$35.0219.8%5.7%20.1%0.0%19.1%2.1%2.6%4.5M-95.7M-818.5K0.319.521,02032172,98555,229
2007-06-21$36.34$35.0218.6%5.3%20.7%0.0%19.2%1.3%1.7%5.3M-111.9M-810.0K0.1219.192,68230873,70255,243
2007-06-22$36.23$35.0219.2%5.5%20.2%0.0%19.5%1.1%1.6%5.4M-114.3M-820.8K0.1424.351,60322375,80055,353
2007-06-25$35.96$35.0221.0%6.0%19.9%0.0%19.7%2.1%2.1%5.1M-98.3M-805.0K0.1510.145688374,90055,542
2007-06-26$35.50$35.0220.6%5.9%20.3%0.0%19.8%2.0%2.2%4.6M-84.3M-800.7K0.449.8986038174,90455,564
2007-06-27$35.39$35.0220.2%5.8%20.1%0.0%20.0%2.5%3.5%4.5M-78.4M-788.7K1.8712.6220237774,75155,694
2007-06-28$35.75$35.0219.6%5.6%20.3%0.0%19.1%2.2%2.7%5.1M-91.9M-790.9K0.0910.311521474,75355,882
2007-06-29$36.47$35.0218.9%5.4%21.3%0.0%19.0%0.1%2.4%5.8M-117.8M-776.1K0.1612.121,61925974,34155,533