IP Options History — July 2007

In July 2007, IP traded between $34.29 and $38.72. ATM implied volatility averaged 27.2%, placing in the 82.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.2% (HV 20d: 25.0%). 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 3 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-07-27: Highest Volume — 18,990 contracts
  • 2007-07-03: Largest IV drop — 14.7% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.76$34.29$38.72$36.16$34.62
Max Pain$37.02$35.02$37.36$35.02$37.36
ATM IV27.2%18.8%38.2%22.0%38.2%
Expected Move7.8%5.4%11.0%6.3%11.0%
HV 20d25.0%20.9%32.3%21.2%32.2%
HV 60d19.9%17.1%23.5%17.1%23.5%
IV Rank82.6%48.9%100.0%48.9%100.0%
IV Percentile95.2%63.5%100.0%63.5%100.0%
Term Structure-2.7%-7.1%2.4%1.7%-7.1%
VWIV27.2%19.3%38.7%21.4%38.5%
Skew 25d1.7%-1.2%3.5%3.5%-1.2%
Skew 10d4.5%-1.0%12.7%12.7%-1.0%
Call IV 25d26.5%17.9%39.3%18.7%39.3%
Put IV 25d28.2%19.3%38.4%22.2%38.0%
Bid-Ask Spread %17.129.2426.979.6225.68
Gamma HHI0.420.260.620.420.33
Net GEX6.4M1.6M12.6M5.6M2.6M
Net DEX-129.3M-235.6M-27.4M-102.6M-40.4M
Net VEX-795.7K-867.4K-734.8K-777.6K-867.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.083.003.001.01
Total Volume5,041.47652718,9902,2201,909
Total OI135,414.095113,275153,551130,279130,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$36.16$35.0222.0%6.3%21.2%0.0%21.4%3.5%1.7%5.6M-102.6M-777.6K3.009.625551,66574,62155,658
2007-07-03$36.42$35.0218.8%5.4%20.9%0.0%19.3%1.4%2.4%5.9M-113.0M-760.6K1.5214.6720931874,03956,448
2007-07-05$37.37$35.0221.3%6.1%22.4%48.9%21.3%2.4%1.6%6.5M-151.1M-734.8K0.2518.043,40585174,80656,591
2007-07-06$36.73$37.3622.0%6.7%22.0%53.7%23.2%1.5%-1.3%6.5M-128.6M-752.4K0.2115.1111,2232,33776,41656,953
2007-07-09$37.00$37.3622.9%7.0%22.0%59.3%25.8%2.1%-1.9%7.7M-145.6M-776.4K0.2314.5255413082,75357,795
2007-07-10$36.24$37.3625.6%7.0%22.9%76.6%26.0%2.6%-1.9%6.5M-112.5M-778.7K0.2414.621,78743081,15857,896
2007-07-11$36.41$37.3623.9%6.8%21.2%65.9%24.7%3.0%-1.0%6.5M-114.0M-773.5K0.5414.1873839880,63557,955
2007-07-12$37.21$37.3623.8%6.8%21.5%65.4%23.8%2.5%-1.4%7.5M-151.3M-760.3K0.1818.113,22859380,81058,098
2007-07-13$38.09$37.3626.0%7.4%22.6%78.8%25.2%3.0%-2.7%7.5M-190.2M-756.2K0.1412.2414,3372,00682,95957,900
2007-07-16$37.37$37.3627.0%7.7%23.4%85.6%26.5%2.6%-3.8%9.9M-176.4M-803.5K0.1223.584,27650592,96358,713
2007-07-17$37.52$37.3627.2%7.8%23.3%86.3%26.7%1.3%-3.6%10.3M-184.7M-807.7K0.2417.551,16327894,24558,949
2007-07-18$38.21$37.3627.9%8.0%24.0%91.0%27.8%2.6%-3.6%9.2M-217.0M-786.0K0.6515.4266743294,43559,109
2007-07-19$38.72$37.3626.3%7.5%23.4%81.1%27.6%3.0%-3.4%8.3M-235.6M-760.9K0.1512.353,08546394,38259,169
2007-07-20$37.64$37.3627.1%7.8%25.7%86.3%26.6%1.0%-3.4%12.6M-188.0M-789.9K0.139.249,8401,27893,99759,403
2007-07-23$38.07$37.3628.6%8.2%25.9%95.6%27.5%2.3%-3.7%5.4M-136.4M-780.7K0.9716.082,9462,84372,22841,047
2007-07-24$37.58$37.3629.0%8.3%26.2%98.3%29.7%0.8%-3.4%4.8M-120.6M-856.5K1.1118.8157964174,27044,477
2007-07-25$36.40$37.3628.7%8.2%28.4%96.2%22.9%0.2%-3.0%3.9M-88.1M-833.7K2.6114.208882,31873,93444,707
2007-07-26$35.02$37.3632.4%9.3%31.8%100.0%31.9%1.4%-5.4%2.4M-45.6M-842.9K2.2326.971,7063,80573,87746,572
2007-07-27$34.29$37.3635.7%10.2%32.3%100.0%36.6%-0.4%-4.9%1.6M-27.4M-842.3K0.0824.2217,5631,42774,12749,067
2007-07-30$34.93$37.3637.5%10.8%32.2%100.0%38.7%0.2%-7.1%2.8M-45.1M-867.1K0.9924.211,2511,24480,47949,352
2007-07-31$34.62$37.3638.2%11.0%32.2%100.0%38.5%-1.2%-7.1%2.6M-40.4M-867.4K1.0125.6894996081,12549,578