IP Options History — August 2007

In August 2007, IP traded between $29.77 and $34.45. ATM implied volatility averaged 32.4%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.2% (HV 20d: 32.6%). Max pain ranged from $32.69 to $37.36. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-08-15: Highest Volume — 9,183 contracts
  • 2007-08-02: Largest IV drop — 22.2% change
  • 2007-08-01: Highest IV Rank — 100.0%
  • 2007-08-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.79$29.77$34.45$34.45$32.79
Max Pain$34.62$32.69$37.36$37.36$32.69
ATM IV32.4%25.4%45.4%40.2%26.3%
Expected Move9.0%7.3%11.5%11.5%7.5%
HV 20d32.6%30.5%35.2%32.0%30.5%
HV 60d27.0%23.4%28.8%23.4%28.7%
IV Rank65.0%37.1%100.0%100.0%40.1%
IV Percentile91.9%80.2%100.0%100.0%80.2%
Term Structure-0.2%-7.6%2.3%-7.6%2.1%
VWIV31.5%26.2%41.2%41.2%26.2%
Skew 25d2.8%-1.3%6.7%-0.6%2.9%
Skew 10d5.6%-6.4%14.7%0.1%6.7%
Call IV 25d30.6%25.0%42.1%42.1%25.8%
Put IV 25d33.4%28.7%41.5%41.5%28.7%
Bid-Ask Spread %17.1810.5725.0124.0611.14
Gamma HHI0.240.220.320.320.26
Net GEX70.3K-753.8K2.2M2.2M432.5K
Net DEX6.6M-32.5M38.0M-32.5M-28.3M
Net VEX-740.9K-872.3K-673.5K-872.3K-735.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.082.300.991.03
Total Volume3,641.2612949,1836,0585,095
Total OI127,744.13110,381149,518131,662114,920

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$34.45$37.3640.2%11.5%32.0%100.0%41.2%-0.6%-7.6%2.2M-32.5M-872.3K0.9924.063,0493,00981,55050,112
2007-08-02$33.24$37.3631.3%9.0%32.2%66.5%32.2%-1.3%-1.7%837.1K-1.4M-806.6K1.5920.052,0423,25182,72451,247
2007-08-03$32.56$37.3631.8%9.1%32.4%68.6%30.3%-0.2%-0.9%214.7K13.4M-789.9K0.8325.012,4102,00683,24252,869
2007-08-06$32.22$35.0233.0%9.0%32.0%73.2%32.1%2.0%-0.3%19.9K20.7M-767.4K0.4320.593,2681,41884,66953,448
2007-08-07$32.43$35.0230.6%8.7%31.9%64.0%30.6%1.8%-0.1%-103.4K19.8M-762.5K0.3514.431,84365584,33354,225
2007-08-08$33.06$35.0232.7%8.5%32.9%72.0%29.9%3.3%-0.5%268.9K1.5M-786.5K0.1722.266,2261,05384,90252,707
2007-08-09$31.43$35.0235.0%9.5%35.2%80.4%31.9%1.8%-0.7%-7.9K24.9M-749.5K0.1318.171,49819089,76552,700
2007-08-10$31.50$35.0236.9%9.8%33.4%87.6%33.0%1.6%-0.8%-38.8K25.0M-740.1K0.3416.511,35746589,63152,292
2007-08-13$31.15$35.0234.9%9.6%33.2%80.3%31.4%1.7%-0.6%-81.8K25.1M-731.3K0.8317.211,7121,42286,94952,291
2007-08-14$30.63$35.0239.5%9.7%32.9%97.5%33.0%2.1%-0.9%-187.6K27.7M-700.4K0.5511.092,1091,15587,40951,162
2007-08-15$29.77$35.0245.4%10.4%31.7%100.0%36.2%4.0%-1.5%-251.2K38.0M-673.5K2.3014.472,7826,40187,98651,184
2007-08-16$30.18$35.0238.6%11.1%31.8%78.7%39.0%4.1%-0.6%-753.8K32.3M-729.1K0.6217.073,3972,10890,16455,736
2007-08-17$30.88$35.0236.5%10.5%33.5%71.9%36.9%4.7%-0.8%-742.8K20.1M-754.9K1.8016.451,3612,44791,23758,281
2007-08-20$30.58$35.0233.7%9.7%32.6%63.4%33.9%5.8%-0.5%-245.0K13.4M-703.6K0.9713.461,1381,11063,04148,439
2007-08-21$30.64$35.0231.2%8.9%32.9%55.4%31.4%2.6%1.0%-354.1K14.8M-696.4K1.8814.472,0183,78963,88348,766
2007-08-22$31.58$35.0227.7%7.9%34.8%44.5%28.2%4.8%0.9%-81.6K-2.9M-705.1K1.1613.371,0611,22862,65747,724
2007-08-23$31.70$32.6927.2%7.8%32.9%42.7%27.2%3.6%0.6%-50.4K-4.1M-710.6K0.2713.661,75747862,69247,833
2007-08-24$32.13$32.6925.4%7.3%32.9%37.1%26.2%4.1%1.8%98.2K-12.1M-723.6K0.4719.2058827963,42247,922
2007-08-27$32.08$32.6925.7%7.4%32.0%38.0%28.8%3.5%2.3%78.3K-12.2M-709.1K0.9118.911,1301,03263,57348,027
2007-08-28$31.57$32.6928.6%8.2%32.2%47.4%30.2%2.9%1.0%-97.9K-1.4M-711.8K0.9322.661,6561,54764,08848,893
2007-08-29$32.13$32.6926.4%7.6%33.1%40.4%26.5%6.7%2.0%178.3K-13.1M-732.5K0.4320.412068865,26049,392
2007-08-30$32.46$32.6927.8%8.0%31.2%44.7%28.1%2.7%1.3%239.4K-18.0M-747.1K0.0810.578476865,34849,420
2007-08-31$32.79$32.6926.3%7.5%30.5%40.1%26.2%2.9%2.1%432.5K-28.3M-735.8K1.0311.142,5072,58865,74349,177