IP Options History — September 2007

In September 2007, IP traded between $32.15 and $33.64. ATM implied volatility averaged 26.7%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.3% (HV 20d: 21.4%). Max pain ranged from $32.69 to $32.69. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.64.

Notable Days

2007-09-10: Highest Volume — 18,223 contracts
2007-09-18: Largest IV drop — 10.9% change
2007-09-10: Highest IV Rank — 57.4%
2007-09-10: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.04	$32.15	$33.64	$33.12	$33.50
Max Pain	$32.69	$32.69	$32.69	$32.69	$32.69
ATM IV	26.7%	22.5%	31.8%	27.2%	22.6%
Expected Move	7.7%	6.5%	8.8%	7.8%	6.5%
HV 20d	21.4%	15.6%	30.4%	30.4%	15.6%
HV 60d	28.2%	27.4%	28.7%	28.7%	27.4%
IV Rank	41.3%	28.2%	57.4%	42.7%	28.5%
IV Percentile	77.6%	56.8%	91.3%	82.7%	57.5%
Term Structure	0.8%	-2.2%	3.7%	1.7%	3.7%
VWIV	27.0%	21.6%	31.6%	27.4%	22.1%
Skew 25d	3.1%	1.4%	5.1%	5.1%	2.4%
Skew 10d	6.5%	1.4%	14.1%	14.1%	10.5%
Call IV 25d	25.9%	21.1%	29.2%	25.4%	21.3%
Put IV 25d	29.0%	23.6%	33.4%	30.5%	23.7%
Bid-Ask Spread %	14.90	9.51	21.54	14.04	9.51
Gamma HHI	0.27	0.23	0.30	0.26	0.30
Net GEX	51.8K	-441.1K	558.2K	512.8K	-388.2K
Net DEX	-22.0M	-40.9M	-5.0M	-31.2M	-20.9M
Net VEX	-702.7K	-736.5K	-672.7K	-727.0K	-685.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.02	13.39	0.02	1.04
Total Volume	2,649.947	308	18,223	967	1,636
Total OI	120,106.474	114,592	128,230	114,912	120,384

Daily Data (19 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
2007-09-04	$33.12	$32.69	27.2%	7.8%	30.4%	42.7%	27.4%	5.1%	1.7%	512.8K	-31.2M	-727.0K	0.02	14.04	948	19	64,894	50,018
2007-09-05	$33.14	$32.69	28.7%	8.2%	30.3%	47.7%	31.6%	3.9%	0.9%	515.6K	-30.4M	-733.4K	2.90	13.57	861	2,500	64,575	50,017
2007-09-06	$33.25	$32.69	27.6%	7.9%	29.6%	44.1%	27.7%	2.5%	1.7%	465.0K	-30.7M	-736.5K	1.50	16.10	901	1,355	64,363	51,385
2007-09-07	$32.74	$32.69	28.9%	8.6%	23.6%	48.3%	31.5%	3.1%	-1.6%	135.1K	-17.8M	-724.8K	0.79	13.61	932	734	64,220	51,887
2007-09-10	$32.15	$32.69	31.8%	8.8%	24.6%	57.4%	30.8%	4.1%	-2.2%	-213.9K	-5.0M	-708.5K	1.80	21.54	6,498	11,725	65,005	52,505
2007-09-11	$32.34	$32.69	28.9%	8.6%	24.2%	48.2%	30.6%	4.7%	-1.7%	-31.7K	-9.5M	-711.2K	1.11	13.93	319	355	67,541	53,774
2007-09-12	$32.37	$32.69	29.4%	8.4%	23.3%	49.7%	29.4%	3.6%	-0.9%	-45.8K	-11.7M	-709.2K	0.95	13.31	244	231	67,624	53,779
2007-09-13	$32.56	$32.69	28.4%	8.1%	20.1%	46.6%	28.6%	3.0%	-0.3%	24.3K	-14.8M	-703.9K	0.86	15.80	788	675	67,678	53,931
2007-09-14	$32.61	$32.69	29.0%	8.3%	19.8%	48.5%	29.2%	4.5%	-1.1%	85.4K	-16.0M	-702.4K	0.81	15.60	433	353	68,096	54,146
2007-09-17	$32.40	$32.69	29.2%	8.4%	18.8%	49.0%	29.7%	3.1%	-1.0%	-26.6K	-11.0M	-689.6K	0.43	15.57	289	126	68,093	54,262
2007-09-18	$33.28	$32.69	26.0%	7.5%	20.1%	39.1%	26.9%	3.6%	0.3%	413.4K	-31.0M	-684.2K	1.21	16.91	1,175	1,421	68,076	54,289
2007-09-19	$33.64	$32.69	26.3%	7.5%	20.2%	39.9%	26.2%	2.5%	0.3%	558.2K	-40.9M	-689.9K	0.16	16.31	2,813	447	68,160	54,599
2007-09-20	$33.41	$32.69	25.4%	7.3%	18.2%	37.1%	25.8%	1.4%	1.4%	441.3K	-37.2M	-672.7K	13.39	12.46	435	5,823	68,418	54,353
2007-09-21	$33.49	$32.69	24.6%	7.1%	18.2%	34.8%	24.4%	1.6%	1.4%	-29.1K	-28.9M	-711.8K	1.31	15.02	561	733	68,358	59,872
2007-09-24	$33.24	$32.69	24.5%	7.0%	18.1%	34.4%	24.2%	2.4%	2.2%	-321.2K	-16.4M	-694.8K	1.65	14.00	612	1,007	64,136	54,245
2007-09-25	$33.41	$32.69	23.6%	6.8%	18.1%	31.7%	23.2%	2.2%	2.8%	-392.4K	-20.4M	-697.3K	0.25	17.01	247	61	64,427	54,967
2007-09-26	$33.54	$32.69	22.7%	6.5%	16.8%	28.7%	22.7%	3.1%	3.4%	-441.1K	-20.3M	-682.8K	0.08	17.85	1,572	133	64,417	54,912
2007-09-27	$33.55	$32.69	22.5%	6.5%	15.9%	28.2%	21.6%	2.4%	3.7%	-277.0K	-23.2M	-685.5K	0.86	10.99	748	639	65,687	54,930
2007-09-28	$33.50	$32.69	22.6%	6.5%	15.6%	28.5%	22.1%	2.4%	3.7%	-388.2K	-20.9M	-685.4K	1.04	9.51	804	832	65,367	55,017