IP Options History — October 2007

In October 2007, IP traded between $32.61 and $34.61. ATM implied volatility averaged 26.7%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.3% (HV 20d: 18.4%). Max pain ranged from $32.69 to $35.02. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.25.

Notable Days

  • 2007-10-17: Highest Volume — 10,364 contracts
  • 2007-10-11: Largest IV spike — 32.4% change
  • 2007-10-30: Highest IV Rank — 58.1%
  • 2007-10-30: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.56$32.61$34.61$33.62$34.52
Max Pain$33.60$32.69$35.02$32.69$32.69
ATM IV26.7%20.1%32.0%22.9%27.9%
Expected Move7.9%6.4%9.2%6.6%8.0%
HV 20d18.4%14.3%24.1%15.3%24.1%
HV 60d25.4%23.0%27.2%27.2%23.6%
IV Rank41.4%20.5%58.1%29.3%45.2%
IV Percentile74.9%31.4%92.8%63.1%78.9%
Term Structure-0.6%-4.4%4.5%4.3%-1.2%
VWIV27.3%21.3%31.9%22.5%30.7%
Skew 25d3.7%1.3%5.9%1.3%3.5%
Skew 10d9.2%-0.1%18.8%11.7%6.7%
Call IV 25d25.5%20.9%29.0%22.6%28.0%
Put IV 25d29.2%23.5%32.8%23.8%31.5%
Bid-Ask Spread %16.709.5226.589.5218.23
Gamma HHI0.300.250.430.310.29
Net GEX63.1K-2.4M1.6M-324.5K1.6M
Net DEX-27.2M-54.8M4.0M-23.7M-53.7M
Net VEX-676.3K-704.5K-649.0K-681.9K-680.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.054.901.320.65
Total Volume2,54437510,3645,500868
Total OI116,440.21796,033128,272121,584104,131

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$33.62$32.6922.9%6.6%15.3%29.3%22.5%1.3%4.3%-324.5K-23.7M-681.9K1.329.522,3663,13465,89555,689
2007-10-02$33.65$32.6923.2%6.6%15.0%30.2%22.7%2.6%4.5%-140.2K-27.0M-674.2K3.2413.2518760766,13254,423
2007-10-03$33.43$32.6922.7%6.5%15.2%28.7%22.5%3.0%3.8%-350.3K-22.0M-690.8K0.6113.9823214367,56655,964
2007-10-04$33.27$32.6922.3%6.4%15.3%27.4%21.3%3.9%4.3%-521.1K-17.4M-684.8K0.6815.5329620167,58555,995
2007-10-05$34.02$35.0220.1%7.0%16.1%20.5%24.9%3.6%-0.0%106.9K-37.0M-697.1K0.9512.862,0101,91567,68756,083
2007-10-08$34.01$35.0222.8%7.3%14.3%29.2%26.3%3.5%-0.9%105.3K-36.4M-699.9K0.3913.0045717768,54257,108
2007-10-09$34.61$35.0221.9%7.1%15.2%26.1%24.1%3.7%0.1%722.0K-54.8M-704.5K0.7115.771,40299668,78757,223
2007-10-10$33.79$35.0221.7%7.8%18.0%25.7%26.9%2.9%-1.2%-176.8K-30.5M-695.5K2.4816.6833181969,00757,450
2007-10-11$33.73$35.0228.7%8.2%18.0%47.7%27.2%3.6%-2.4%-125.4K-27.7M-695.4K4.8416.649044,37769,01657,037
2007-10-12$33.32$35.0226.9%7.7%18.7%41.9%26.8%2.9%-0.8%-651.1K-16.9M-675.8K4.9018.698843168,99157,338
2007-10-15$32.96$35.0228.9%8.3%19.0%48.2%27.4%5.6%-2.0%-945.9K-7.8M-662.2K2.9018.761,0322,99168,99357,604
2007-10-16$32.61$35.0229.1%8.3%16.7%48.8%29.1%4.6%-2.1%-1.7M4.0M-649.0K1.3119.1973596069,65158,233
2007-10-17$32.94$35.0228.3%8.1%16.6%46.4%28.2%3.7%-1.5%-894.5K-11.3M-655.9K0.0519.289,82454070,07156,843
2007-10-18$33.62$32.6929.7%8.5%18.1%50.6%29.9%3.4%-2.2%554.1K-38.2M-673.7K0.1720.412,33040371,98056,292
2007-10-19$32.78$32.6930.4%8.7%20.2%53.1%29.4%4.7%-2.1%-2.4M-15.3M-658.4K0.5226.582,3151,21071,93656,218
2007-10-22$32.89$32.6930.2%8.7%20.2%52.2%29.7%4.6%-1.9%530.4K-14.8M-652.6K0.3521.711,52252752,95943,074
2007-10-23$33.19$32.6929.3%8.4%20.3%49.6%29.4%4.9%-2.1%672.6K-19.5M-658.2K0.1913.061,49828753,42243,438
2007-10-24$33.14$32.6929.5%8.5%20.3%50.1%31.9%5.1%-2.0%728.1K-20.5M-660.7K0.7012.3278655254,04143,537
2007-10-25$33.54$32.6929.8%8.5%20.8%50.9%28.1%5.9%-1.4%969.2K-30.6M-665.3K1.2412.151,0961,36354,46043,878
2007-10-26$34.02$32.6927.8%8.0%21.4%44.9%29.0%2.6%-1.2%1.1M-39.1M-686.6K0.4718.182,3781,10855,30544,929
2007-10-29$34.47$32.6928.8%8.3%21.8%47.9%28.8%1.7%-2.3%1.3M-49.0M-673.3K0.0512.491,7758955,33044,929
2007-10-30$33.79$32.6932.0%9.2%23.1%58.1%31.8%3.4%-4.4%1.2M-37.1M-678.1K0.1225.761,11613458,04545,308
2007-10-31$34.52$32.6927.9%8.0%24.1%45.2%30.7%3.5%-1.2%1.6M-53.7M-680.0K0.6518.2352634258,83945,292