IP Options History — November 2007

In November 2007, IP traded between $30.23 and $33.69. ATM implied volatility averaged 30.3%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.8% (HV 20d: 27.6%). Max pain ranged from $32.69 to $32.69. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2007-11-26: Highest Volume — 8,134 contracts
  • 2007-11-12: Largest IV spike — 18.9% change
  • 2007-11-12: Highest IV Rank — 69.1%
  • 2007-11-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.72$30.23$33.69$33.69$31.52
Max Pain$32.69$32.69$32.69$32.69$32.69
ATM IV30.3%27.6%35.6%33.7%28.7%
Expected Move8.5%7.6%9.7%9.7%8.2%
HV 20d27.6%24.1%31.6%25.7%29.9%
HV 60d22.5%21.3%24.1%23.9%24.1%
IV Rank52.6%44.1%69.1%63.4%47.6%
IV Percentile85.6%72.4%95.9%94.3%75.7%
Term Structure-0.1%-5.2%1.5%-5.2%-0.1%
VWIV29.4%25.8%33.0%33.0%27.8%
Skew 25d4.8%2.8%6.9%3.4%6.2%
Skew 10d10.9%2.7%19.8%2.7%16.8%
Call IV 25d27.1%23.1%30.5%30.5%23.1%
Put IV 25d31.9%29.3%34.9%34.0%29.3%
Bid-Ask Spread %18.6912.7229.5318.7117.83
Gamma HHI0.230.210.290.270.22
Net GEX-261.3K-1.4M1.2M1.2M-1.0M
Net DEX4.4M-38.4M30.4M-38.4M9.0M
Net VEX-613.7K-678.9K-556.5K-678.9K-599.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.146.162.530.24
Total Volume2,429.5717368,1342,148736
Total OI107,240.714102,197112,696104,209106,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$33.69$32.6933.7%9.7%25.7%63.4%33.0%3.4%-5.2%1.2M-38.4M-678.9K2.5318.716091,53958,88745,322
2007-11-02$33.11$32.6928.5%8.2%25.1%46.9%27.8%5.3%-0.7%684.6K-20.0M-657.3K1.0429.5391194759,22046,689
2007-11-05$33.07$32.6929.4%8.0%25.1%49.9%27.2%4.7%1.1%672.4K-19.3M-651.0K1.3719.7153072559,58546,874
2007-11-06$33.08$32.6927.7%7.6%24.1%44.5%26.5%4.7%0.6%649.6K-19.5M-647.4K0.2921.081,80951759,92547,102
2007-11-07$31.99$32.6929.3%7.9%25.5%49.4%27.6%2.8%0.4%61.5K2.1M-624.6K1.4414.159771,40760,57647,246
2007-11-08$32.28$32.6927.9%8.2%25.8%45.0%29.6%5.5%0.2%252.7K-3.5M-632.9K2.4717.897781,92361,01647,374
2007-11-09$31.91$32.6929.9%8.7%25.7%51.4%31.1%3.8%0.0%93.4K1.8M-636.7K2.1325.3645897761,22548,295
2007-11-12$31.54$32.6935.6%8.7%25.8%69.1%30.9%5.7%0.2%-286.0K13.0M-613.3K1.1619.7957266461,32948,701
2007-11-13$32.25$32.6932.0%8.2%27.0%57.9%31.2%6.9%1.2%91.5K86.0K-627.6K0.6222.671,8711,15261,47649,008
2007-11-14$32.21$32.6931.8%8.5%26.7%57.2%29.4%3.1%0.2%542.1K-5.4M-637.8K0.3921.621,34152161,75949,502
2007-11-15$31.33$32.6931.1%8.9%27.0%55.1%31.6%3.4%-0.7%-422.9K13.7M-603.1K6.1613.885693,51161,83348,394
2007-11-16$31.86$32.6927.6%7.9%26.6%44.1%28.3%4.9%1.5%-193.3K6.1M-625.1K0.4714.6353925361,96050,736
2007-11-19$30.99$32.6929.4%8.4%28.1%49.7%28.5%4.3%1.1%-670.6K15.3M-586.4K1.0718.571,4391,53655,41547,825
2007-11-20$31.32$32.6929.9%8.6%28.2%51.4%27.8%5.1%0.8%-609.5K9.2M-591.2K4.2121.518423,54755,16347,264
2007-11-21$30.23$32.6931.4%9.0%30.5%55.9%31.2%4.1%-0.1%-818.8K24.5M-559.2K3.8319.117722,95755,15247,045
2007-11-23$30.72$32.6931.3%9.0%30.8%55.8%31.0%3.9%-0.7%-1.1M22.5M-570.3K0.8712.7247641255,57849,418
2007-11-26$30.33$32.6932.0%9.2%30.1%57.9%32.1%5.6%-1.1%-1.2M27.4M-556.5K6.1513.761,1376,99755,70749,540
2007-11-27$30.37$32.6930.8%8.8%29.4%54.1%30.6%5.4%-0.6%-1.4M30.4M-583.8K0.2115.271,25326956,36452,531
2007-11-28$31.30$32.6929.9%8.6%31.6%51.5%28.5%6.5%-1.1%-880.8K9.3M-611.3K0.9218.6587180057,45849,609
2007-11-29$31.15$32.6928.8%8.3%30.2%47.8%25.8%5.9%-0.1%-1.2M14.9M-594.4K0.1416.141,64323457,59549,737
2007-11-30$31.52$32.6928.7%8.2%29.9%47.6%27.8%6.2%-0.1%-1.0M9.0M-599.2K0.2417.8359314357,04849,572