IP Options History — December 2007

In December 2007, IP traded between $29.57 and $32.24. ATM implied volatility averaged 27.1%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 8.8% (HV 20d: 35.9%). Max pain ranged from $32.69 to $32.69. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-12-06: Highest Volume — 6,741 contracts
  • 2007-12-11: Largest IV spike — 15.2% change
  • 2007-12-12: Highest IV Rank — 52.5%
  • 2007-12-17: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.73$29.57$32.24$31.56$30.24
Max Pain$32.69$32.69$32.69$32.69$32.69
ATM IV27.1%24.1%30.3%26.1%27.0%
Expected Move7.7%7.0%8.3%7.5%7.7%
HV 20d35.9%29.4%38.7%29.4%35.9%
HV 60d28.2%24.0%30.4%24.0%30.4%
IV Rank42.7%33.2%52.5%39.4%42.3%
IV Percentile68.6%59.6%87.0%64.9%66.0%
Term Structure1.6%-0.8%2.9%0.7%1.3%
VWIV26.6%14.6%30.0%27.5%14.6%
Skew 25d3.4%1.9%6.5%6.3%3.4%
Skew 10d5.6%-1.4%12.1%6.0%6.4%
Call IV 25d25.9%21.0%29.4%23.1%25.8%
Put IV 25d29.3%27.2%32.4%29.3%29.1%
Bid-Ask Spread %11.516.8422.2311.229.84
Gamma HHI0.240.210.300.220.23
Net GEX-1.4M-2.0M-471.8K-1.1M-1.3M
Net DEX23.8M-12.8M51.9M5.6M34.2M
Net VEX-570.2K-677.8K-503.7K-592.1K-503.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.102.030.751.87
Total Volume1,906.656816,7411,8871,030
Total OI113,635.9107,067119,186107,067111,883

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$31.56$32.6926.1%7.5%29.4%39.4%27.5%6.3%0.7%-1.1M5.6M-592.1K0.7511.221,07781057,51549,552
2007-12-04$30.54$32.6928.7%8.2%31.4%47.5%28.6%1.9%-0.8%-1.4M26.7M-551.0K0.3522.232,17476658,00249,653
2007-12-05$30.43$32.6927.1%7.8%31.3%42.5%26.1%3.6%-0.3%-1.6M30.9M-548.9K0.4717.4381038059,59550,219
2007-12-06$31.89$32.6924.4%7.0%34.2%34.3%24.9%6.5%0.4%-757.1K-6.1M-602.0K0.7712.863,8142,92759,64650,093
2007-12-07$32.24$32.6924.1%7.3%34.3%33.2%27.4%2.4%1.9%-471.8K-12.8M-677.8K0.9810.8398396062,75752,738
2007-12-10$32.08$32.6925.4%7.1%34.1%37.3%25.7%3.5%2.0%-776.9K-4.8M-643.6K0.1011.362,33924261,30952,916
2007-12-11$30.56$32.6929.3%7.8%38.1%49.4%27.2%2.3%2.1%-1.5M27.4M-592.1K0.6010.4979047762,45552,934
2007-12-12$30.98$32.6930.3%8.0%37.5%52.5%27.0%4.1%1.6%-1.4M20.3M-607.7K0.6810.6071048562,44253,026
2007-12-13$31.33$32.6927.7%7.9%37.8%44.3%26.6%3.0%1.4%-1.3M11.9M-615.4K1.1113.1332335862,58353,159
2007-12-14$30.22$32.6927.5%7.9%38.7%43.9%27.5%3.8%1.7%-1.9M37.1M-571.5K1.158.5546353262,67153,295
2007-12-17$29.57$32.6928.9%8.3%38.7%48.1%30.0%3.0%1.0%-1.9M51.9M-524.9K0.696.841,42098562,92653,316
2007-12-18$30.02$32.6928.6%8.2%38.1%47.3%29.0%2.0%1.5%-2.0M39.6M-559.6K0.317.482,09664363,43453,593
2007-12-19$29.73$32.6928.3%8.1%38.0%46.4%29.2%2.6%1.1%-1.9M48.3M-539.1K2.037.4125050864,98953,595
2007-12-20$29.81$32.6926.8%7.7%35.9%41.7%26.6%3.6%2.4%-2.0M48.9M-526.6K0.659.771,40091465,02653,520
2007-12-21$30.90$32.6926.9%7.7%37.8%41.8%25.8%3.1%2.4%-1.5M18.6M-565.3K0.6011.481,47588765,51153,675
2007-12-24$30.98$32.6927.0%7.7%37.5%42.2%26.6%2.7%2.4%-1.1M16.6M-561.8K1.309.8766386061,68448,392
2007-12-26$30.78$32.6926.2%7.5%37.6%39.6%26.1%4.2%2.9%-1.2M22.4M-552.6K0.8712.7556148662,16848,843
2007-12-27$30.40$32.6925.9%7.4%36.2%38.9%26.1%2.8%2.9%-1.3M28.3M-535.6K0.4214.181,13947862,25249,171
2007-12-28$30.40$32.6926.6%7.6%36.2%41.0%28.7%3.3%2.6%-1.2M30.5M-533.2K1.6511.8534757163,00949,171
2007-12-31$30.24$32.6927.0%7.7%35.9%42.3%14.6%3.4%1.3%-1.3M34.2M-503.7K1.879.8435967162,80149,082