IP Options History — January 2008

In January 2008, IP traded between $28.09 and $30.52. ATM implied volatility averaged 37.2%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.3% (HV 20d: 32.9%). Max pain ranged from $30.35 to $32.69. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2008-01-18: Highest Volume — 15,276 contracts
  • 2008-01-17: Largest IV spike — 13.7% change
  • 2008-01-22: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.21$28.09$30.52$29.71$30.07
Max Pain$30.69$30.35$32.69$32.69$30.35
ATM IV37.2%27.4%46.2%27.4%40.0%
Expected Move10.7%7.8%13.2%7.8%11.5%
HV 20d32.9%30.0%39.1%36.3%32.7%
HV 60d32.0%30.1%32.9%30.1%32.4%
IV Rank71.9%43.4%100.0%43.4%78.6%
IV Percentile93.4%68.5%100.0%68.5%96.4%
Term Structure-3.2%-6.9%3.1%2.3%-5.0%
VWIV37.1%27.7%46.0%30.7%40.2%
Skew 25d5.5%3.4%8.5%7.5%6.1%
Skew 10d13.2%6.0%19.9%13.2%16.5%
Call IV 25d34.7%22.7%41.9%22.7%37.7%
Put IV 25d40.2%30.0%48.9%30.2%43.8%
Bid-Ask Spread %20.139.3326.479.3324.93
Gamma HHI0.280.190.540.250.22
Net GEX-529.8K-1.4M678.2K-1.3M678.2K
Net DEX30.6M-9.1M60.6M44.1M-9.1M
Net VEX-508.5K-594.5K-452.3K-482.3K-594.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.176.996.990.32
Total Volume3,642.52442315,2761,557966
Total OI103,243.38175,739118,802111,80488,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$29.71$32.6927.4%7.8%36.3%43.4%30.7%7.5%2.3%-1.3M44.1M-482.3K6.999.331951,36262,63049,174
2008-01-03$30.52$32.6927.8%8.0%36.0%44.7%27.7%3.5%3.1%-1.4M31.0M-516.4K0.1719.452,96249662,66250,445
2008-01-04$29.23$32.6929.1%8.8%39.1%49.0%32.7%5.1%-0.8%-1.3M51.8M-463.6K0.4720.123,9981,87263,20349,422
2008-01-07$28.97$30.3532.1%9.8%34.5%58.2%32.0%4.6%-2.6%-1.3M54.7M-452.3K2.8120.851,0743,02064,09250,022
2008-01-08$28.51$30.3533.7%9.7%34.2%63.1%32.4%3.4%-1.6%-1.3M59.2M-453.8K0.9921.4988186764,67850,646
2008-01-09$28.95$30.3533.6%10.2%35.1%62.9%34.9%5.9%-3.1%-1.3M53.6M-461.8K1.6620.751,5122,50565,04550,496
2008-01-10$28.81$30.3535.4%10.1%31.1%68.5%34.2%4.8%-3.6%-1.3M54.3M-469.5K1.7718.1731856465,99250,947
2008-01-11$28.97$30.3535.2%10.1%30.7%64.0%34.5%4.2%-3.0%-1.1M50.0M-465.7K2.6220.396651,74166,25749,888
2008-01-14$29.58$30.3532.8%9.4%31.4%55.4%33.6%6.4%-2.0%-1.0M42.4M-486.8K0.6320.6125916466,55449,770
2008-01-15$28.77$30.3535.6%10.2%30.3%65.3%35.5%4.3%-2.8%-979.1K51.9M-467.6K0.5322.931,27867566,62449,675
2008-01-16$29.21$30.3535.0%10.0%30.0%63.3%36.4%4.4%-2.5%-960.6K45.9M-480.6K0.9221.671,6761,54166,81249,646
2008-01-17$28.09$30.3539.8%11.4%32.3%80.2%39.8%3.4%-5.2%-1.2M60.6M-454.8K1.2319.992,1702,66667,00849,803
2008-01-18$28.65$30.3543.6%12.5%33.2%93.6%41.7%4.2%-4.7%-331.7K45.5M-483.4K1.1118.037,2428,03468,51150,291
2008-01-22$28.89$30.3546.2%13.2%33.4%100.0%44.4%6.5%-5.5%308.0K4.9M-530.7K0.7319.963,7602,73843,23832,501
2008-01-23$28.90$30.3546.0%13.2%30.3%99.4%46.0%8.5%-5.5%352.0K4.9M-541.6K2.6718.481,7454,65845,42733,811
2008-01-24$29.41$30.3541.4%11.9%31.2%83.5%41.1%7.5%-4.2%337.7K809.9K-571.1K0.6421.141,20177345,84736,503
2008-01-25$29.56$30.3540.8%11.7%31.2%81.5%39.2%5.6%-4.4%430.8K-1.4M-576.3K0.2714.701,70946946,60436,815
2008-01-28$29.15$30.3545.4%13.0%31.3%97.1%42.6%6.3%-6.9%370.6K4.1M-564.1K0.4724.242,4411,15447,38537,072
2008-01-29$29.88$30.3539.9%11.4%32.7%78.3%38.4%7.4%-3.5%546.0K-5.8M-583.2K0.5319.121,65387148,30137,851
2008-01-30$29.61$30.3540.2%11.5%32.8%79.5%41.8%5.6%-5.2%506.0K-987.6K-578.0K0.4726.471,77684249,19438,307
2008-01-31$30.07$30.3540.0%11.5%32.7%78.6%40.2%6.1%-5.0%678.2K-9.1M-594.5K0.3224.9373323350,33038,632