IP Options History — February 2008

In February 2008, IP traded between $28.88 and $31.29. ATM implied volatility averaged 33.3%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.3% (HV 20d: 28.9%). Max pain ranged from $28.02 to $30.35. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2008-02-12: Highest Volume — 9,445 contracts
  • 2008-02-13: Largest IV drop — 29.2% change
  • 2008-02-06: Highest IV Rank — 100.0%
  • 2008-02-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.31$28.88$31.29$30.52$29.60
Max Pain$29.53$28.02$30.35$30.35$30.35
ATM IV33.3%26.3%46.5%38.2%29.0%
Expected Move9.1%8.1%11.0%11.0%8.3%
HV 20d28.9%26.4%31.8%31.6%28.5%
HV 60d32.5%31.6%33.3%32.6%32.2%
IV Rank54.6%30.8%100.0%72.7%39.6%
IV Percentile79.0%51.6%100.0%94.0%67.1%
Term Structure0.6%-4.6%1.8%-4.6%1.6%
VWIV31.9%26.9%40.7%40.2%30.3%
Skew 25d5.2%2.9%9.8%9.8%3.5%
Skew 10d12.6%7.0%23.4%23.4%7.7%
Call IV 25d29.7%25.4%35.4%33.9%29.1%
Put IV 25d34.9%30.0%43.7%43.7%32.6%
Bid-Ask Spread %19.0911.6725.4522.9418.44
Gamma HHI0.250.190.680.220.20
Net GEX1.2M168.4K7.7M791.1K620.1K
Net DEX-13.7M-30.9M12.9M-15.2M-3.8M
Net VEX-646.5K-689.8K-573.8K-605.2K-655.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.059.863.840.69
Total Volume2,771.23389,4452,141614
Total OI99,966.6589,385105,50689,385105,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$30.52$30.3538.2%11.0%31.6%72.7%40.2%9.8%-4.6%791.1K-15.2M-605.2K3.8422.944421,69950,67038,715
2008-02-04$30.13$28.0241.4%9.9%27.8%83.6%34.8%5.9%-0.6%722.5K-10.3M-595.3K0.5320.3678841850,76439,822
2008-02-05$29.22$28.0242.1%10.0%29.8%85.8%37.3%5.5%-0.1%527.5K3.6M-582.5K9.8621.292872,82951,18140,049
2008-02-06$28.88$28.0246.5%10.7%29.6%100.0%40.7%4.5%-0.2%168.4K12.9M-573.8K2.0424.371,0992,24151,18142,824
2008-02-07$29.62$28.0237.4%9.6%30.4%68.8%34.6%6.0%0.2%466.3K969.6K-598.5K0.9124.042,4622,23651,63244,687
2008-02-08$29.74$28.0234.0%9.4%30.4%57.3%31.9%5.3%1.1%725.1K-559.7K-611.7K0.0525.452,28412653,18445,815
2008-02-11$30.47$28.0235.2%9.7%31.4%61.3%31.9%6.4%0.5%1.0M-12.7M-629.2K0.1924.531,82635253,09545,864
2008-02-12$31.14$28.0237.2%9.7%31.5%68.0%31.2%5.8%0.9%1.2M-26.8M-649.0K0.5517.836,0973,34854,24546,027
2008-02-13$31.29$30.3526.3%9.2%29.4%30.8%31.6%4.8%1.5%1.2M-30.9M-676.9K0.7119.592,5341,80254,15348,620
2008-02-14$30.30$30.3531.5%9.0%31.8%48.6%31.3%5.3%1.4%1.6M-14.0M-671.6K2.3721.2232376756,18748,784
2008-02-15$30.36$30.3531.9%9.1%27.9%49.9%31.8%4.3%0.7%7.7M-15.2M-670.8K3.3312.714721,57356,19149,168
2008-02-19$30.46$30.3530.5%8.7%27.2%45.2%30.5%5.3%1.3%643.1K-13.5M-659.5K0.1018.752,51325153,13945,369
2008-02-20$30.62$30.3530.4%8.7%27.2%44.9%29.5%4.5%0.9%706.5K-17.0M-657.3K0.6019.062,9161,76153,26045,177
2008-02-21$30.37$30.3529.9%8.6%27.4%43.0%29.6%2.9%0.9%769.9K-15.3M-676.2K0.5611.673,1121,75655,31046,310
2008-02-22$30.26$30.3529.0%8.3%26.9%40.1%29.4%5.0%1.8%737.9K-13.7M-689.8K0.4821.211,02449556,83747,049
2008-02-25$31.01$30.3529.5%8.5%28.1%41.5%29.1%6.4%0.5%1.2M-28.7M-686.5K2.0013.6246693457,41746,226
2008-02-26$30.84$30.3528.7%8.2%27.6%38.3%28.5%4.5%1.1%1.1M-25.9M-680.6K0.8315.511,4071,16457,33246,849
2008-02-27$31.01$30.3528.1%8.1%26.4%36.5%26.9%4.3%0.9%1.3M-30.0M-684.3K1.3715.1628238657,85847,378
2008-02-28$30.44$30.3528.3%8.1%27.2%36.9%27.9%4.2%1.4%1.0M-18.5M-675.2K0.5114.1122411457,96247,496
2008-02-29$29.60$30.3529.0%8.3%28.5%39.6%30.3%3.5%1.6%620.1K-3.8M-655.8K0.6918.4436325157,98247,524