IP Options History — March 2008

In March 2008, IP traded between $24.92 and $30.30. ATM implied volatility averaged 34.7%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.8% (HV 20d: 35.5%). Max pain ranged from $28.02 to $30.35. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-03-05: Highest Volume — 13,588 contracts
  • 2008-03-11: Largest IV drop — 16.9% change
  • 2008-03-17: Highest IV Rank — 83.5%
  • 2008-03-17: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$24.92$30.30$29.70$25.40
Max Pain$29.88$28.02$30.35$30.35$28.02
ATM IV34.7%29.9%41.7%30.1%35.3%
Expected Move10.0%8.6%12.0%8.6%10.1%
HV 20d35.5%25.9%45.0%28.0%44.3%
HV 60d32.7%29.0%35.8%31.5%35.6%
IV Rank59.1%42.7%83.5%43.4%61.4%
IV Percentile85.4%74.2%97.2%75.0%86.1%
Term Structure-0.4%-5.0%2.1%1.2%0.6%
VWIV35.4%27.9%41.3%30.6%36.0%
Skew 25d3.1%-0.8%6.3%2.5%1.2%
Skew 10d4.7%-8.6%17.3%-4.2%1.4%
Call IV 25d34.8%30.4%39.9%30.5%36.3%
Put IV 25d37.9%33.0%44.8%33.0%37.4%
Bid-Ask Spread %14.238.0221.3019.8312.64
Gamma HHI0.210.190.230.210.20
Net GEX-16.8K-1.0M1.3M645.0K-768.2K
Net DEX29.8M-21.5M78.4M-3.3M62.3M
Net VEX-600.5K-745.9K-471.8K-644.7K-493.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.246.210.330.49
Total Volume4,102.5543013,5886521,046
Total OI117,945.05105,634129,361105,634119,860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$29.70$30.3530.1%8.6%28.0%43.4%30.6%2.5%1.2%645.0K-3.3M-644.7K0.3319.8349016258,04947,585
2008-03-04$29.74$30.3529.9%8.6%27.7%42.7%30.4%4.2%2.1%697.7K-5.9M-646.1K0.2418.814,06699558,14347,622
2008-03-05$30.30$30.3532.5%9.3%26.1%51.7%33.4%1.1%1.3%1.2M-21.5M-686.6K0.3312.6710,2483,34061,13547,658
2008-03-06$29.91$30.3532.7%9.4%26.1%52.3%34.8%1.0%0.6%1.3M-13.6M-692.3K0.6617.064,6503,06265,46550,097
2008-03-07$29.24$30.3532.6%9.7%25.9%52.0%34.5%3.4%-1.3%580.4K4.3M-676.2K0.8419.133,9743,32663,70452,794
2008-03-10$28.68$30.3536.8%10.4%26.7%66.6%36.4%3.7%-1.6%148.0K17.2M-650.8K1.4011.868301,16263,39753,068
2008-03-11$29.82$30.3530.6%9.3%29.0%45.1%33.2%3.9%-0.8%873.5K-3.9M-684.3K0.3121.3032810263,58153,584
2008-03-12$30.03$30.3531.6%9.5%27.9%48.4%35.0%3.2%-0.9%1.0M-9.2M-687.3K0.7911.951,6061,26863,38353,628
2008-03-13$29.71$30.3533.8%9.7%28.0%56.0%34.9%3.9%-1.1%779.1K-1.6M-686.6K6.2113.931,0056,24763,69754,726
2008-03-14$30.13$30.3536.0%10.3%26.2%63.6%36.7%5.0%-1.5%958.7K-9.0M-745.9K0.6418.492,2151,41364,02460,203
2008-03-17$27.52$30.3541.7%12.0%41.3%83.5%41.3%5.0%-5.0%-800.1K43.7M-640.9K0.8814.262,0501,81165,16760,720
2008-03-18$26.87$30.3537.7%10.8%41.8%69.8%39.3%6.3%-2.4%-1.0M58.5M-589.1K0.9012.781,7221,55865,76661,170
2008-03-19$25.63$30.3540.3%11.5%44.0%78.5%40.1%3.1%-3.3%-930.8K67.7M-557.4K0.5815.634,4612,57668,42260,939
2008-03-20$24.92$30.3538.6%11.1%44.5%72.9%39.6%2.6%-2.4%-802.0K78.4M-496.1K0.408.022,05482865,77261,147
2008-03-24$25.19$30.3536.9%10.6%45.0%66.8%36.9%4.3%0.1%-857.9K67.7M-480.3K0.799.601,6991,34259,16955,248
2008-03-25$25.17$30.3533.6%9.6%43.4%55.4%27.9%3.1%1.7%-895.5K69.6M-471.8K1.0712.851,1541,23960,08355,840
2008-03-26$25.67$28.0233.8%9.7%44.7%56.1%36.6%4.5%1.9%-871.8K64.6M-486.2K0.9215.792,5052,30060,47655,738
2008-03-27$25.26$28.0235.2%10.1%44.4%60.9%37.6%0.8%0.8%-806.5K64.3M-505.7K0.248.771,65840061,87056,870
2008-03-28$25.17$28.0233.7%9.7%44.3%55.7%33.8%-0.8%1.3%-802.5K65.0M-489.6K0.249.2193822163,15255,949
2008-03-31$25.40$28.0235.3%10.1%44.3%61.4%36.0%1.2%0.6%-768.2K62.3M-493.0K0.4912.6470034663,85956,001