IP Options History — April 2008

In April 2008, IP traded between $24.44 and $27.18. ATM implied volatility averaged 34.1%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 4.5% (HV 20d: 38.7%). Max pain ranged from $25.68 to $28.02. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2008-04-02: Highest Volume — 10,998 contracts
  • 2008-04-10: Largest IV spike — 13.0% change
  • 2008-04-28: Highest IV Rank — 63.6%
  • 2008-04-09: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.10$24.44$27.18$26.35$24.44
Max Pain$27.80$25.68$28.02$28.02$25.68
ATM IV34.1%29.5%36.3%32.9%34.4%
Expected Move9.9%9.3%10.4%9.4%9.9%
HV 20d38.7%29.4%47.5%46.9%34.8%
HV 60d35.5%34.2%37.1%36.0%37.1%
IV Rank56.3%39.4%63.6%52.9%56.9%
IV Percentile80.8%61.9%88.1%79.4%78.2%
Term Structure-1.9%-4.4%3.2%3.1%-4.3%
VWIV33.8%27.9%37.2%32.0%32.3%
Skew 25d3.7%-0.9%6.5%3.4%1.7%
Skew 10d7.4%-10.7%17.9%14.2%2.8%
Call IV 25d32.5%29.7%36.1%32.1%30.3%
Put IV 25d36.2%32.0%38.9%35.5%32.0%
Bid-Ask Spread %14.436.7520.4913.0715.79
Gamma HHI0.190.180.230.190.20
Net GEX179.6K-725.9K721.9K-725.9K-46.4K
Net DEX34.3M16.6M54.5M51.3M49.9M
Net VEX-609.4K-687.3K-511.0K-525.5K-511.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.101.500.101.47
Total Volume3,966.72781910,99810,3828,245
Total OI132,951.136112,268150,209120,078120,355

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$26.35$28.0232.9%9.4%46.9%52.9%32.0%3.4%3.1%-725.9K51.3M-525.5K0.1013.079,39898464,32855,750
2008-04-02$26.80$28.0232.9%9.4%47.5%53.2%33.4%-0.9%3.2%-184.3K33.1M-587.3K0.156.759,6001,39872,34354,157
2008-04-03$26.85$28.0232.5%9.3%46.8%51.8%27.9%2.1%2.9%116.5K28.1M-630.3K0.198.695,2651,01779,60855,130
2008-04-04$26.84$28.0233.1%10.4%46.8%53.9%33.8%4.2%-2.9%276.4K25.9M-637.5K0.4212.805,9022,46683,38555,771
2008-04-07$26.79$28.0233.4%9.8%46.3%54.9%32.3%2.8%-1.3%339.8K25.9M-675.7K0.6416.691,48895487,48757,757
2008-04-08$27.18$28.0229.5%9.3%46.4%39.4%33.4%4.7%-0.7%491.9K16.6M-687.3K0.7414.9559744487,76958,051
2008-04-09$26.31$28.0230.7%10.4%44.8%43.8%35.2%6.1%-2.4%148.0K35.7M-631.3K1.5017.552,1523,23187,93657,865
2008-04-10$25.83$28.0234.7%10.0%44.7%58.1%32.5%5.3%-2.3%59747.7M-597.5K1.1020.491,1581,27888,25359,216
2008-04-11$25.38$28.0235.2%10.1%44.8%59.7%34.9%2.9%-1.5%-140.6K54.5M-586.0K0.2017.046,7731,35988,27959,530
2008-04-14$25.58$28.0235.0%10.0%44.5%58.9%34.7%5.1%-1.7%-204.7K48.5M-604.2K0.7319.6564947789,76659,599
2008-04-15$25.49$28.0234.7%9.9%32.1%57.9%34.3%5.0%-1.5%-335.5K49.9M-603.5K0.4419.051,20553089,86659,582
2008-04-16$26.54$28.0234.5%9.9%34.8%57.3%34.0%5.0%-1.9%252.8K29.9M-645.3K1.1811.0871384290,54659,663
2008-04-17$26.18$28.0235.2%10.1%30.6%59.7%34.8%4.8%-2.4%-50.5K34.9M-633.0K0.3811.741,17344890,38059,688
2008-04-18$26.76$28.0235.0%10.0%29.4%59.2%33.6%4.6%-3.3%693.4K24.3M-664.5K0.3517.581,57955990,24959,923
2008-04-21$26.63$28.0235.5%10.2%29.4%61.0%31.5%6.5%-4.1%721.9K17.2M-636.3K0.4913.301,42570263,75148,603
2008-04-22$25.50$28.0236.2%10.4%33.7%63.2%35.8%3.8%-4.1%350.1K32.1M-580.5K0.2611.911,66643963,67348,595
2008-04-23$25.60$28.0235.2%10.1%33.0%59.8%35.4%2.1%-2.8%435.7K30.9M-594.3K0.4810.951,12154265,32949,125
2008-04-24$25.80$28.0235.0%10.0%32.5%59.1%36.0%4.0%-3.0%507.4K27.8M-595.2K1.0913.0356862265,80949,554
2008-04-25$26.31$28.0233.6%9.6%33.1%53.9%32.2%4.4%-2.2%665.5K21.1M-633.9K0.3316.9861620365,78449,922
2008-04-28$25.45$28.0236.3%10.4%35.3%63.6%37.2%2.8%-4.4%313.8K34.6M-576.0K0.5713.7290251665,87150,101
2008-04-29$25.50$25.6835.3%10.1%32.6%60.3%36.1%1.6%-4.1%325.7K35.1M-571.1K0.2914.544,6961,36666,13350,443
2008-04-30$24.44$25.6834.4%9.9%34.8%56.9%32.3%1.7%-4.3%-46.4K49.9M-511.0K1.4715.793,3434,90269,10351,252