IP Options History — May 2008

In May 2008, IP traded between $23.99 and $26.42. ATM implied volatility averaged 29.4%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.3% (HV 20d: 32.6%). Max pain ranged from $23.35 to $25.68. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2008-05-05: Highest Volume — 11,514 contracts
  • 2008-05-13: Largest IV drop — 50.0% change
  • 2008-05-12: Highest IV Rank — 69.5%
  • 2008-05-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.95$23.99$26.42$24.47$25.42
Max Pain$25.57$23.35$25.68$25.68$25.68
ATM IV29.4%19.0%37.9%33.8%26.7%
Expected Move8.5%7.7%9.7%9.7%7.7%
HV 20d32.6%27.1%35.8%34.8%27.5%
HV 60d36.5%35.5%37.2%36.7%37.0%
IV Rank38.9%1.8%69.5%54.8%29.6%
IV Percentile48.9%2.4%91.3%77.4%25.0%
Term Structure0.5%-4.7%2.1%-4.7%1.7%
VWIV29.5%26.7%31.9%31.2%26.7%
Skew 25d2.7%-0.5%8.8%3.1%8.8%
Skew 10d2.3%-6.8%14.0%1.2%14.0%
Call IV 25d28.1%20.6%31.7%27.9%20.6%
Put IV 25d30.9%28.2%33.2%31.0%29.4%
Bid-Ask Spread %15.868.8523.5413.9911.40
Gamma HHI0.230.190.330.220.21
Net GEX258.6K-413.8K1.1M-112.3K1.1M
Net DEX38.5M12.1M64.6M50.8M25.9M
Net VEX-543.3K-628.6K-271.8K-498.3K-590.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.094.901.350.86
Total Volume3,960.47679811,5144,2132,966
Total OI126,975.28680,298138,371118,719132,549

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$24.47$25.6833.8%9.7%34.8%54.8%31.2%3.1%-4.7%-112.3K50.8M-498.3K1.3513.991,7952,41867,42851,291
2008-05-02$24.03$25.6831.8%9.1%35.1%47.6%28.1%-0.5%-1.0%-229.5K55.0M-468.3K0.348.853,6031,20967,95050,849
2008-05-05$23.99$25.6833.5%8.8%35.1%53.9%31.0%3.5%1.9%-115.0K55.1M-485.3K3.8719.032,3669,14870,39651,688
2008-05-06$24.52$23.3531.7%8.5%35.8%47.2%30.6%3.1%0.8%-111.5K49.5M-535.9K0.4821.162,6351,25371,89455,235
2008-05-07$24.14$25.6831.9%9.2%34.5%47.9%31.5%2.1%0.6%-223.1K55.2M-503.6K2.3621.814281,00872,36855,188
2008-05-08$24.34$25.6830.3%9.1%34.4%42.3%31.9%2.5%0.6%-203.0K53.1M-514.1K2.4323.544611,12372,52855,785
2008-05-09$24.11$25.6831.9%9.0%34.1%48.1%30.5%3.4%0.7%-333.2K56.4M-507.6K1.7121.1054793672,83956,497
2008-05-12$24.38$25.6837.9%9.0%34.2%69.5%30.4%2.6%0.2%209.1K19.1M-271.8K4.9022.031,3436,57651,54228,756
2008-05-13$24.37$25.6819.0%8.8%34.2%1.8%29.8%3.6%0.5%-302.9K64.6M-536.6K2.0615.135131,05673,87164,341
2008-05-14$25.18$25.6822.6%7.9%33.0%14.7%27.9%2.1%1.8%-413.8K45.0M-569.8K0.8712.822,4842,16873,71461,539
2008-05-15$25.78$25.6828.6%8.2%33.9%36.2%28.5%0.9%0.2%-299.8K31.0M-600.8K0.289.976,5681,85374,51360,638
2008-05-16$26.21$25.6827.8%8.0%33.5%33.4%27.8%1.8%0.1%928.4K12.1M-614.3K1.0215.873,0923,16878,55959,812
2008-05-19$26.42$25.6827.5%7.9%33.7%32.4%27.1%3.3%1.1%1.0M15.0M-628.6K0.3713.964,1981,56072,09056,400
2008-05-20$25.97$25.6827.6%7.9%30.3%32.6%28.4%3.8%1.2%876.2K23.6M-604.6K0.4515.312,3321,04572,34055,514
2008-05-21$25.29$25.6827.9%8.0%31.8%33.8%28.0%1.7%2.1%717.6K29.7M-606.1K2.7021.336461,74873,28255,769
2008-05-22$25.21$25.6828.2%8.1%31.7%34.7%28.4%1.9%0.7%568.4K32.7M-590.0K2.7218.164701,27872,97256,399
2008-05-23$24.74$25.6827.6%7.9%31.3%32.6%28.4%1.4%1.6%363.1K39.6M-563.4K1.7410.6536162873,14156,316
2008-05-27$24.61$25.6829.7%8.5%29.2%40.1%30.5%4.8%-0.2%312.9K41.0M-551.8K0.559.2351428473,04256,162
2008-05-28$25.08$25.6829.6%8.5%30.1%39.9%31.8%1.2%0.2%575.4K32.2M-577.3K0.1014.095,40052173,32955,763
2008-05-29$25.71$25.6830.7%8.8%27.1%43.8%30.2%2.4%-0.2%1.1M21.1M-591.1K0.0913.611,34612276,51455,678
2008-05-30$25.42$25.6826.7%7.7%27.5%29.6%26.7%8.8%1.7%1.1M25.9M-590.3K0.8611.401,5951,37176,92355,626