IP Options History — June 2008

In June 2008, IP traded between $21.76 and $25.25. ATM implied volatility averaged 30.8%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.4% (HV 20d: 30.4%). Max pain ranged from $25.68 to $28.02. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2008-06-23: Highest Volume — 5,055 contracts
  • 2008-06-06: Largest IV spike — 16.8% change
  • 2008-06-27: Highest IV Rank — 55.1%
  • 2008-06-27: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.30$21.76$25.25$24.84$21.76
Max Pain$26.57$25.68$28.02$25.68$25.68
ATM IV30.8%26.5%34.0%28.1%32.3%
Expected Move8.8%7.6%9.8%8.1%9.3%
HV 20d30.4%26.9%33.6%28.0%31.1%
HV 60d33.3%30.7%37.5%37.2%31.6%
IV Rank43.9%28.6%55.1%34.4%49.0%
IV Percentile55.4%23.8%77.0%36.5%65.5%
Term Structure2.2%0.4%5.7%1.9%5.7%
VWIV30.3%19.1%33.2%29.1%31.0%
Skew 25d2.9%-0.6%9.6%5.5%-0.6%
Skew 10d1.5%-5.4%16.2%8.0%-3.2%
Call IV 25d29.8%22.4%32.6%24.8%32.2%
Put IV 25d32.6%30.3%35.8%30.3%31.6%
Bid-Ask Spread %11.136.8217.0111.609.13
Gamma HHI0.380.200.610.210.37
Net GEX-626.7K-1.8M773.8K665.1K-676.2K
Net DEX59.0M31.7M70.2M36.6M66.9M
Net VEX-437.5K-554.8K-353.1K-551.8K-358.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.108.663.041.29
Total Volume1,885.8573165,0551,7313,454
Total OI133,437.095124,674137,769134,004129,258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$24.84$25.6828.1%8.1%28.0%34.4%29.1%5.5%1.9%665.1K36.6M-551.8K3.0411.604291,30277,41956,585
2008-06-03$24.68$25.6826.5%7.6%28.2%28.6%29.6%5.3%3.3%344.2K41.9M-534.0K0.9515.3849146576,66857,041
2008-06-04$24.89$25.6828.8%8.3%27.2%37.0%28.9%4.5%0.4%480.4K37.9M-544.8K0.3115.8741312776,74157,004
2008-06-05$25.25$25.6826.9%7.7%26.9%30.1%19.1%9.6%1.9%773.8K31.7M-554.8K0.7011.5918613076,65056,999
2008-06-06$23.98$28.0231.4%9.1%32.9%46.2%31.0%3.0%1.9%-112.7K52.0M-494.2K0.3917.011,50258776,69857,048
2008-06-09$23.46$28.0233.0%9.4%33.6%51.9%32.4%3.0%0.7%-478.2K59.8M-450.3K0.8810.1469460877,33656,755
2008-06-10$23.12$28.0232.8%9.4%33.6%51.3%32.2%3.8%0.6%-642.9K63.5M-434.8K5.7211.645032,87277,57956,850
2008-06-11$23.04$28.0232.6%9.5%33.6%50.6%33.2%3.1%0.6%-878.7K64.8M-442.6K0.316.9493228777,78958,758
2008-06-12$23.10$28.0232.3%9.3%31.0%49.5%32.3%3.1%1.3%-947.7K64.7M-434.9K1.1112.0260867878,08658,256
2008-06-13$23.48$28.0231.7%9.1%30.3%47.3%31.6%2.6%1.4%-982.2K61.4M-446.5K3.5711.8713447778,28158,462
2008-06-16$23.18$28.0231.7%9.1%29.3%47.2%31.0%1.4%1.4%-1.3M66.3M-421.4K1.6013.588871,41978,33358,785
2008-06-17$23.12$28.0230.5%8.7%28.9%42.9%30.8%4.3%2.5%-1.4M68.5M-407.4K1.069.6940643178,50959,019
2008-06-18$23.37$25.6831.8%9.1%29.2%47.6%32.7%1.7%1.2%-1.5M61.5M-425.8K0.1012.861,86518778,68257,682
2008-06-19$23.63$25.6831.0%8.9%28.6%44.5%31.0%2.3%2.2%-1.8M57.5M-427.9K0.4611.5754925279,79757,702
2008-06-20$22.86$25.6831.0%8.9%30.5%44.5%30.7%2.0%2.1%-1.1M70.2M-398.3K8.6611.153322,87579,96857,801
2008-06-23$22.81$25.6829.6%8.5%30.0%39.2%29.6%1.1%3.1%-772.2K64.6M-380.3K1.098.052,4212,63470,65754,017
2008-06-24$22.28$25.6828.8%8.3%30.8%36.3%30.9%2.0%3.4%-742.8K69.7M-369.3K2.656.828182,16472,23955,952
2008-06-25$22.79$25.6828.7%8.2%31.2%35.9%28.8%0.4%3.6%-722.9K62.4M-388.0K0.6310.6680551072,73855,765
2008-06-26$21.88$25.6833.4%9.6%31.6%52.7%30.9%0.5%2.9%-675.1K67.5M-369.5K1.468.057851,14973,08456,051
2008-06-27$21.84$25.6834.0%9.8%31.6%55.1%29.3%1.6%3.7%-687.3K69.9M-353.1K3.458.205031,73273,08456,051
2008-06-30$21.76$25.6832.3%9.3%31.1%49.0%31.0%-0.6%5.7%-676.2K66.9M-358.8K1.299.131,5111,94373,95355,305