IP Options History — July 2008

In July 2008, IP traded between $20.55 and $25.89. ATM implied volatility averaged 39.3%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 9.7% (HV 20d: 29.6%). Max pain ranged from $21.01 to $25.68. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2008-07-31: Highest Volume — 23,985 contracts
  • 2008-07-24: Largest IV spike — 21.2% change
  • 2008-07-28: Highest IV Rank — 91.0%
  • 2008-07-28: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.73$20.55$25.89$21.51$25.89
Max Pain$22.50$21.01$25.68$25.68$23.35
ATM IV39.3%33.9%44.0%34.2%40.9%
Expected Move11.4%9.7%12.6%9.8%11.7%
HV 20d29.6%25.5%54.5%31.1%54.5%
HV 60d30.7%29.0%40.7%31.6%40.7%
IV Rank73.9%54.2%91.0%55.7%79.7%
IV Percentile90.1%75.8%98.0%77.4%92.5%
Term Structure-2.6%-5.8%3.4%3.3%-5.8%
VWIV38.9%26.0%43.2%30.5%41.3%
Skew 25d6.2%-1.0%12.8%-1.0%1.4%
Skew 10d13.4%-4.0%22.9%-4.0%7.1%
Call IV 25d35.9%25.2%41.4%31.7%38.5%
Put IV 25d42.1%30.7%45.9%30.7%39.9%
Bid-Ask Spread %11.716.3222.5813.3811.29
Gamma HHI0.260.160.350.350.16
Net GEX-462.3K-686.8K295.2K-668.7K295.2K
Net DEX55.2M-19.4M72.9M68.6M-19.4M
Net VEX-416.8K-623.6K-342.6K-348.4K-623.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.048.341.460.18
Total Volume5,111.5451,14423,9854,61823,985
Total OI134,225.409117,518147,535131,158139,696

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$21.51$25.6834.2%9.8%31.1%55.7%30.5%-1.0%3.3%-668.7K68.6M-348.4K1.4613.381,8782,74074,96556,193
2008-07-02$21.03$23.3534.8%10.0%31.1%57.8%28.4%12.8%2.8%-590.0K68.4M-365.4K2.016.321,6073,22476,36957,973
2008-07-03$20.94$23.3533.9%9.7%29.9%54.2%26.0%11.9%3.4%-670.3K71.3M-360.3K0.787.231,04281076,87360,684
2008-07-07$20.92$23.3536.8%11.1%25.5%65.0%38.2%4.1%-2.1%-686.8K72.9M-344.4K0.4211.301,56966477,02960,953
2008-07-08$21.17$23.3535.7%11.1%25.7%60.7%41.2%6.1%-2.5%-653.9K71.2M-358.5K0.769.5372455378,03461,216
2008-07-09$21.26$23.3535.8%11.1%25.6%61.4%38.6%5.2%-2.1%-650.3K70.0M-363.6K0.699.981,6451,12978,09161,261
2008-07-10$21.06$23.3539.9%11.4%25.7%76.1%39.3%6.0%-2.5%-656.8K70.5M-361.1K0.838.5985371077,96861,156
2008-07-11$20.55$23.3541.3%11.9%26.5%81.4%41.6%4.5%-2.9%-634.1K72.1M-350.0K2.2121.1236681177,95961,320
2008-07-14$20.77$23.3541.3%11.8%26.0%81.1%40.6%4.1%-3.4%-668.9K70.2M-356.0K1.2110.8251762778,09861,254
2008-07-15$20.60$23.3543.0%12.3%25.9%87.5%42.6%3.9%-4.2%-662.1K71.6M-342.6K0.4722.581,81485578,30261,156
2008-07-16$21.29$23.3542.4%12.2%29.3%85.3%43.2%7.3%-3.9%-588.9K65.3M-376.6K1.5711.913,0004,71579,48361,214
2008-07-17$21.71$23.3542.1%12.1%30.1%84.1%42.1%8.0%-5.4%-602.8K62.6M-406.1K0.2411.554,3591,06781,09764,307
2008-07-18$21.83$21.0142.2%12.1%29.8%84.7%40.0%5.6%-4.5%-458.3K58.2M-417.2K0.0412.3011,04346983,27464,261
2008-07-21$21.89$21.0140.8%11.7%27.8%79.3%37.6%7.4%-3.2%-221.8K43.6M-443.2K0.4713.661,82985158,50959,009
2008-07-22$22.42$21.0135.9%10.3%29.3%61.7%37.7%6.5%-1.7%-189.9K39.4M-452.8K0.5912.052,6571,58059,01059,505
2008-07-23$22.78$21.0135.2%10.1%28.6%59.1%39.5%4.9%-1.6%-142.5K34.9M-475.3K0.337.733,2271,07160,03860,347
2008-07-24$21.97$21.0142.7%12.2%30.4%86.2%42.8%5.1%-5.2%-181.6K42.8M-460.8K8.3411.627676,39561,22460,566
2008-07-25$21.86$21.0142.9%12.3%26.8%87.1%42.6%6.7%-5.5%-378.5K47.0M-475.9K3.2712.061,0013,27761,61364,871
2008-07-28$21.45$21.0144.0%12.6%27.6%91.0%41.8%4.0%-4.7%-524.1K53.4M-459.1K0.5813.721,53888761,87067,152
2008-07-29$22.49$21.0139.1%11.2%32.4%73.2%40.6%10.6%-1.6%-368.6K42.0M-496.7K0.6310.056,0493,82063,02167,955
2008-07-30$22.71$21.0139.5%11.3%32.1%74.6%40.3%11.2%-3.7%-266.7K38.2M-533.1K0.578.803,0101,71967,49570,588
2008-07-31$25.89$23.3540.9%11.7%54.5%79.7%41.3%1.4%-5.8%295.2K-19.4M-623.6K0.1811.2920,3273,65868,44071,256