IP Options History — August 2008

In August 2008, IP traded between $25.15 and $27.31. ATM implied volatility averaged 34.1%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 18.8% (HV 20d: 53.0%). Max pain ranged from $23.35 to $25.68. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2008-08-13: Highest Volume — 196,308 contracts
  • 2008-08-13: Largest IV spike — 30.5% change
  • 2008-08-04: Highest IV Rank — 87.2%
  • 2008-08-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.31$25.15$27.31$26.63$25.26
Max Pain$25.46$23.35$25.68$23.35$25.68
ATM IV34.1%29.2%43.0%39.6%30.3%
Expected Move9.4%8.5%11.4%11.4%8.7%
HV 20d53.0%30.0%57.3%54.6%32.4%
HV 60d41.0%40.6%42.3%40.9%42.3%
IV Rank55.2%37.2%87.2%75.2%41.1%
IV Percentile64.4%35.7%96.8%88.9%42.5%
Term Structure0.7%-4.9%2.4%-4.9%2.0%
VWIV32.8%28.5%38.6%38.6%31.0%
Skew 25d4.7%2.7%6.1%4.3%5.0%
Skew 10d10.1%2.8%17.4%16.9%12.2%
Call IV 25d31.2%28.1%35.5%35.5%29.8%
Put IV 25d35.8%33.7%39.8%39.8%34.8%
Bid-Ask Spread %11.837.2123.157.727.32
Gamma HHI0.270.220.340.250.22
Net GEX1.4M819.4K2.1M1.1M1.1M
Net DEX-33.7M-76.8M1.0M-40.7M-2.1M
Net VEX-705.1K-817.6K-628.6K-650.9K-628.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.003.690.170.15
Total Volume14,031201196,30828,3661,896
Total OI161,002.905148,715176,107148,715157,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$26.63$23.3539.6%11.4%54.6%75.2%38.6%4.3%-4.9%1.1M-40.7M-650.9K0.177.7224,1714,19576,39672,319
2008-08-04$26.64$23.3543.0%10.5%54.5%87.2%35.7%4.0%-0.1%1.7M-49.3M-734.6K0.8510.902,5482,15688,38672,980
2008-08-05$26.47$25.6841.5%10.1%54.9%81.9%36.9%4.2%0.6%1.6M-42.0M-737.0K1.3211.331,3121,72689,16374,730
2008-08-06$26.69$25.6840.3%9.9%54.9%77.7%33.7%4.4%0.3%1.7M-51.8M-750.5K0.6318.291,24878092,53276,055
2008-08-07$26.05$25.6835.9%9.9%55.9%61.5%33.7%4.5%0.1%1.5M-35.3M-736.3K0.2223.154,26792793,00976,690
2008-08-08$27.05$25.6834.4%9.2%55.0%56.3%32.4%4.0%0.1%1.9M-63.9M-786.5K0.2112.315,4311,12095,91977,006
2008-08-11$27.31$25.6835.7%9.3%55.0%60.8%33.9%5.5%-0.3%2.1M-76.8M-817.6K0.0811.2514,1981,12999,19276,915
2008-08-12$27.11$25.6829.2%9.4%55.0%37.2%33.6%4.3%0.6%1.7M-62.5M-739.5K0.319.903,12998092,19777,400
2008-08-13$27.22$25.6838.1%9.1%54.6%69.5%30.3%4.0%0.4%1.9M-65.9M-735.2K0.0011.61196,00929992,49976,703
2008-08-14$26.77$25.6834.0%9.7%55.5%54.6%31.6%4.5%0.9%1.2M-40.6M-727.0K1.2014.691,0361,23885,20376,760
2008-08-15$27.05$25.6829.6%8.5%55.5%38.6%30.2%4.8%2.4%1.6M-47.9M-717.4K0.3112.652,27769985,61176,962
2008-08-18$26.49$25.6833.1%9.5%56.5%51.5%31.7%2.7%0.9%1.5M-33.0M-714.0K0.1011.286,58963684,12869,006
2008-08-19$25.94$25.6832.6%9.4%57.2%49.7%36.7%4.8%1.1%1.5M-23.6M-714.7K3.6910.866702,47187,82369,374
2008-08-20$25.78$25.6832.6%9.3%57.3%49.6%32.5%4.8%1.2%1.1M-13.2M-678.0K0.9311.121,04497582,42770,823
2008-08-21$25.64$25.6831.8%9.1%55.3%46.6%32.7%4.2%2.1%1.1M-11.2M-676.6K1.3312.1922429783,31071,277
2008-08-22$25.85$25.6830.5%8.7%55.1%42.0%28.5%6.1%2.1%1.2M-13.6M-669.3K2.648.3431984283,39271,379
2008-08-25$25.15$25.6831.9%9.2%55.7%47.2%32.1%6.0%0.8%819.4K1.0M-640.8K0.3914.833,0371,17883,46872,008
2008-08-26$25.47$25.6831.3%9.0%53.8%44.9%32.3%4.5%1.1%1.0M-5.5M-649.4K0.2311.631643784,19572,337
2008-08-27$25.46$25.6831.1%8.9%53.9%44.0%29.6%6.1%1.7%1.1M-4.3M-639.7K1.327.2144258384,26072,348
2008-08-28$26.43$25.6830.6%8.8%30.0%42.5%30.3%5.6%1.5%1.6M-25.8M-662.9K0.479.941,61675684,43472,543
2008-08-29$25.26$25.6830.3%8.7%32.4%41.1%31.0%5.0%2.0%1.1M-2.1M-628.6K0.157.321,64625085,35972,543