IP Options History — October 2008

In October 2008, IP traded between $14.88 and $24.34. ATM implied volatility averaged 87.2%, placing in the 86.6% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 2.8% (HV 20d: 90.0%). Max pain ranged from $16.34 to $25.68. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.31.

Notable Days

2008-10-28: Highest Volume — 11,101 contracts
2008-10-06: Largest IV spike — 27.5% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.41	$14.88	$24.34	$24.34	$16.12
Max Pain	$21.32	$16.34	$25.68	$25.68	$16.34
ATM IV	87.2%	60.0%	108.3%	60.0%	76.9%
Expected Move	23.6%	17.2%	29.4%	17.2%	22.0%
HV 20d	90.0%	58.4%	115.8%	61.2%	115.8%
HV 60d	68.2%	52.1%	80.9%	52.1%	78.2%
IV Rank	86.6%	64.9%	100.0%	89.9%	64.9%
IV Percentile	98.1%	92.5%	100.0%	99.6%	92.5%
Term Structure	-8.2%	-15.1%	0.8%	-5.1%	-0.3%
VWIV	81.1%	62.0%	98.3%	63.7%	81.1%
Skew 25d	8.1%	2.0%	17.6%	3.6%	14.4%
Skew 10d	11.0%	-8.2%	26.6%	7.3%	14.5%
Call IV 25d	78.1%	58.3%	96.7%	58.3%	72.5%
Put IV 25d	86.1%	61.9%	101.6%	61.9%	86.9%
Bid-Ask Spread %	21.10	10.45	42.64	23.14	17.30
Gamma HHI	0.17	0.12	0.24	0.24	0.22
Net GEX	12.8K	-426.6K	836.2K	836.2K	136.2K
Net DEX	54.7M	12.3M	76.6M	12.3M	62.5M
Net VEX	-427.1K	-650.3K	-269.4K	-650.3K	-323.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.26	8.40	8.40	0.89
Total Volume	4,870.217	1,033	11,101	6,654	1,156
Total OI	168,313.696	149,365	180,710	171,530	173,545

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-10-01	$24.34	$25.68	60.0%	17.2%	61.2%	89.9%	63.7%	3.6%	-5.1%	836.2K	12.3M	-650.3K	8.40	23.14	708	5,946	96,560	74,970
2008-10-02	$23.72	$25.68	65.4%	18.7%	61.1%	100.0%	64.4%	6.6%	-6.6%	404.0K	22.9M	-646.6K	1.18	18.54	2,446	2,877	96,896	79,198
2008-10-03	$23.63	$25.68	62.4%	17.9%	59.2%	93.6%	62.0%	4.3%	-8.1%	389.4K	23.4M	-632.7K	0.62	17.06	636	397	98,297	78,427
2008-10-06	$22.96	$25.68	79.6%	18.9%	58.4%	100.0%	66.6%	9.9%	-8.4%	387.4K	28.6M	-604.6K	2.72	19.29	1,564	4,262	98,644	73,585
2008-10-07	$20.92	$25.68	83.5%	20.1%	65.4%	100.0%	69.0%	5.5%	-11.3%	-174.7K	56.3M	-531.4K	0.99	30.03	789	784	98,963	75,906
2008-10-08	$20.19	$23.35	88.0%	21.7%	63.0%	100.0%	74.4%	4.4%	-10.8%	-218.4K	62.0M	-503.3K	0.80	21.24	2,626	2,089	99,296	75,706
2008-10-09	$18.30	$23.35	94.1%	23.3%	68.0%	100.0%	82.5%	7.1%	-11.8%	-302.9K	73.6M	-424.5K	2.67	37.05	638	1,703	100,586	76,763
2008-10-10	$18.04	$23.35	108.3%	26.7%	66.9%	100.0%	92.7%	2.0%	-11.5%	-166.0K	61.4M	-471.5K	0.56	42.64	5,364	2,978	100,823	77,090
2008-10-13	$19.69	$23.35	102.4%	24.7%	77.5%	93.4%	81.8%	10.2%	-9.0%	-339.9K	55.0M	-509.7K	0.90	25.03	2,319	2,081	101,142	77,372
2008-10-14	$20.83	$23.35	85.1%	21.1%	81.1%	74.1%	72.8%	8.1%	-6.5%	-426.6K	52.3M	-532.6K	1.43	19.67	3,095	4,425	101,359	77,287
2008-10-15	$16.97	$23.35	102.4%	24.9%	103.8%	93.4%	77.1%	4.0%	-9.7%	-193.0K	76.6M	-373.2K	0.31	19.55	5,607	1,743	101,872	76,946
2008-10-16	$16.74	$23.35	96.7%	27.7%	103.8%	87.0%	96.2%	2.2%	-15.1%	-142.0K	69.2M	-372.8K	0.26	19.04	6,924	1,819	104,613	74,038
2008-10-17	$16.82	$18.68	94.2%	27.0%	100.0%	84.3%	91.3%	8.0%	-14.2%	-49.5K	64.8M	-381.9K	0.53	27.76	3,032	1,618	106,979	73,731
2008-10-20	$17.96	$18.68	85.5%	24.5%	102.8%	74.5%	82.9%	17.6%	-9.1%	46.7K	53.5M	-390.6K	0.28	15.00	1,802	510	82,750	66,615
2008-10-21	$17.24	$18.68	85.1%	24.4%	102.3%	74.1%	83.3%	9.0%	-8.0%	26.5K	55.6M	-370.4K	0.58	18.01	1,866	1,086	83,316	66,874
2008-10-22	$15.05	$18.68	95.2%	27.3%	109.3%	85.3%	91.9%	6.0%	-10.0%	-41.3K	64.3M	-269.4K	0.71	15.40	1,800	1,282	83,456	67,149
2008-10-23	$15.44	$18.68	90.3%	25.9%	109.8%	79.8%	88.7%	9.3%	-7.7%	-23.4K	60.6M	-297.7K	0.68	16.50	1,770	1,198	83,931	67,506
2008-10-24	$14.99	$18.68	99.5%	28.5%	109.2%	90.2%	93.8%	7.3%	-9.9%	-20.3K	60.9M	-282.4K	3.18	17.12	598	1,898	84,337	68,207
2008-10-27	$14.88	$18.68	102.5%	29.4%	107.9%	93.5%	98.3%	5.0%	-13.0%	-38.7K	62.3M	-274.5K	0.91	16.72	2,530	2,302	84,465	69,352
2008-10-28	$15.95	$18.68	83.8%	24.0%	112.7%	72.6%	83.9%	12.3%	-0.1%	-9.6K	62.3M	-306.8K	0.41	10.45	7,871	3,230	85,754	70,615
2008-10-29	$16.68	$16.34	87.7%	25.1%	115.0%	76.9%	88.0%	11.7%	-3.7%	132.1K	53.8M	-358.2K	0.80	21.56	5,282	4,226	91,387	73,388
2008-10-30	$15.94	$16.34	77.2%	22.1%	115.4%	65.2%	78.3%	17.6%	0.8%	82.0K	64.3M	-315.6K	0.34	17.33	2,343	795	95,091	76,428
2008-10-31	$16.12	$16.34	76.9%	22.0%	115.8%	64.9%	81.1%	14.4%	-0.3%	136.2K	62.5M	-323.2K	0.89	17.30	611	545	96,701	76,844