IP Options History — September 2008

In September 2008, IP traded between $24.42 and $28.57. ATM implied volatility averaged 46.1%, placing in the 83.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 2.1% (HV 20d: 48.2%). Max pain ranged from $25.68 to $25.68. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2008-09-05: Highest Volume — 17,170 contracts
  • 2008-09-29: Largest IV spike — 23.6% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$24.42$28.57$25.17$24.45
Max Pain$25.68$25.68$25.68$25.68$25.68
ATM IV46.1%32.6%64.6%32.6%59.1%
Expected Move13.2%9.3%18.5%9.3%16.9%
HV 20d48.2%32.4%63.6%32.4%63.6%
HV 60d45.9%40.9%52.1%40.9%52.1%
IV Rank83.3%49.6%100.0%49.6%87.9%
IV Percentile91.6%59.5%100.0%59.5%99.6%
Term Structure-4.0%-9.8%0.7%0.0%-4.1%
VWIV46.0%32.8%62.9%32.9%62.9%
Skew 25d4.9%2.0%8.8%2.0%4.5%
Skew 10d11.4%-2.4%21.1%-2.4%18.4%
Call IV 25d44.2%31.8%62.2%32.9%58.5%
Put IV 25d49.1%34.9%69.9%34.9%63.0%
Bid-Ask Spread %16.237.6834.777.6818.77
Gamma HHI0.310.220.420.220.24
Net GEX2.0M803.0K3.4M1.1M803.0K
Net DEX-42.5M-108.7M13.0M-1.2M13.0M
Net VEX-721.6K-780.2K-612.4K-612.4K-658.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.081.620.810.92
Total Volume5,124.28667717,1706773,116
Total OI172,381158,383183,569158,383173,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$25.17$25.6832.6%9.3%32.4%49.6%32.9%2.0%0.0%1.1M-1.2M-612.4K0.817.6837430385,96772,416
2008-09-03$26.32$25.6833.4%9.6%36.4%52.4%32.8%3.6%0.7%1.7M-27.4M-655.2K0.6311.112,7261,72286,04972,639
2008-09-04$25.62$25.6835.3%10.1%37.4%59.6%34.9%3.5%0.1%1.3M-11.6M-655.1K0.2616.462,66270387,19473,332
2008-09-05$26.59$25.6838.6%10.7%38.9%71.6%36.2%3.5%-1.8%1.7M-36.6M-678.2K0.0816.2215,8801,29087,22773,390
2008-09-08$27.32$25.6838.3%10.8%37.8%70.3%38.5%5.2%-3.4%3.1M-69.5M-736.5K0.7310.374,6093,36799,62873,694
2008-09-09$26.65$25.6843.2%11.6%38.6%88.2%40.2%2.7%-3.0%2.7M-54.2M-757.0K0.5912.611,352792102,33776,478
2008-09-10$27.71$25.6840.1%11.4%41.0%76.8%39.4%3.5%-4.2%3.1M-83.6M-773.8K0.3313.632,476822101,63476,654
2008-09-11$28.23$25.6840.0%11.5%41.5%76.5%41.5%5.1%-3.7%3.2M-99.0M-774.3K1.0115.423,1543,176102,13877,159
2008-09-12$28.57$25.6839.7%11.4%41.0%75.3%40.5%5.0%-3.5%3.4M-108.7M-780.2K0.288.833,8131,060102,97678,013
2008-09-15$27.91$25.6842.4%12.2%42.0%85.3%42.6%2.8%-5.6%3.1M-88.1M-762.4K0.2715.583,450918101,61978,074
2008-09-16$28.31$25.6842.7%12.2%41.3%86.3%41.9%5.2%-5.4%2.9M-95.5M-761.2K0.5319.041,333711100,09778,283
2008-09-17$26.28$25.6850.1%14.4%49.1%100.0%48.1%5.0%-7.0%2.3M-40.2M-743.6K1.6217.043,3865,485100,19378,514
2008-09-18$25.48$25.6853.3%15.3%50.3%100.0%52.7%4.5%-8.7%1.6M-11.6M-743.7K0.4120.606,4452,642100,22181,870
2008-09-19$27.01$25.6851.5%14.8%54.5%94.8%53.6%8.8%-9.8%2.1M-65.4M-757.3K0.6518.472,2871,492103,88279,687
2008-09-22$25.04$25.6854.6%15.6%61.1%100.0%54.7%5.9%-5.4%1.1M-7.6M-696.8K0.6317.084,9293,08291,99971,726
2008-09-23$25.47$25.6853.7%15.4%60.6%97.5%54.2%6.0%-3.8%1.4M-15.4M-707.8K0.2124.355,2581,07994,43773,241
2008-09-24$25.85$25.6853.8%15.4%60.7%97.9%55.1%7.3%-4.4%1.6M-24.6M-723.1K1.3813.762,0012,75894,53673,304
2008-09-25$26.29$25.6849.6%14.2%60.9%86.1%49.2%4.5%-1.7%1.7M-33.7M-739.2K0.6514.4471446596,02475,493
2008-09-26$26.37$25.6852.2%15.0%59.5%93.5%51.3%6.2%-3.6%1.7M-35.4M-747.0K0.4014.511,87774296,06375,762
2008-09-29$24.42$25.6864.6%18.5%63.6%100.0%62.6%7.7%-5.9%922.0K3.9M-690.8K0.4434.772,19596496,99175,902
2008-09-30$24.45$25.6859.1%16.9%63.6%87.9%62.9%4.5%-4.1%803.0K13.0M-658.2K0.9218.771,6231,49397,04076,118