IP Options History — November 2008

In November 2008, IP traded between $9.68 and $16.33. ATM implied volatility averaged 95.4%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded below realized volatility by 19.9% (HV 20d: 115.3%). Max pain ranged from $11.67 to $16.34. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2008-11-12: Highest Volume — 27,472 contracts
  • 2008-11-12: Largest IV spike — 31.6% change
  • 2008-11-12: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.31$9.68$16.33$15.26$11.63
Max Pain$13.76$11.67$16.34$16.34$11.67
ATM IV95.4%68.3%122.4%74.2%86.0%
Expected Move26.8%19.6%33.9%21.3%24.7%
HV 20d115.3%97.7%121.4%116.4%116.5%
HV 60d91.1%78.2%100.1%78.2%99.9%
IV Rank77.3%55.2%100.0%61.8%64.8%
IV Percentile95.6%90.1%100.0%92.1%90.1%
Term Structure-2.3%-7.4%3.4%0.6%3.4%
VWIV93.9%68.7%116.0%74.5%86.0%
Skew 25d14.3%4.4%21.8%10.3%11.9%
Skew 10d27.6%5.9%44.8%13.7%29.0%
Call IV 25d88.1%66.2%114.2%73.8%86.0%
Put IV 25d102.5%76.5%129.0%84.1%97.9%
Bid-Ask Spread %15.328.2022.3512.7822.35
Gamma HHI0.230.160.330.220.22
Net GEX8.1K-218.7K188.4K74.0K45.9K
Net DEX61.9M45.2M78.5M69.1M46.3M
Net VEX-216.5K-301.8K-143.1K-278.3K-211.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.232.030.490.49
Total Volume7,730.3681,40027,4721,9271,561
Total OI197,490.474174,065230,437174,065194,464

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$15.26$16.3474.2%21.3%116.4%61.8%74.5%10.3%0.6%74.0K69.1M-278.3K0.4912.781,29463396,95377,112
2008-11-04$16.33$16.3468.3%19.6%117.2%55.2%68.7%10.9%2.0%164.8K65.9M-301.8K0.788.2078661497,27477,341
2008-11-05$15.11$16.3477.3%22.1%119.2%65.3%73.0%8.9%-2.8%48.1K72.2M-257.1K1.2113.921,0271,24797,52477,520
2008-11-06$13.77$16.3482.8%23.7%118.8%71.5%82.3%4.4%-3.1%-64.0K74.7M-211.6K2.0311.053,9297,98097,90677,448
2008-11-07$13.90$14.0179.9%23.1%119.1%68.2%84.2%14.7%-3.3%-137.5K77.9M-218.1K0.5117.181,37570199,89183,267
2008-11-10$13.16$14.0186.4%23.4%113.8%75.6%81.9%13.2%-3.0%-176.6K77.1M-197.1K0.9314.461,3361,244100,10983,331
2008-11-11$12.62$14.0193.0%24.9%110.3%82.9%83.7%10.1%-3.6%-218.7K78.5M-174.9K0.9016.111,105998100,46684,009
2008-11-12$10.99$14.01122.4%28.3%97.7%100.0%102.7%13.7%-7.4%-143.1K73.1M-143.1K0.4314.1419,1508,322100,75984,400
2008-11-13$12.86$14.0191.5%26.2%116.5%70.1%101.1%18.9%-3.6%107.2K62.6M-231.6K0.2618.6414,5333,785117,09291,521
2008-11-14$11.69$14.01104.2%29.9%119.8%82.4%108.2%16.7%-5.4%188.4K57.1M-219.5K0.6516.7613,5398,834123,86589,188
2008-11-17$10.84$14.01106.9%30.7%117.2%85.1%107.8%15.9%-2.8%154.2K56.8M-204.8K1.6416.953,1985,254126,37792,898
2008-11-18$10.82$14.01108.1%31.0%117.3%86.3%111.0%21.8%-5.3%150.5K56.5M-215.0K0.2911.991,985580128,12095,173
2008-11-19$10.46$14.01116.6%33.4%109.7%94.4%112.7%16.0%-4.4%114.7K55.7M-203.6K0.9613.646,8166,569128,79292,304
2008-11-20$9.68$11.67118.1%33.9%110.4%95.9%116.0%14.8%-3.7%-78.1K56.0M-188.2K0.3918.761,679649133,99796,440
2008-11-21$10.33$11.67114.8%32.9%114.7%92.7%103.8%21.3%-2.8%-51.0K55.4M-206.8K0.6816.511,269866133,94396,041
2008-11-24$11.34$11.67100.6%28.8%121.4%79.0%98.7%14.1%-3.5%-32.0K48.5M-214.7K0.2318.871,947442103,36388,338
2008-11-25$11.34$11.6791.9%26.3%117.5%70.5%98.3%17.7%2.5%-15.0K48.3M-213.3K0.4613.3612,1545,625104,29687,966
2008-11-26$11.74$11.6788.8%25.5%116.9%67.6%89.3%16.4%2.7%21.9K45.2M-222.3K0.4015.372,7511,100105,85786,974
2008-11-28$11.63$11.6786.0%24.7%116.5%64.8%86.0%11.9%3.4%45.9K46.3M-211.5K0.4922.351,050511107,34887,116