IP Options History — December 2008

In December 2008, IP traded between $10.33 and $12.29. ATM implied volatility averaged 80.2%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 20.7% (HV 20d: 101.0%). Max pain ranged from $11.67 to $23.35. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2008-12-22: Highest Volume — 15,995 contracts
  • 2008-12-04: Largest IV spike — 21.1% change
  • 2008-12-01: Highest IV Rank — 87.9%
  • 2008-12-01: Largest Expected Move — 31.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.13$10.33$12.29$10.35$11.02
Max Pain$19.95$11.67$23.35$11.67$18.68
ATM IV80.2%63.7%109.8%109.8%63.7%
Expected Move23.1%18.3%31.5%31.5%18.3%
HV 20d101.0%69.9%123.2%121.3%69.9%
HV 60d104.5%101.5%105.9%101.5%105.1%
IV Rank59.2%43.3%87.9%87.9%43.3%
IV Percentile84.0%75.4%98.4%98.4%75.4%
Term Structure-1.5%-8.5%4.4%-5.1%1.8%
VWIV81.2%64.2%97.7%97.6%64.2%
Skew 25d16.0%6.2%25.9%22.5%17.0%
Skew 10d33.4%-4.9%69.4%41.4%28.1%
Call IV 25d74.0%53.4%93.6%93.6%53.4%
Put IV 25d90.0%70.4%116.1%116.1%70.4%
Bid-Ask Spread %11.575.1219.0318.166.92
Gamma HHI0.280.250.350.250.28
Net GEX81.7K-349.6K416.1K-3.0K119.5K
Net DEX41.1M28.4M51.5M46.7M28.6M
Net VEX-169.3K-204.9K-139.8K-184.2K-141.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.166.922.040.56
Total Volume3,738.63663515,9951,712956
Total OI190,767.455168,331204,997193,309168,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$10.35$11.67109.8%31.5%121.3%87.9%97.6%22.5%-5.1%-3.0K46.7M-184.2K2.0418.165631,149108,17785,132
2008-12-02$10.88$11.6791.4%26.2%123.2%70.1%96.0%16.2%0.7%23.3K46.3M-187.4K0.7619.031,9761,495108,25185,252
2008-12-03$11.10$11.6786.6%24.8%120.0%65.4%88.3%14.9%4.4%68.1K44.7M-193.1K0.5216.861,335691109,91185,445
2008-12-04$10.40$11.67104.9%30.1%119.3%83.1%95.8%25.9%-3.5%21.5K48.0M-173.2K0.2415.23780189110,20985,730
2008-12-05$10.33$23.3598.6%28.5%116.0%77.0%97.7%23.4%-8.5%2.4K47.9M-166.4K1.778.331,1362,016110,64684,664
2008-12-08$11.42$23.3582.7%23.9%122.8%61.7%85.5%21.3%-3.7%125.9K42.6M-189.6K0.8814.182,3312,044110,83684,743
2008-12-09$11.47$23.3582.3%23.7%121.7%61.3%90.6%20.1%-1.1%137.7K42.5M-190.7K3.3211.847672,545112,35785,749
2008-12-10$12.10$23.3578.5%23.7%122.8%57.6%82.7%18.9%-3.9%213.9K39.1M-204.9K0.7310.761,6001,172112,64186,632
2008-12-11$11.12$23.3581.2%23.3%116.2%60.2%83.0%14.2%-3.0%138.4K44.2M-181.1K0.2410.043,204779112,85885,546
2008-12-12$11.37$23.3580.7%23.1%101.0%59.7%84.0%18.7%-3.9%218.2K43.0M-181.1K0.3512.161,137396113,74085,234
2008-12-15$11.44$23.3583.2%23.9%95.4%62.2%87.5%14.5%-4.0%258.0K42.4M-178.7K0.8813.041,6901,492114,05885,262
2008-12-16$12.18$23.3579.4%22.8%93.7%58.5%79.0%17.0%-2.6%416.1K37.2M-188.6K6.9215.601,3429,288114,16985,714
2008-12-17$12.29$23.3577.7%22.3%93.7%56.8%78.1%14.9%-2.5%134.9K28.4M-179.4K1.6215.196361,031114,07490,923
2008-12-18$11.53$21.0173.0%20.9%95.9%52.2%75.3%16.3%0.9%-176.4K43.8M-172.4K2.2510.555111,148114,20490,336
2008-12-19$11.43$21.0169.6%20.0%91.0%49.0%69.6%12.9%0.7%-349.6K51.5M-158.6K1.2911.613,9605,098114,32790,582
2008-12-22$10.90$21.0175.2%21.6%90.5%54.4%75.4%10.8%-2.1%50.9K39.6M-142.3K0.2715.0012,5773,418102,41568,688
2008-12-23$10.66$21.0171.9%20.6%84.2%51.1%72.3%7.5%0.3%51.1K39.3M-145.4K0.555.533,5631,946105,73170,166
2008-12-24$10.67$18.6868.5%19.6%84.2%47.9%69.2%7.5%1.0%103.0K39.3M-144.8K1.165.12294341108,74670,980
2008-12-26$10.73$21.0169.2%19.9%83.1%48.6%73.0%6.2%0.1%77.0K39.7M-141.5K0.165.421,551242106,36870,974
2008-12-29$10.67$21.0170.8%20.3%83.1%50.2%73.3%12.8%-1.6%76.5K39.9M-139.8K0.817.011,5421,246107,12371,136
2008-12-30$10.87$18.6865.6%18.8%72.0%45.1%69.2%19.4%2.1%90.4K29.3M-140.0K0.547.03696377106,74761,584
2008-12-31$11.02$18.6863.7%18.3%69.9%43.3%64.2%17.0%1.8%119.5K28.6M-141.6K0.566.92611345107,05861,766