IP Options History — January 2009

In January 2009, IP traded between $8.52 and $11.69. ATM implied volatility averaged 72.6%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 4.9% (HV 20d: 67.7%). Max pain ranged from $9.34 to $16.34. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2009-01-22: Highest Volume — 12,492 contracts
  • 2009-01-12: Largest IV spike — 37.3% change
  • 2009-01-14: Highest IV Rank — 76.2%
  • 2009-01-27: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.37$8.52$11.69$11.61$8.52
Max Pain$11.09$9.34$16.34$16.34$9.34
ATM IV72.6%50.5%97.8%61.9%50.5%
Expected Move20.3%14.5%25.0%17.7%14.5%
HV 20d67.7%52.8%94.7%72.0%94.7%
HV 60d96.2%91.3%104.6%104.6%97.4%
IV Rank51.9%30.5%76.2%41.5%30.5%
IV Percentile78.1%63.9%93.7%74.6%63.9%
Term Structure-1.6%-9.9%9.0%2.9%9.0%
VWIV68.7%50.2%83.8%64.4%50.2%
Skew 25d16.6%7.4%31.1%31.1%8.4%
Skew 10d35.9%3.8%56.4%49.7%3.8%
Call IV 25d62.0%43.9%73.5%43.9%66.4%
Put IV 25d78.6%73.2%89.0%75.0%74.7%
Bid-Ask Spread %12.589.8018.159.8012.12
Gamma HHI0.350.280.550.280.49
Net GEX-12.5K-278.7K271.2K236.7K-226.6K
Net DEX26.2M16.2M35.5M23.9M30.6M
Net VEX-138.8K-171.3K-104.1K-153.0K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.237.742.032.30
Total Volume5,432.951,29812,4922,2079,953
Total OI143,107.9583,052185,425169,272112,266

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$11.61$16.3461.9%17.7%72.0%41.5%64.4%31.1%2.9%236.7K23.9M-153.0K2.039.807291,478107,35961,913
2009-01-05$11.21$9.3464.8%18.8%69.0%44.4%69.0%14.7%-1.1%163.9K27.5M-140.5K0.6716.971,7131,152107,79262,510
2009-01-06$11.69$9.3463.4%18.7%70.2%43.0%65.6%15.1%-1.8%271.2K24.3M-149.4K1.8410.568911,641108,47163,231
2009-01-07$10.91$11.6766.3%18.7%65.7%45.8%69.4%12.8%-0.4%116.5K29.5M-137.4K0.2615.141,957517108,97364,395
2009-01-08$11.09$11.6762.9%18.6%66.0%42.5%64.2%14.6%0.4%161.2K28.8M-139.9K0.2315.155,3291,217109,62164,696
2009-01-09$10.93$11.6765.5%18.3%62.7%45.0%64.0%14.0%1.6%228.5K28.7M-138.5K0.3913.282,170853112,87064,661
2009-01-12$10.47$11.6789.9%22.4%57.2%68.6%72.8%16.6%-7.3%64.4K32.4M-123.1K2.4110.822,1265,114113,27064,750
2009-01-13$10.49$11.6778.9%21.4%56.5%58.0%70.3%14.6%-5.4%-13.1K33.7M-127.5K1.0111.01646652111,94468,428
2009-01-14$9.97$11.6797.8%21.7%58.6%76.2%72.8%16.8%-3.4%-256.9K35.5M-120.0K7.4810.304333,237111,49968,817
2009-01-15$9.98$11.6775.5%21.6%52.8%54.7%70.0%17.3%-3.5%-278.7K35.1M-118.7K1.7611.103,2215,675111,69669,971
2009-01-16$10.17$11.6773.2%21.0%53.3%52.4%66.5%17.2%-1.4%-49.3K34.8M-124.7K0.5014.471,087541112,10873,317
2009-01-20$9.08$11.6776.0%21.8%62.3%55.2%74.5%10.8%-2.8%-96.2K18.5M-104.1K0.9310.925,6495,26742,87640,176
2009-01-21$9.96$11.6772.3%20.7%72.5%51.6%63.0%19.4%2.0%-61.4K16.8M-136.9K1.1112.212,5212,78745,93244,794
2009-01-22$10.07$11.6778.4%22.5%71.1%57.5%76.7%7.4%-9.9%-54.2K16.2M-150.1K1.7113.194,6107,88246,65746,569
2009-01-23$10.11$9.3476.6%21.9%70.8%55.7%68.7%23.1%0.6%-60.7K17.0M-162.1K7.7411.817725,97749,04952,742
2009-01-26$10.02$9.3476.1%21.8%70.8%55.3%68.0%20.9%1.4%-54.3K21.9M-155.3K1.0212.711,6471,68349,44355,942
2009-01-27$10.42$9.3487.1%25.0%72.3%65.9%83.8%26.9%-9.5%-41.0K21.3M-161.1K4.5518.151,7157,80949,50457,054
2009-01-28$10.85$9.3465.5%18.8%73.8%45.0%73.7%21.9%0.0%-90.7K21.6M-171.3K1.0910.771,7871,95749,67763,451
2009-01-29$9.82$11.6768.8%19.7%81.6%48.2%66.5%8.6%-2.3%-209.3K27.0M-147.2K5.4611.056603,60450,20063,535
2009-01-30$8.52$9.3450.5%14.5%94.7%30.5%50.2%8.4%9.0%-226.6K30.6M-115.6K2.3012.123,0196,93450,49361,773