IP Options History — February 2009

In February 2009, IP traded between $5.31 and $7.60. ATM implied volatility averaged 81.2%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded below realized volatility by 12.3% (HV 20d: 93.5%). Max pain ranged from $7.00 to $9.34. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2009-02-02: Highest Volume — 15,043 contracts
2009-02-25: Largest IV spike — 19.4% change
2009-02-25: Highest IV Rank — 73.6%
2009-02-25: Largest Expected Move — 27.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.50	$5.31	$7.60	$7.56	$5.31
Max Pain	$7.86	$7.00	$9.34	$9.34	$7.00
ATM IV	81.2%	66.7%	95.0%	83.4%	89.7%
Expected Move	23.5%	20.9%	27.2%	23.9%	25.7%
HV 20d	93.5%	81.2%	98.9%	98.6%	88.0%
HV 60d	88.8%	80.6%	98.6%	98.6%	82.6%
IV Rank	60.2%	46.2%	73.6%	62.4%	68.4%
IV Percentile	81.1%	69.4%	92.5%	84.5%	87.3%
Term Structure	-4.3%	-14.0%	0.7%	-1.4%	-6.8%
VWIV	82.2%	69.4%	93.6%	83.3%	89.7%
Skew 25d	7.4%	-13.9%	21.4%	-6.7%	-0.0%
Skew 10d	16.7%	-17.3%	46.4%	-15.6%	1.6%
Call IV 25d	78.2%	65.9%	89.7%	85.2%	89.7%
Put IV 25d	85.6%	64.3%	96.1%	78.4%	89.7%
Bid-Ask Spread %	12.10	7.04	20.72	20.11	11.14
Gamma HHI	0.32	0.22	0.47	0.47	0.37
Net GEX	-97.2K	-256.2K	9.7K	-180.3K	5.8K
Net DEX	24.8M	17.1M	33.3M	33.3M	17.1M
Net VEX	-90.6K	-104.3K	-64.0K	-64.0K	-76.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.27	3.52	0.81	2.28
Total Volume	5,606.474	2,092	15,043	15,043	2,577
Total OI	131,244.632	112,794	144,794	112,794	135,085

Daily Data (19 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
2009-02-02	$7.56	$9.34	83.4%	23.9%	98.6%	62.4%	83.3%	-6.7%	-1.4%	-180.3K	33.3M	-64.0K	0.81	20.11	8,301	6,742	51,430	61,364
2009-02-03	$7.60	$9.34	81.7%	23.4%	98.9%	60.6%	75.5%	-10.8%	-6.9%	-256.2K	31.2M	-103.0K	0.40	7.91	3,132	1,247	54,590	67,295
2009-02-04	$7.38	$9.34	76.4%	21.9%	96.2%	55.5%	79.3%	-13.9%	-0.1%	-208.0K	30.5M	-92.6K	0.99	7.99	1,718	1,705	56,171	65,022
2009-02-05	$7.28	$9.34	78.0%	22.4%	94.7%	57.1%	84.0%	-1.6%	-14.0%	-196.6K	30.1M	-96.7K	0.36	8.85	1,543	549	57,040	65,614
2009-02-06	$7.47	$9.34	78.7%	21.1%	95.2%	57.8%	69.4%	9.4%	0.7%	-199.5K	30.2M	-99.7K	0.36	10.58	2,554	917	57,990	66,013
2009-02-09	$7.58	$9.34	75.9%	21.8%	96.0%	55.0%	76.1%	15.9%	-3.0%	-185.1K	31.4M	-76.9K	0.42	14.96	3,865	1,627	59,888	65,920
2009-02-10	$7.23	$9.34	66.7%	22.2%	96.2%	46.2%	83.2%	21.4%	-3.3%	-190.5K	27.8M	-104.3K	0.87	20.72	5,530	4,810	62,452	66,416
2009-02-11	$6.71	$7.00	67.5%	21.0%	97.8%	47.0%	73.9%	16.0%	-0.8%	-142.6K	29.9M	-92.0K	0.47	11.03	4,377	2,054	66,587	69,840
2009-02-12	$6.81	$7.00	74.2%	21.3%	98.0%	53.4%	74.3%	19.5%	-2.9%	-143.5K	23.8M	-99.1K	0.42	11.49	7,519	3,152	68,711	62,578
2009-02-13	$6.43	$7.00	73.0%	20.9%	98.6%	52.3%	78.1%	10.3%	-0.6%	-89.6K	22.4M	-103.2K	0.79	11.69	1,426	1,121	73,710	62,760
2009-02-17	$6.09	$7.00	81.1%	23.3%	98.0%	60.1%	84.7%	2.1%	-4.8%	-19.3K	23.6M	-92.0K	0.61	12.94	4,144	2,543	74,933	63,052
2009-02-18	$6.04	$7.00	78.4%	22.5%	92.5%	57.5%	92.8%	14.1%	-3.0%	-17.2K	23.4M	-92.8K	1.77	11.16	2,830	5,017	77,818	63,182
2009-02-19	$5.82	$7.00	89.7%	25.7%	82.4%	68.4%	85.8%	8.9%	-3.9%	-10.5K	24.0M	-86.9K	1.01	15.68	1,285	1,302	79,479	65,133
2009-02-20	$5.72	$7.00	91.9%	26.4%	81.3%	70.6%	81.3%	13.8%	-7.8%	-11.7K	23.2M	-88.5K	0.27	13.43	4,565	1,241	79,683	65,111
2009-02-23	$5.37	$7.00	91.8%	26.3%	81.2%	70.5%	78.0%	9.5%	-4.8%	-6.6K	17.6M	-82.8K	0.74	7.04	1,620	1,199	72,155	56,701
2009-02-24	$6.04	$7.00	79.6%	22.8%	96.9%	58.7%	89.7%	16.3%	-5.5%	9.7K	17.5M	-96.9K	0.81	13.94	4,678	3,806	73,075	57,236
2009-02-25	$5.62	$7.00	95.0%	27.2%	95.1%	73.6%	93.6%	9.6%	-7.2%	-3.4K	17.4M	-87.4K	3.52	11.51	548	1,928	75,008	59,379
2009-02-26	$5.44	$7.00	90.0%	25.8%	91.3%	68.7%	89.9%	7.0%	-6.4%	-2.1K	17.7M	-86.3K	2.30	7.76	1,016	2,335	75,360	59,867
2009-02-27	$5.31	$7.00	89.7%	25.7%	88.0%	68.4%	89.7%	-0.0%	-6.8%	5.8K	17.1M	-76.2K	2.28	11.14	786	1,791	76,009	59,076