IP Options History — March 2009

In March 2009, IP traded between $3.82 and $8.55. ATM implied volatility averaged 106.1%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 29.8%. IV traded below realized volatility by 5.2% (HV 20d: 111.3%). Max pain ranged from $7.00 to $9.34. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-03-17: Highest Volume — 92,325 contracts
  • 2009-03-09: Largest IV spike — 54.0% change
  • 2009-03-09: Highest IV Rank — 100.0%
  • 2009-03-09: Largest Expected Move — 38.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.02$3.82$8.55$4.78$6.57
Max Pain$7.22$7.00$9.34$7.00$7.00
ATM IV106.1%86.2%151.0%94.5%101.1%
Expected Move29.8%24.7%38.0%27.1%29.0%
HV 20d111.3%76.6%134.5%82.6%129.5%
HV 60d94.6%82.4%108.0%83.8%107.6%
IV Rank69.5%59.0%100.0%73.1%62.2%
IV Percentile93.2%84.1%100.0%92.1%90.1%
Term Structure-6.0%-27.3%6.7%-3.0%2.4%
VWIV103.1%86.1%131.9%94.8%101.3%
Skew 25d11.3%-11.9%27.9%-11.9%12.6%
Skew 10d27.0%-17.2%67.3%-17.2%16.9%
Call IV 25d100.0%78.8%130.3%106.4%106.1%
Put IV 25d111.3%86.2%137.2%94.5%118.7%
Bid-Ask Spread %6.333.9411.226.8510.93
Gamma HHI0.480.230.890.350.51
Net GEX286.7K-16.9K808.3K-1.8K476.7K
Net DEX-14.9M-52.6M16.1M15.6M-22.8M
Net VEX-166.1K-301.5K-48.8K-69.9K-243.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.093.913.910.89
Total Volume13,532.2271,23992,3257,6656,296
Total OI192,582.318133,674250,302135,595242,533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$4.78$7.0094.5%27.1%82.6%73.1%94.8%-11.9%-3.0%-1.8K15.6M-69.9K3.916.851,5606,10576,23559,360
2009-03-03$4.43$7.0086.2%24.7%77.5%65.0%86.1%7.4%3.7%-16.9K16.1M-66.6K1.829.001,8603,38276,92757,915
2009-03-04$4.32$7.0090.3%25.9%76.6%69.0%90.3%12.8%-1.9%-15.9K14.6M-57.3K0.165.724,75575777,06856,606
2009-03-05$3.89$7.0090.2%25.9%81.3%68.9%90.2%-4.4%-0.0%6.6K14.6M-48.8K0.844.412,2901,92380,90557,012
2009-03-06$3.82$9.3498.1%25.1%81.1%76.5%87.6%27.9%-3.2%9.5K13.7M-54.8K1.215.941,6682,02082,02757,269
2009-03-09$4.11$9.34151.0%38.0%87.1%100.0%131.9%4.5%-27.3%-1711.8M-67.2K0.095.5638,9243,32982,14657,816
2009-03-10$4.59$7.00134.3%35.1%99.6%87.3%119.3%24.0%-24.9%182.5K4.2M-97.1K0.424.934,5851,942114,91559,149
2009-03-11$5.11$7.00129.7%34.9%109.4%83.9%118.8%1.9%-19.7%194.3K-807.5K-110.3K0.284.513,9081,076114,15859,615
2009-03-12$5.47$7.00121.4%34.8%111.4%77.6%115.1%9.1%-20.4%183.1K-4.2M-123.5K0.193.946,2951,178114,44759,317
2009-03-13$5.76$7.00118.1%33.9%113.2%75.1%106.8%13.7%-20.6%166.9K-6.5M-127.9K0.335.594,3581,431114,50059,405
2009-03-16$5.91$7.00100.0%28.7%112.4%61.4%105.2%15.4%-10.3%63.5K-8.7M-123.8K0.284.795,3231,497115,25759,700
2009-03-17$6.78$7.00101.7%29.1%121.2%62.6%101.4%15.9%-7.6%103.7K-14.8M-140.5K0.165.9779,39612,929115,38160,363
2009-03-18$7.26$7.0098.3%28.2%123.0%60.0%98.0%19.9%-4.6%698.6K-45.2M-236.6K0.239.026,5311,522177,65669,496
2009-03-19$6.93$7.0096.8%27.8%123.5%59.0%97.3%11.2%-2.3%808.3K-37.2M-220.4K0.316.345,4641,681178,35869,882
2009-03-20$6.61$7.00102.2%29.3%124.8%63.0%103.3%13.7%-6.2%766.4K-33.8M-224.2K0.298.725,0751,484180,33969,963
2009-03-23$7.63$7.0098.4%28.2%130.7%60.1%97.4%11.0%2.3%387.5K-34.8M-243.9K0.104.565,208527147,38563,875
2009-03-24$8.55$7.00103.4%29.6%130.3%63.9%108.6%6.4%-5.0%387.4K-52.6M-267.2K0.127.7146,0015,374150,12364,152
2009-03-25$7.65$7.00104.9%30.1%134.5%65.0%103.3%10.4%3.5%473.9K-42.0M-288.3K0.484.616,0302,886169,60366,554
2009-03-26$7.82$7.00106.2%30.4%133.3%66.1%103.5%21.9%2.0%487.0K-46.5M-301.5K0.354.223,5311,249171,31067,743
2009-03-27$7.54$7.00102.4%29.4%133.9%63.2%101.9%13.4%6.7%480.8K-40.3M-282.9K0.714.81723516172,01468,037
2009-03-30$6.90$7.00105.0%30.1%131.9%65.2%105.5%12.6%4.5%464.1K-28.2M-257.0K1.0211.222,5322,588172,26168,034
2009-03-31$6.57$7.00101.1%29.0%129.5%62.2%101.3%12.6%2.4%476.7K-22.8M-243.7K0.8910.933,3252,971173,21569,318