IP Options History — April 2009

In April 2009, IP traded between $6.41 and $11.82. ATM implied volatility averaged 97.7%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 28.4%. IV traded below realized volatility by 31.9% (HV 20d: 129.6%). Max pain ranged from $7.00 to $9.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2009-04-15: Highest Volume — 68,529 contracts
  • 2009-04-30: Largest IV drop — 22.4% change
  • 2009-04-29: Highest IV Rank — 67.8%
  • 2009-04-29: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.23$6.41$11.82$6.99$11.82
Max Pain$7.78$7.00$9.34$7.00$9.34
ATM IV97.7%82.7%108.5%91.2%84.2%
Expected Move28.4%24.1%31.1%26.1%24.1%
HV 20d129.6%120.2%141.0%129.2%134.5%
HV 60d116.3%108.3%125.2%108.4%121.3%
IV Rank59.6%48.3%67.8%54.7%49.4%
IV Percentile85.7%66.7%96.0%81.3%66.7%
Term Structure-7.2%-20.5%10.6%10.6%-4.1%
VWIV99.1%88.8%114.6%93.0%90.1%
Skew 25d16.4%8.3%23.7%17.3%8.3%
Skew 10d35.0%13.9%56.4%30.0%13.9%
Call IV 25d91.9%80.1%101.0%96.1%80.1%
Put IV 25d108.3%88.4%117.7%113.3%88.4%
Bid-Ask Spread %14.804.2122.564.2212.76
Gamma HHI0.380.200.590.540.24
Net GEX545.7K276.7K737.6K536.7K596.6K
Net DEX-48.1M-134.1M-16.9M-28.9M-134.1M
Net VEX-304.9K-432.9K-219.8K-253.9K-432.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.173.010.562.05
Total Volume16,098.5241,76068,5292,53536,554
Total OI253,562.667202,394308,556244,357308,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$6.99$7.0091.2%26.1%129.2%54.7%93.0%17.3%10.6%536.7K-28.9M-253.9K0.564.221,628907174,66869,689
2009-04-02$7.50$7.0091.3%26.2%120.8%54.8%89.9%22.0%9.4%579.1K-38.3M-274.6K0.384.212,413909174,90569,634
2009-04-03$7.43$7.0087.3%28.1%120.2%51.8%88.8%21.6%-7.8%606.3K-37.0M-267.2K0.179.912,902507175,96170,019
2009-04-06$6.94$7.0097.2%28.4%124.5%59.2%101.0%19.0%-6.9%590.0K-25.7M-239.7K0.6913.334,4363,074176,61470,063
2009-04-07$6.41$7.0097.0%28.8%125.6%59.1%103.4%20.3%-8.2%452.3K-16.9M-226.8K0.3611.801,295465174,78273,729
2009-04-08$6.70$7.0082.7%27.8%121.6%48.3%98.0%17.3%-7.3%568.8K-20.6M-229.4K0.1819.162,088380175,21271,454
2009-04-09$7.30$7.0093.1%26.7%122.8%56.2%94.0%19.5%-3.0%700.8K-34.1M-250.7K1.3621.501,5352,086176,53371,374
2009-04-13$7.36$7.0096.4%27.6%122.1%58.6%92.6%15.0%-8.3%737.6K-34.1M-242.1K0.2518.014,2841,052176,86072,137
2009-04-14$6.74$7.0093.8%26.9%126.9%56.7%93.3%16.4%-6.7%716.8K-19.7M-219.8K0.4414.421,990874179,12572,311
2009-04-15$8.22$7.00107.2%30.7%136.7%66.8%108.5%17.1%-9.9%543.7K-58.4M-271.9K0.7019.2940,37128,158179,98372,375
2009-04-16$8.17$8.41102.9%29.5%135.0%63.5%102.5%14.6%-10.0%570.5K-53.7M-300.5K0.9412.498,3597,869194,00889,377
2009-04-17$8.24$8.41102.0%29.2%133.6%62.8%102.2%10.6%-9.0%494.7K-53.0M-293.2K0.3016.278,0562,417193,37992,103
2009-04-20$7.25$8.41104.1%29.8%141.0%64.4%102.3%11.2%-8.0%276.7K-18.5M-259.0K0.4422.568,1773,597130,36572,029
2009-04-21$8.20$8.41101.8%29.2%138.6%62.7%103.4%14.5%-10.3%332.9K-33.9M-286.8K2.9918.676,24218,668131,97573,888
2009-04-22$8.82$8.41107.6%30.8%135.0%67.1%103.1%14.4%-13.4%279.3K-40.8M-328.1K0.2014.5025,4454,978135,70089,629
2009-04-23$8.98$8.41100.4%28.8%128.3%61.7%101.0%17.3%-11.0%461.8K-51.7M-371.3K3.0111.871,9595,888154,95590,075
2009-04-24$10.14$8.4196.6%27.7%134.5%58.8%94.9%11.8%-6.0%481.9K-76.5M-402.6K0.2818.1627,0307,636156,39594,778
2009-04-27$9.80$8.41105.2%30.2%134.4%65.3%104.8%16.5%-10.6%636.3K-74.7M-419.5K1.0411.182,9183,040174,972100,729
2009-04-28$9.72$8.41102.2%29.3%129.3%63.0%99.5%16.7%-9.6%635.0K-73.2M-406.3K1.6515.517,38812,181174,473101,563
2009-04-29$10.18$8.41108.5%31.1%127.3%67.8%114.6%23.7%-20.5%662.1K-85.9M-426.7K2.9921.089,60528,708178,665109,774
2009-04-30$11.82$9.3484.2%24.1%134.5%49.4%90.1%8.3%-4.1%596.6K-134.1M-432.9K2.0512.7611,99024,564181,259127,297