IP Options History — May 2009

In May 2009, IP traded between $11.26 and $13.97. ATM implied volatility averaged 78.5%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 36.7% (HV 20d: 115.2%). Max pain ranged from $9.34 to $10.27. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2009-05-04: Highest Volume — 44,012 contracts
  • 2009-05-13: Largest IV spike — 24.4% change
  • 2009-05-13: Highest IV Rank — 60.2%
  • 2009-05-13: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$11.26$13.97$12.18$13.42
Max Pain$10.13$9.34$10.27$9.34$10.27
ATM IV78.5%70.4%98.5%80.0%71.3%
Expected Move22.2%20.2%24.6%22.9%20.4%
HV 20d115.2%87.1%134.5%133.6%87.1%
HV 60d121.9%117.7%124.7%121.2%117.7%
IV Rank43.3%35.3%60.2%46.2%36.0%
IV Percentile56.1%43.7%84.1%61.5%43.7%
Term Structure-1.8%-5.9%2.3%-1.9%1.4%
VWIV78.8%70.7%85.7%82.0%71.6%
Skew 25d11.6%7.9%15.5%9.1%11.2%
Skew 10d23.2%17.7%31.1%17.7%19.8%
Call IV 25d71.5%64.3%79.7%74.6%64.3%
Put IV 25d83.1%75.4%91.3%83.7%75.5%
Bid-Ask Spread %14.329.4320.4420.449.43
Gamma HHI0.210.150.730.240.16
Net GEX797.3K463.0K3.7M746.1K623.5K
Net DEX-130.2M-174.3M-99.8M-146.5M-125.4M
Net VEX-373.4K-433.3K-349.4K-433.3K-359.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.051.991.100.99
Total Volume8,855.13,00844,0127,3133,139
Total OI283,063.05249,432311,675310,981265,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$12.18$9.3480.0%22.9%133.6%46.2%82.0%9.1%-1.9%746.1K-146.5M-433.3K1.1020.443,4773,836185,731125,250
2009-05-04$13.21$9.3485.6%23.7%134.5%50.5%80.6%15.5%-4.6%714.3K-174.3M-411.1K0.0515.0341,8442,168184,405123,439
2009-05-05$12.67$9.3482.6%23.1%132.2%48.2%80.6%13.3%-4.7%832.3K-160.2M-408.5K0.3613.883,9421,407187,710123,965
2009-05-06$13.07$10.2778.3%23.3%125.6%44.9%83.4%12.5%-4.0%680.2K-152.8M-359.2K0.9111.991,7901,630169,043124,918
2009-05-07$12.32$10.2793.1%23.8%130.0%56.1%85.7%12.7%-1.9%651.0K-132.3M-369.4K0.8416.504,5873,853169,371125,965
2009-05-08$13.41$10.2776.2%22.9%129.9%43.3%77.5%13.1%-5.9%683.4K-162.0M-355.7K1.2212.233,8204,642172,449128,541
2009-05-11$13.07$10.2783.9%23.0%131.2%49.1%81.3%13.0%-4.0%709.7K-155.6M-356.5K1.4415.202,4523,525173,484129,285
2009-05-12$12.63$10.2779.1%23.0%126.2%45.6%83.9%13.2%-4.7%701.1K-140.8M-359.3K1.8217.304,0817,436174,158131,954
2009-05-13$11.26$10.2798.5%24.6%120.1%60.2%83.2%11.6%-5.7%523.1K-99.8M-365.0K0.8112.647,4496,070175,054134,562
2009-05-14$11.67$10.2784.5%24.2%120.0%48.2%85.4%12.9%-5.1%815.7K-100.1M-380.3K1.0917.322,3392,552168,105137,036
2009-05-15$11.66$10.2781.5%23.4%120.1%44.2%82.8%11.3%-4.2%3.7M-99.8M-376.3K1.9914.964,5879,107168,835137,368
2009-05-18$12.71$10.2772.7%20.8%109.3%37.1%73.9%12.2%1.1%463.0K-104.7M-369.9K0.2711.534,6081,258143,069106,363
2009-05-19$13.36$10.2772.3%20.7%103.8%36.8%75.3%10.6%0.3%554.0K-121.6M-367.2K0.3014.646,9052,052145,481105,596
2009-05-20$13.14$10.2772.1%20.7%103.1%36.6%74.9%11.4%0.2%631.4K-119.0M-375.4K1.7414.512,1113,676150,200105,577
2009-05-21$13.03$10.2773.6%21.1%103.6%37.8%78.1%9.0%2.0%531.9K-113.5M-372.6K0.9512.361,5411,467147,078107,355
2009-05-22$13.36$10.2771.9%20.6%96.4%36.5%75.0%7.9%2.3%570.2K-122.5M-371.3K1.0715.971,7121,832148,105107,857
2009-05-26$13.97$10.2770.4%20.2%95.2%35.3%70.7%9.2%0.1%615.5K-137.3M-349.4K0.4416.616,0932,667148,645108,376
2009-05-27$12.87$10.2771.0%20.4%101.3%35.8%72.8%9.1%1.6%594.3K-112.3M-360.4K0.7913.492,6532,082150,267108,936
2009-05-28$13.33$10.2772.2%20.7%100.9%36.7%77.2%12.7%0.7%635.1K-122.6M-367.3K1.6410.412,5424,170151,876110,561
2009-05-29$13.42$10.2771.3%20.4%87.1%36.0%71.6%11.2%1.4%623.5K-125.4M-359.9K0.999.431,5771,562152,760112,531