IP Options History — June 2009

In June 2009, IP traded between $11.70 and $14.76. ATM implied volatility averaged 65.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 4.0% (HV 20d: 69.6%). Max pain ranged from $8.41 to $10.27. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2009-06-24: Highest Volume — 22,292 contracts
  • 2009-06-22: Largest IV spike — 10.4% change
  • 2009-06-02: Highest IV Rank — 36.5%
  • 2009-06-22: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$11.70$14.76$13.64$14.13
Max Pain$8.74$8.41$10.27$10.27$8.41
ATM IV65.6%56.1%73.2%69.5%56.1%
Expected Move19.0%16.1%21.0%19.9%16.1%
HV 20d69.6%57.8%86.8%86.8%70.2%
HV 60d107.0%99.8%114.9%114.9%100.0%
IV Rank30.4%22.1%36.5%34.6%22.1%
IV Percentile36.2%25.4%47.6%41.7%25.4%
Term Structure-0.2%-5.0%7.7%1.2%7.7%
VWIV66.9%56.4%74.6%70.7%56.4%
Skew 25d10.0%7.7%13.4%10.3%9.1%
Skew 10d23.0%12.9%39.8%17.1%17.0%
Call IV 25d61.7%51.9%68.5%66.9%51.9%
Put IV 25d71.6%61.0%78.0%77.2%61.0%
Bid-Ask Spread %12.838.3419.8714.2212.67
Gamma HHI0.180.120.280.160.18
Net GEX694.5K335.5K1.1M661.4K840.5K
Net DEX-123.0M-163.5M-69.0M-132.3M-131.0M
Net VEX-357.7K-386.7K-331.3K-356.0K-375.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.1112.060.850.27
Total Volume6,560.6361,58522,2922,29311,670
Total OI274,278.909235,252299,265266,914268,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$13.64$10.2769.5%19.9%86.8%34.6%70.7%10.3%1.2%661.4K-132.3M-356.0K0.8514.221,2401,053153,761113,153
2009-06-02$13.50$10.2772.0%20.6%82.1%36.5%71.9%8.3%0.5%667.2K-129.7M-351.5K2.1310.695071,078154,186113,646
2009-06-03$13.10$10.2771.5%20.5%81.4%36.1%74.6%11.1%2.0%636.3K-118.8M-354.8K12.0613.1596811,672154,274113,953
2009-06-04$13.66$10.2764.5%18.5%82.0%30.3%71.1%11.1%2.8%645.1K-130.5M-369.5K1.968.342,2314,383154,496123,696
2009-06-05$13.52$8.4165.4%20.1%79.0%31.0%70.6%10.8%-2.9%672.7K-128.0M-366.6K0.5319.871,522814155,011124,502
2009-06-08$13.75$8.4163.0%19.0%73.3%28.1%64.4%8.6%-1.9%719.6K-133.9M-355.1K0.589.252,3201,353154,527124,426
2009-06-09$13.64$8.4161.3%18.6%72.7%26.6%67.5%11.3%-1.4%754.0K-130.7M-355.5K0.3015.332,777845155,778124,929
2009-06-10$14.70$8.4161.0%17.9%75.6%26.4%64.3%10.4%-1.0%903.7K-160.2M-349.2K0.9717.023,3183,204157,336125,184
2009-06-11$14.51$8.4163.1%18.1%61.1%28.1%64.2%9.0%-1.0%936.0K-156.6M-350.7K0.4211.452,7031,146158,275126,321
2009-06-12$14.76$8.4160.1%17.2%60.5%25.7%65.6%9.9%0.3%988.7K-163.5M-347.3K1.239.882,3912,936159,657126,923
2009-06-15$14.17$8.4164.9%18.6%63.3%29.6%65.8%8.1%-2.5%1.1M-148.7M-350.8K0.1111.503,066336161,122127,064
2009-06-16$13.77$8.4166.0%18.9%57.8%30.4%65.6%9.9%-3.6%1.1M-137.9M-345.5K1.4413.772,4333,503162,086127,160
2009-06-17$12.93$8.4169.5%19.9%59.8%33.3%70.1%12.3%-4.3%532.6K-110.4M-350.9K1.3114.276,2598,216162,273129,899
2009-06-18$13.21$8.4169.0%19.8%60.1%32.9%69.5%13.4%-4.4%567.8K-119.5M-352.7K0.4115.603,6541,485164,509134,571
2009-06-19$12.84$8.4166.3%19.0%60.9%30.8%65.3%9.6%-2.9%465.5K-107.7M-346.5K0.4712.053,6991,739165,384133,881
2009-06-22$11.70$8.4173.2%21.0%68.2%36.4%74.2%9.5%-5.0%335.5K-69.0M-331.3K1.6812.073,6976,198135,69999,553
2009-06-23$12.22$8.4172.8%20.9%68.1%36.1%69.1%10.1%-4.1%352.7K-78.3M-349.2K0.8311.953,9223,264138,359104,851
2009-06-24$13.04$8.4167.3%19.3%66.5%31.6%67.2%11.5%0.4%443.3K-95.9M-360.6K0.4710.8815,1807,112139,962107,456
2009-06-25$13.48$8.4164.1%18.4%66.4%28.9%61.7%9.5%4.1%666.1K-111.1M-386.7K0.5115.932,2391,144151,812112,261
2009-06-26$13.04$8.4161.2%17.5%67.4%26.2%60.8%7.8%5.7%646.6K-101.2M-382.1K0.6612.492,8421,888152,912112,402
2009-06-29$13.47$8.4161.4%17.6%68.2%26.4%61.0%7.7%5.1%720.6K-112.2M-382.1K0.299.761,810517154,615113,485
2009-06-30$14.13$8.4156.1%16.1%70.2%22.1%56.4%9.1%7.7%840.5K-131.0M-375.6K0.2712.679,1612,509155,088113,698