IP Options History — July 2009

In July 2009, IP traded between $13.07 and $17.57. ATM implied volatility averaged 58.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 1.6% (HV 20d: 56.9%). Max pain ranged from $8.41 to $14.01. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-07-24: Highest Volume — 20,453 contracts
  • 2009-07-16: Largest IV spike — 16.2% change
  • 2009-07-08: Highest IV Rank — 31.5%
  • 2009-07-08: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.38$13.07$17.57$14.29$17.57
Max Pain$12.90$8.41$14.01$8.41$14.01
ATM IV58.5%47.7%67.5%56.8%47.7%
Expected Move17.4%13.7%20.6%16.3%13.7%
HV 20d56.9%37.6%71.3%69.2%37.6%
HV 60d80.9%64.9%98.6%98.6%64.9%
IV Rank24.1%15.2%31.5%22.6%15.2%
IV Percentile23.9%13.1%37.3%25.4%13.1%
Term Structure-2.7%-7.4%9.1%7.2%2.7%
VWIV61.3%48.7%70.3%55.3%49.6%
Skew 25d7.9%2.9%11.7%6.6%3.4%
Skew 10d15.3%5.3%34.8%18.6%5.8%
Call IV 25d56.8%46.7%65.6%52.5%46.7%
Put IV 25d64.6%50.1%75.5%59.1%50.1%
Bid-Ask Spread %14.8610.6020.0211.6014.96
Gamma HHI0.190.120.260.200.21
Net GEX1.0M618.0K1.8M919.4K1.8M
Net DEX-120.7M-162.4M-76.9M-137.7M-132.6M
Net VEX-369.6K-401.2K-342.7K-379.1K-401.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.202.310.480.97
Total Volume7,975.9091,85620,4537,1404,532
Total OI235,266.545160,848281,244271,816210,384

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$14.29$8.4156.8%16.3%69.2%22.6%55.3%6.6%7.2%919.4K-137.7M-379.1K0.4811.604,8192,321157,785114,031
2009-07-02$13.86$8.4157.0%16.3%68.7%22.8%57.0%11.7%9.1%845.1K-126.8M-381.0K0.4113.532,9831,225158,083115,126
2009-07-06$13.77$13.0762.0%19.2%68.7%26.9%67.6%10.8%-5.5%873.1K-117.7M-379.5K0.6117.402,1001,272156,573115,782
2009-07-07$13.07$13.0767.1%19.9%71.0%31.1%70.2%9.8%-5.6%734.8K-97.3M-366.5K1.6014.251,3722,202156,469116,493
2009-07-08$13.30$13.0767.5%20.6%71.3%31.5%69.8%9.9%-7.4%762.3K-103.0M-375.1K0.2819.613,052840156,790118,027
2009-07-09$13.55$13.0760.9%19.6%66.0%26.0%70.3%10.5%-6.3%850.0K-109.6M-371.0K2.3120.021,0722,472157,180118,341
2009-07-10$13.72$13.0759.5%19.3%66.1%24.9%67.3%10.9%-4.9%904.1K-114.2M-374.2K1.1916.068461,010157,623119,625
2009-07-13$13.85$13.0761.9%19.3%65.9%26.8%68.2%11.3%-4.3%973.5K-118.2M-367.8K0.7318.911,6561,213157,661119,924
2009-07-14$14.22$13.0759.7%18.9%65.1%25.0%66.4%10.6%-5.1%1.1M-129.5M-356.7K0.4219.752,064871157,641120,373
2009-07-15$14.97$13.0755.8%18.8%66.6%21.9%65.6%9.4%-6.6%1.1M-154.9M-353.9K0.3416.259,3293,139157,725119,992
2009-07-16$15.07$13.0764.9%18.6%61.6%29.3%65.7%9.3%-6.7%1.2M-161.4M-358.6K0.8011.412,1861,743160,723120,521
2009-07-17$15.18$13.0764.2%18.4%61.3%28.8%63.1%9.1%-6.5%1.1M-162.4M-344.3K0.5014.735,7562,884157,502118,412
2009-07-20$15.40$13.0760.8%17.4%59.9%26.0%62.6%7.7%-2.2%653.0K-76.9M-342.7K1.4117.093,3694,73696,09864,750
2009-07-21$16.39$13.0757.6%16.5%49.2%23.3%57.4%7.0%-3.5%618.0K-93.8M-345.4K0.3716.0610,5633,91697,63767,331
2009-07-22$16.52$13.0756.9%16.3%48.3%22.7%60.7%7.0%-4.0%855.0K-100.2M-355.0K0.3411.965,7201,925105,44668,629
2009-07-23$16.96$13.0756.1%16.1%44.8%22.1%57.5%6.7%-2.6%893.7K-109.3M-358.2K0.4411.937,9973,545107,44769,693
2009-07-24$17.48$14.0156.4%16.2%44.7%22.3%56.5%4.7%-3.2%954.2K-121.1M-363.9K0.2011.2916,9763,477111,12972,529
2009-07-27$17.28$14.0156.4%16.2%42.4%22.3%56.3%3.7%-2.5%1.4M-123.5M-390.3K0.7513.848,9586,740121,92774,983
2009-07-28$17.19$14.0154.7%15.7%42.3%20.9%57.0%6.0%-1.6%1.4M-117.9M-385.0K0.6710.603,7502,504120,61675,778
2009-07-29$17.17$14.0155.1%15.8%40.3%21.3%55.3%3.9%-1.9%1.4M-117.6M-387.1K0.4710.7011,4045,350120,92276,708
2009-07-30$17.50$14.0148.5%13.9%40.4%15.9%48.7%2.9%2.0%1.7M-129.1M-395.1K0.6114.927,2044,377126,86478,591
2009-07-31$17.57$14.0147.7%13.7%37.6%15.2%49.6%3.4%2.7%1.8M-132.6M-401.2K0.9714.962,3002,232129,82780,557