IP Options History — August 2009

In August 2009, IP traded between $17.82 and $21.43. ATM implied volatility averaged 47.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.1% (HV 20d: 38.2%). Max pain ranged from $14.01 to $17.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-08-31: Highest Volume — 21,817 contracts
  • 2009-08-31: Largest IV spike — 11.8% change
  • 2009-08-17: Highest IV Rank — 18.7%
  • 2009-08-17: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.13$17.82$21.43$17.82$21.43
Max Pain$16.85$14.01$17.74$14.01$17.74
ATM IV47.3%44.3%52.3%49.0%49.6%
Expected Move13.8%12.7%15.0%14.0%14.2%
HV 20d38.2%28.7%43.9%37.0%43.0%
HV 60d55.0%51.2%63.5%63.5%51.2%
IV Rank14.5%11.7%18.7%16.2%16.0%
IV Percentile11.2%5.2%15.5%13.5%12.3%
Term Structure1.7%-0.1%4.0%1.9%1.5%
VWIV48.3%43.7%54.1%50.0%50.5%
Skew 25d5.4%2.2%7.5%5.2%7.1%
Skew 10d11.5%4.9%15.4%8.2%12.6%
Call IV 25d45.6%42.1%48.7%47.1%46.3%
Put IV 25d51.1%46.0%55.5%52.3%53.4%
Bid-Ask Spread %14.399.9221.0018.4111.33
Gamma HHI0.200.080.550.210.08
Net GEX1.5M455.8K2.6M1.8M613.8K
Net DEX-142.5M-172.9M-107.1M-139.5M-144.9M
Net VEX-396.9K-418.6K-370.6K-388.2K-398.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.122.271.140.44
Total Volume8,263.192,92921,8179,05921,817
Total OI212,736.333183,016228,511210,750195,941

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$17.82$14.0149.0%14.0%37.0%16.2%50.0%5.2%1.9%1.8M-139.5M-388.2K1.1418.414,2324,827129,80880,942
2009-08-04$18.51$14.0146.4%13.3%28.7%14.1%47.1%2.6%2.1%1.8M-158.7M-378.2K0.8911.008,3537,452130,08983,277
2009-08-05$18.41$14.0146.2%13.2%29.9%14.0%46.6%4.2%2.1%1.9M-158.6M-390.5K0.469.923,8201,752133,34086,345
2009-08-06$18.14$14.0145.8%13.1%31.8%13.7%46.0%2.2%4.0%2.1M-150.9M-403.3K2.0214.051,2952,613135,60987,320
2009-08-07$18.85$16.8144.5%13.8%32.9%12.5%48.1%6.2%0.7%1.9M-172.9M-394.9K0.9014.226,4915,854135,71688,651
2009-08-10$18.29$16.8146.4%14.0%36.7%14.1%49.6%5.4%0.7%1.8M-150.9M-413.8K0.3715.142,145784133,77993,184
2009-08-11$18.07$16.8145.8%14.6%37.5%13.7%51.2%5.8%0.2%2.0M-145.8M-410.4K0.1321.003,187429134,56293,494
2009-08-12$18.82$16.8145.1%13.9%36.1%13.0%48.3%6.3%1.6%1.8M-167.6M-387.0K1.4514.913,2194,654133,47793,792
2009-08-13$19.43$17.7447.9%13.7%36.8%15.0%48.0%4.6%-0.1%1.3M-156.6M-370.6K0.3114.527,3212,266118,95595,875
2009-08-14$18.67$17.7448.4%13.9%41.3%15.5%47.6%7.5%0.7%1.8M-136.3M-401.3K0.5313.534,5932,417122,21897,225
2009-08-17$18.09$17.7452.3%15.0%43.9%18.7%54.1%7.3%0.1%2.0M-116.0M-410.1K0.1215.187,025855122,73398,265
2009-08-18$18.46$17.7450.4%14.5%39.3%16.7%51.0%5.7%0.9%2.1M-129.0M-402.4K0.8518.222,2041,869123,79798,687
2009-08-19$18.81$17.7449.8%14.3%39.5%16.1%49.7%6.8%2.7%2.0M-139.9M-389.1K0.6013.1212,7017,603122,94298,091
2009-08-20$18.86$17.7449.4%14.2%38.8%15.8%48.8%6.0%2.0%2.6M-142.4M-418.6K1.2913.361,7942,319125,475103,036
2009-08-21$19.78$17.7446.8%13.4%40.7%13.7%46.8%5.2%1.6%838.6K-170.7M-383.7K0.5413.706,9433,729124,090100,973
2009-08-24$19.50$17.7447.0%13.5%40.9%13.9%46.4%6.5%1.7%455.8K-107.1M-388.9K0.7412.794,3013,17894,80588,211
2009-08-25$20.05$17.7447.1%13.5%41.4%13.9%47.6%5.2%2.7%551.4K-118.4M-402.1K2.2714.711,4333,24597,48689,972
2009-08-26$20.04$17.7446.3%13.3%41.3%13.3%46.4%5.8%1.8%531.2K-118.0M-405.4K0.9216.242,1641,98297,94691,651
2009-08-27$20.83$17.7444.7%12.8%42.6%12.0%45.8%4.7%2.8%574.6K-132.8M-398.4K0.5710.743,4291,93898,68792,681
2009-08-28$20.90$17.7444.3%12.7%42.6%11.7%43.7%3.9%3.1%621.1K-135.6M-398.6K0.8516.232,8612,433100,33094,006
2009-08-31$21.43$17.7449.6%14.2%43.0%16.0%50.5%7.1%1.5%613.8K-144.9M-398.5K0.4411.3315,1416,676101,31194,630