IP Options History — September 2009

In September 2009, IP traded between $19.95 and $23.46. ATM implied volatility averaged 48.0%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 5.7% (HV 20d: 42.3%). Max pain ranged from $13.07 to $18.68. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-09-24: Highest Volume — 21,446 contracts
  • 2009-09-24: Largest IV spike — 7.7% change
  • 2009-09-01: Highest IV Rank — 15.8%
  • 2009-09-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.43$19.95$23.46$20.36$20.76
Max Pain$14.72$13.07$18.68$17.74$15.88
ATM IV48.0%46.3%51.3%51.3%46.3%
Expected Move13.8%13.3%14.7%14.7%13.3%
HV 20d42.3%35.4%46.6%46.6%41.4%
HV 60d45.6%40.5%52.5%52.5%40.5%
IV Rank6.1%1.8%15.8%15.8%1.8%
IV Percentile8.3%3.2%14.7%14.3%3.2%
Term Structure2.0%-0.8%4.9%-0.8%4.9%
VWIV48.4%45.5%51.6%51.6%47.1%
Skew 25d6.2%4.5%7.6%6.3%6.7%
Skew 10d13.8%8.9%23.0%14.2%11.8%
Call IV 25d45.3%43.4%48.9%48.9%43.9%
Put IV 25d51.5%49.4%55.2%55.2%50.5%
Bid-Ask Spread %10.916.8916.3916.3911.17
Gamma HHI0.160.080.390.150.11
Net GEX1.1M130.7K2.9M1.1M439.2K
Net DEX-139.5M-216.2M-87.2M-124.6M-87.2M
Net VEX-419.7K-444.4K-396.7K-435.9K-428.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.133.251.120.89
Total Volume7,596.6672,06821,4469,6483,651
Total OI212,333.381196,990232,887204,320203,553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$20.36$17.7451.3%14.7%46.6%15.8%51.6%6.3%-0.8%1.1M-124.6M-435.9K1.1216.394,5525,096107,67196,649
2009-09-02$20.45$18.6850.2%14.4%46.4%14.3%49.7%4.6%1.4%1.1M-125.8M-444.4K0.8412.912,0391,714109,14498,881
2009-09-03$20.68$18.6848.0%13.8%45.9%11.0%48.8%5.4%3.5%1.1M-129.3M-442.5K0.4713.842,6601,247109,47499,845
2009-09-04$20.96$13.0748.4%14.3%44.4%9.0%51.2%7.6%0.5%1.2M-137.6M-440.5K0.5110.371,374694110,425100,435
2009-09-08$21.60$13.0749.1%14.1%43.1%9.6%49.4%6.6%1.3%1.3M-154.5M-416.6K0.326.895,2751,710110,782100,370
2009-09-09$21.81$13.0747.4%13.6%42.5%6.9%51.2%5.6%0.8%1.4M-161.5M-416.4K0.5912.472,5611,511113,256100,735
2009-09-10$22.29$13.0747.7%13.7%41.2%7.2%50.2%5.7%1.1%1.4M-175.4M-398.8K0.199.8613,7142,579114,066101,356
2009-09-11$21.92$13.0747.4%13.6%41.1%6.9%48.9%5.2%1.6%2.3M-171.1M-424.2K1.079.113,1543,372121,565102,251
2009-09-14$22.56$14.0147.5%13.6%38.0%7.1%49.0%6.1%0.5%2.0M-186.3M-404.7K2.107.772,1014,409120,579104,022
2009-09-15$23.28$14.0146.6%13.4%35.5%3.9%46.9%5.9%1.2%1.8M-205.7M-396.7K0.4712.807,4103,487120,659105,226
2009-09-16$23.46$14.0146.7%13.4%35.4%3.7%48.0%5.2%0.8%2.1M-216.2M-399.1K0.677.995,9613,982124,489106,142
2009-09-17$22.51$14.0147.2%13.5%40.0%2.7%47.0%6.3%1.2%2.9M-184.3M-411.2K3.2511.192,4688,020123,928107,488
2009-09-18$21.61$14.0147.6%13.7%43.7%3.1%47.0%4.5%2.3%1.5M-147.1M-418.7K0.9313.795,5115,115120,334112,553
2009-09-21$21.18$14.0147.6%13.7%41.9%3.1%47.5%5.7%2.9%313.4K-114.2M-413.0K1.0612.463,8794,12597,62999,361
2009-09-22$21.35$14.0147.1%13.5%41.4%2.6%45.7%6.4%3.0%416.0K-118.9M-413.1K1.0911.621,4581,58999,37699,985
2009-09-23$21.06$14.0146.6%13.4%41.0%2.1%45.9%6.7%3.4%362.1K-113.0M-408.5K0.5411.995,3682,92098,761100,380
2009-09-24$19.95$14.9450.2%14.4%45.6%5.5%48.8%7.3%2.4%271.7K-87.6M-413.8K1.0710.9010,36511,08199,152100,542
2009-09-25$20.27$14.9450.0%14.3%43.8%5.4%49.4%7.4%2.3%130.7K-91.2M-436.5K0.668.533,1352,061101,283106,354
2009-09-28$20.70$14.9447.4%13.6%44.5%2.9%48.1%7.1%4.3%304.2K-101.1M-427.6K0.239.202,917671102,545106,418
2009-09-29$21.26$15.8847.0%13.5%44.6%2.5%45.5%6.9%3.5%495.9K-97.3M-423.7K0.137.764,05853694,655106,682
2009-09-30$20.76$15.8846.3%13.3%41.4%1.8%47.1%6.7%4.9%439.2K-87.2M-428.1K0.8911.171,9271,72496,640106,913