IP Options History — October 2009

In October 2009, IP traded between $19.94 and $23.66. ATM implied volatility averaged 48.4%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 2.1% (HV 20d: 46.3%). Max pain ranged from $15.88 to $22.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2009-10-15: Highest Volume — 45,102 contracts
  • 2009-10-15: Largest IV spike — 14.5% change
  • 2009-10-02: Highest IV Rank — 8.2%
  • 2009-10-06: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.63$19.94$23.66$19.94$20.84
Max Pain$20.72$15.88$22.41$15.88$21.48
ATM IV48.4%43.6%53.1%50.9%52.2%
Expected Move14.2%13.1%15.3%14.6%15.0%
HV 20d46.3%42.9%52.2%43.9%52.2%
HV 60d42.9%41.1%46.9%41.7%46.9%
IV Rank4.2%0.0%8.2%6.1%8.0%
IV Percentile12.0%0.0%25.4%17.1%25.4%
Term Structure-1.5%-4.2%1.9%1.9%-1.3%
VWIV49.6%45.9%55.8%48.4%51.8%
Skew 25d5.3%3.4%7.6%6.7%5.8%
Skew 10d9.1%7.5%11.3%10.8%10.4%
Call IV 25d47.1%42.9%50.2%47.3%48.5%
Put IV 25d52.4%47.5%57.2%54.0%54.3%
Bid-Ask Spread %12.888.4324.0810.5916.10
Gamma HHI0.160.100.490.110.10
Net GEX1.0M134.2K4.0M134.2K472.3K
Net DEX-81.6M-155.3M-25.1M-69.0M-33.7M
Net VEX-429.4K-456.4K-398.1K-423.4K-450.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.115.960.545.96
Total Volume7,892.3642,17845,1023,6628,632
Total OI188,851.818151,694235,407205,800170,894

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$19.94$15.8850.9%14.6%43.9%6.1%48.4%6.7%1.9%134.2K-69.0M-423.4K0.5410.592,3781,28497,711108,089
2009-10-02$19.98$15.8853.1%15.2%43.7%8.2%51.2%4.4%1.0%180.6K-69.9M-423.7K0.3111.088,2462,53097,053107,770
2009-10-05$20.33$20.5551.4%15.3%43.9%6.6%55.8%7.1%-3.6%627.0K-82.0M-423.6K3.328.621,0673,539101,694107,960
2009-10-06$20.70$20.5551.0%15.3%42.9%6.3%52.4%7.6%-4.2%735.7K-89.2M-427.0K0.649.272,0191,300101,925110,787
2009-10-07$20.39$20.5549.6%15.2%42.9%4.9%50.2%6.7%-3.7%555.8K-81.9M-426.4K0.1110.012,214239102,316111,144
2009-10-08$21.70$20.5548.3%14.5%48.2%3.7%51.0%5.7%-1.1%1.3M-115.8M-423.9K0.239.077,0471,638103,448111,209
2009-10-09$21.65$20.5545.8%14.5%47.8%1.4%51.7%6.0%-1.0%1.1M-110.7M-418.7K1.048.951,1371,188101,284111,240
2009-10-12$21.83$20.5547.6%14.7%46.7%3.0%50.0%6.5%-3.5%1.3M-115.0M-411.9K0.738.432,2891,666101,568111,439
2009-10-13$21.99$20.5544.1%13.9%45.2%0.0%49.4%6.5%-1.1%1.6M-116.7M-406.3K0.288.874,6611,295100,848111,897
2009-10-14$22.79$20.5543.6%14.0%47.1%0.0%47.7%4.8%-1.9%1.9M-136.6M-398.1K0.2513.035,4471,385100,535112,178
2009-10-15$23.66$20.5549.9%14.3%46.5%5.9%48.8%4.4%-2.7%1.4M-155.3M-404.7K0.1614.9439,0196,083101,146112,636
2009-10-16$22.56$21.4848.0%13.8%47.4%4.1%47.9%5.5%-1.7%4.0M-138.4M-441.9K0.4111.658,9633,664119,198116,209
2009-10-19$23.05$21.4845.9%13.2%47.1%2.2%46.5%4.8%-0.4%1.1M-72.2M-448.8K0.3617.264,1601,50676,84074,854
2009-10-20$22.75$21.4846.1%13.2%47.4%2.4%50.1%4.6%0.5%1.1M-67.6M-449.9K3.0514.361,3093,99077,59775,162
2009-10-21$22.20$21.4845.8%13.1%48.1%2.0%46.1%3.9%-0.8%848.9K-57.0M-446.7K0.7710.461,23394578,14778,245
2009-10-22$22.77$21.4845.8%13.1%43.7%2.0%45.9%4.6%-0.9%1.1M-67.1M-441.3K0.6013.822,5751,54678,53375,810
2009-10-23$22.15$21.4846.4%13.3%45.2%2.6%46.6%3.4%-0.7%944.7K-57.5M-438.6K0.3714.324,0271,48879,12976,222
2009-10-26$21.42$22.4150.0%14.3%46.6%6.0%49.7%4.2%-2.5%736.7K-45.3M-434.0K1.4715.491,2771,87281,76877,048
2009-10-27$21.13$22.4151.0%14.6%46.0%6.9%51.5%4.9%-2.9%596.2K-39.3M-430.4K0.7214.723,8392,76481,87877,906
2009-10-28$20.39$22.4151.1%14.7%47.0%7.0%51.6%3.6%-1.4%340.5K-25.1M-421.1K1.0518.228,3238,77283,75079,260
2009-10-29$21.70$21.4847.4%13.6%49.6%3.5%46.1%5.7%-0.4%859.0K-50.4M-456.4K0.4724.083,4581,61887,41682,997
2009-10-30$20.84$21.4852.2%15.0%52.2%8.0%51.8%5.8%-1.3%472.3K-33.7M-450.0K5.9616.101,2417,39187,43483,460