IP Options History — November 2009

In November 2009, IP traded between $21.08 and $23.97. ATM implied volatility averaged 44.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 1.0% (HV 20d: 45.1%). Max pain ranged from $20.55 to $22.41. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2009-11-09: Highest Volume — 8,215 contracts
  • 2009-11-27: Largest IV spike — 15.3% change
  • 2009-11-03: Highest IV Rank — 9.1%
  • 2009-11-03: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.01$21.08$23.97$21.08$23.77
Max Pain$21.76$20.55$22.41$21.48$22.41
ATM IV44.1%33.7%53.3%52.1%40.5%
Expected Move12.8%9.7%15.3%14.9%11.6%
HV 20d45.1%31.0%52.1%52.0%31.0%
HV 60d44.3%42.0%46.3%46.3%42.8%
IV Rank2.6%0.0%9.1%8.0%5.8%
IV Percentile6.2%0.0%27.0%25.4%1.6%
Term Structure0.4%-3.3%3.8%-1.7%0.4%
VWIV45.2%34.8%53.9%53.9%40.4%
Skew 25d5.4%3.3%6.6%5.7%3.3%
Skew 10d11.5%7.2%20.0%14.3%7.2%
Call IV 25d42.0%31.4%50.2%50.2%38.3%
Put IV 25d47.5%37.6%56.1%55.9%41.6%
Bid-Ask Spread %15.9211.1821.9117.2615.73
Gamma HHI0.160.090.550.090.12
Net GEX1.5M439.5K3.3M439.5K896.5K
Net DEX-67.9M-91.0M-35.4M-35.4M-68.8M
Net VEX-442.9K-474.8K-408.4K-461.5K-414.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.374.701.960.49
Total Volume3,7941,0028,2156,3244,172
Total OI175,434.55153,307184,705175,711159,223

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$21.08$21.4852.1%14.9%52.0%8.0%53.9%5.7%-1.7%439.5K-35.4M-461.5K1.9617.262,1344,19087,38088,331
2009-11-03$21.52$21.4853.3%15.3%52.1%9.1%53.7%6.0%-3.3%672.5K-44.3M-473.1K4.7017.177543,54587,56889,079
2009-11-04$21.42$21.4851.1%14.7%51.8%7.0%52.6%5.3%-1.1%577.6K-41.6M-471.7K1.0021.911,9161,91687,80791,754
2009-11-05$22.26$21.4848.0%13.8%48.7%4.1%48.9%6.5%-0.3%1.0M-59.1M-474.8K0.5617.752,2301,24587,87792,876
2009-11-06$22.38$20.5545.7%13.7%48.7%2.0%46.6%5.9%0.8%1.1M-61.0M-469.9K0.9914.8492691887,70393,139
2009-11-09$23.33$20.5545.6%13.4%50.7%1.9%48.1%6.0%-0.9%1.7M-84.0M-464.6K0.6912.664,8553,36088,41793,247
2009-11-10$23.26$21.4844.6%13.2%50.7%1.0%48.7%6.6%-0.3%1.7M-82.3M-463.9K0.7215.381,7101,23489,87394,145
2009-11-11$23.32$21.4843.1%13.2%49.2%0.0%47.9%6.4%-0.4%1.9M-84.6M-458.7K0.8814.992,0291,78190,36994,336
2009-11-12$22.82$21.4846.8%13.4%47.9%3.5%45.8%5.0%0.7%1.5M-63.8M-455.7K0.8116.461,3811,12086,91194,488
2009-11-13$23.17$21.4844.8%12.8%45.0%1.6%48.5%5.1%0.9%1.9M-72.1M-452.9K1.6116.359771,57686,87194,536
2009-11-16$23.72$21.4846.0%13.2%45.2%2.7%46.6%6.0%0.1%2.5M-86.9M-440.6K0.6115.282,3451,43487,16395,129
2009-11-17$23.52$21.4844.6%12.8%45.0%1.4%43.9%6.0%0.2%2.4M-81.1M-433.9K0.6415.222,3691,51387,43095,250
2009-11-18$23.85$22.4143.0%12.3%44.1%0.0%44.6%5.1%0.5%3.0M-91.0M-428.4K0.5517.001,47381588,30695,677
2009-11-19$23.31$22.4142.9%12.3%44.3%0.0%42.3%4.9%1.5%2.3M-74.5M-423.7K0.4717.592,4821,15988,45195,696
2009-11-20$23.24$22.4142.3%12.1%43.0%0.0%43.2%5.4%1.2%3.3M-69.9M-416.8K0.7016.973,7922,64288,33895,432
2009-11-23$23.55$22.4139.1%11.2%41.0%0.0%37.6%5.2%1.7%723.9K-63.1M-408.9K0.3716.403,3921,24370,34982,958
2009-11-24$23.48$22.4136.2%10.4%40.5%0.0%36.6%4.2%3.0%822.9K-63.4M-408.4K1.5011.181,5102,25972,05083,609
2009-11-25$23.97$22.4133.7%9.7%37.8%0.0%34.8%6.2%3.8%956.0K-71.6M-418.0K0.5612.281,58889372,68185,172
2009-11-27$23.21$22.4138.8%11.1%34.5%4.4%38.9%4.0%1.6%738.8K-59.1M-418.7K0.9715.9250949373,50985,561
2009-11-30$23.77$22.4140.5%11.6%31.0%5.8%40.4%3.3%0.4%896.5K-68.8M-414.0K0.4915.732,7951,37773,52685,697