IP Options History — December 2009

In December 2009, IP traded between $23.80 and $25.83. ATM implied volatility averaged 35.2%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.7% (HV 20d: 26.4%). Max pain ranged from $18.68 to $22.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-12-16: Highest Volume — 17,990 contracts
  • 2009-12-10: Largest IV spike — 7.7% change
  • 2009-12-03: Highest IV Rank — 4.7%
  • 2009-12-07: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.73$23.80$25.83$24.29$25.01
Max Pain$19.40$18.68$22.41$22.41$19.61
ATM IV35.2%30.8%39.2%38.0%33.0%
Expected Move10.2%8.8%11.4%10.9%9.5%
HV 20d26.4%19.5%32.3%31.4%20.6%
HV 60d39.8%36.4%42.9%42.9%36.5%
IV Rank2.1%0.0%4.7%3.7%1.8%
IV Percentile1.3%0.0%2.8%0.8%2.8%
Term Structure4.3%1.4%6.2%1.4%4.5%
VWIV36.3%31.4%42.9%37.3%33.2%
Skew 25d4.6%2.3%6.3%4.0%2.3%
Skew 10d10.2%4.1%18.6%6.9%8.9%
Call IV 25d33.8%28.6%38.3%35.8%31.8%
Put IV 25d38.4%32.8%43.5%39.8%34.1%
Bid-Ask Spread %10.676.2916.9216.928.51
Gamma HHI0.150.120.200.130.18
Net GEX1.3M993.6K1.9M1.1M1.2M
Net DEX-81.8M-93.2M-70.5M-79.5M-74.4M
Net VEX-438.3K-499.1K-382.2K-411.7K-486.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.115.230.870.47
Total Volume4,623.27368617,9903,6403,836
Total OI171,979.955160,235188,692160,235183,456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$24.29$22.4138.0%10.9%31.4%3.7%37.3%4.0%1.4%1.1M-79.5M-411.7K0.8716.921,9471,69374,16786,068
2009-12-02$24.29$22.4136.8%10.6%31.1%2.7%37.9%3.8%2.1%1.1M-79.8M-409.4K1.0216.861,3951,41874,99286,473
2009-12-03$23.80$22.4139.2%11.2%32.3%4.7%39.2%6.3%1.6%993.6K-70.5M-408.7K0.8612.561,5551,33175,48987,103
2009-12-04$24.15$18.6836.2%11.1%30.1%2.2%38.6%4.7%4.1%1.1M-77.5M-405.6K0.4111.1696939475,64687,449
2009-12-07$24.19$18.6837.2%11.4%30.1%3.0%40.5%4.8%4.3%1.2M-77.7M-396.3K0.6314.271,5961,00675,86387,569
2009-12-08$24.04$18.6837.2%11.3%26.8%3.0%39.9%6.1%3.9%1.1M-75.5M-402.3K0.5712.141,05260176,51588,202
2009-12-09$24.48$18.6835.2%11.2%27.3%1.3%39.3%5.6%4.5%1.4M-84.4M-395.1K0.238.981,77141477,20288,315
2009-12-10$24.07$18.6837.9%10.9%28.2%3.6%40.3%5.8%4.7%1.2M-76.9M-389.3K0.9912.181,6151,60476,81988,340
2009-12-11$24.09$18.6837.6%10.8%26.9%3.4%42.9%4.0%4.8%1.1M-75.2M-392.1K1.398.063,3654,67377,00988,908
2009-12-14$24.60$18.6837.2%10.7%27.3%3.0%35.1%5.1%3.8%1.4M-87.6M-382.2K0.1111.846,52171377,76589,835
2009-12-15$24.40$18.6836.9%10.6%26.5%2.7%39.1%5.3%4.4%1.7M-86.4M-390.1K0.509.883,4281,72982,55389,824
2009-12-16$24.72$18.6835.9%10.3%26.5%1.9%37.6%5.2%5.5%1.9M-93.2M-386.9K5.239.252,88715,10382,56890,263
2009-12-17$24.46$18.6836.3%10.4%26.5%2.2%37.3%4.5%5.2%1.5M-79.4M-492.8K2.9311.656741,97584,391102,899
2009-12-18$24.90$18.6835.1%10.1%25.5%1.2%35.0%5.7%5.3%1.7M-87.0M-499.1K0.4510.692,7201,23484,372104,320
2009-12-21$25.22$18.6832.5%9.3%25.6%0.0%31.7%5.1%4.8%1.0M-80.8M-482.3K0.598.043,7132,18775,33197,549
2009-12-22$25.59$18.6831.3%9.0%25.7%0.0%31.7%3.0%6.2%1.4M-88.5M-487.3K4.4010.591,2205,36276,98598,082
2009-12-23$25.83$18.6830.9%8.9%25.6%0.0%32.1%4.7%5.0%1.4M-92.2M-485.3K0.428.092,22894677,41698,827
2009-12-24$25.64$19.6130.8%8.8%25.2%0.0%31.4%4.1%6.1%1.4M-86.6M-487.7K0.3010.2852715977,58599,187
2009-12-28$25.48$19.6132.8%9.4%21.8%1.7%33.5%3.6%4.5%1.3M-83.3M-479.1K1.089.103,0773,32977,88399,283
2009-12-29$25.42$19.6132.7%9.4%20.7%1.5%32.6%4.6%3.8%1.3M-81.9M-485.6K0.556.292,8991,58978,995100,992
2009-12-30$25.43$19.6132.6%9.3%19.5%1.5%33.0%3.6%4.9%1.3M-81.8M-487.4K0.547.503,4151,84279,654101,415
2009-12-31$25.01$19.6133.0%9.5%20.6%1.8%33.2%2.3%4.5%1.2M-74.4M-486.4K0.478.512,6041,23281,375102,081