IP Options History — November 2021

In November 2021, IP traded between $45.88 and $50.20. ATM implied volatility averaged 24.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.3% (HV 20d: 28.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2021-11-01: Highest Volume — 13,787 contracts
  • 2021-11-12: Largest IV spike — 12.4% change
  • 2021-11-30: Highest IV Rank — 24.7%
  • 2021-11-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.66$45.88$50.20$49.16$45.88
Max Pain$52.26$50.00$55.00$55.00$50.00
ATM IV24.9%21.8%29.2%23.3%29.2%
Expected Move7.3%6.8%8.5%7.6%8.5%
HV 20d28.2%20.3%33.0%31.6%22.5%
HV 60d23.4%22.5%24.4%22.8%24.4%
IV Rank12.1%3.3%24.7%7.6%24.7%
IV Percentile32.0%2.4%66.3%18.7%66.3%
Term Structure0.2%-2.8%2.3%0.6%1.3%
VWIV26.2%22.1%34.1%25.6%34.1%
Skew 25d3.0%0.9%6.5%2.1%6.3%
Skew 10d3.7%-2.6%11.0%2.3%3.8%
Call IV 25d24.6%22.2%28.1%24.0%28.1%
Put IV 25d27.6%23.1%34.4%26.0%34.4%
Bid-Ask Spread %79.1667.9186.9277.0676.95
Gamma HHI0.120.090.180.090.13
Net GEX-3.3M-5.8M-1.7M-2.6M-2.3M
Net DEX44.1M31.2M68.6M42.6M46.9M
Net VEX-216.9K-241.3K-191.4K-191.4K-222.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.512.662.550.59
Total Volume6,220.4293,59013,78713,7875,838
Total OI50,935.71443,60355,48544,03945,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$49.16$55.0023.3%7.6%31.6%7.6%25.6%2.1%0.6%-2.6M42.6M-191.4K2.5577.063,8879,90017,30526,734
2021-11-02$49.03$55.0023.0%7.5%31.3%6.7%27.3%3.3%-0.0%-3.3M49.7M-210.8K2.6682.123,3909,01918,40232,400
2021-11-03$49.92$55.0021.8%7.0%32.3%3.3%22.1%0.9%1.1%-3.2M40.1M-197.9K2.4286.923,0397,35318,81831,706
2021-11-04$48.68$52.5023.5%7.2%32.8%8.1%26.3%1.7%0.4%-3.9M54.2M-211.1K1.9076.512,9625,62419,24632,346
2021-11-05$48.89$52.5025.5%6.9%33.0%14.0%24.4%1.2%1.1%-4.4M52.6M-226.5K1.2483.282,9903,71519,56133,891
2021-11-08$49.18$52.5025.6%7.3%31.3%14.3%26.9%1.5%-0.2%-3.6M45.9M-208.6K1.1785.492,8223,30918,37733,054
2021-11-09$49.27$52.5024.7%6.9%31.4%11.6%25.8%2.6%-0.9%-3.4M45.0M-212.5K0.8385.352,2061,83919,20834,098
2021-11-10$49.72$52.5023.6%7.0%31.8%8.4%25.0%1.8%0.6%-3.0M39.6M-204.9K0.8083.302,2051,77219,41334,417
2021-11-11$50.20$52.5022.5%6.9%31.7%5.3%24.0%1.3%2.3%-2.1M34.8M-205.2K0.9280.102,4132,21219,62834,559
2021-11-12$49.24$52.5025.3%6.9%28.7%13.3%25.7%3.1%-0.1%-2.8M47.4M-222.3K0.9083.662,6432,38519,87435,068
2021-11-15$49.29$52.5024.4%7.2%28.6%10.9%25.4%4.3%0.3%-2.7M44.4M-215.6K0.8981.242,5352,24719,25334,249
2021-11-16$49.41$52.5023.7%6.8%28.4%8.7%25.2%3.5%-0.2%-2.3M43.8M-221.4K1.1781.452,1722,54019,56534,523
2021-11-17$48.89$52.5023.7%6.8%25.9%8.6%26.0%3.6%1.5%-3.2M47.7M-211.9K1.1081.292,0522,25319,68934,799
2021-11-18$48.50$52.5025.6%7.4%25.9%14.1%25.6%3.5%-1.6%-4.1M53.1M-215.8K1.3281.021,7502,30520,01635,141
2021-11-19$47.38$52.5024.9%7.1%26.7%12.2%25.3%4.0%0.8%-5.8M68.6M-220.7K0.7782.322,5141,93420,12535,360
2021-11-22$48.42$52.5025.5%7.3%28.3%14.1%23.9%2.5%-0.6%-3.5M32.5M-222.3K0.5168.913,3651,72412,87530,728
2021-11-23$48.36$50.0026.0%7.6%28.2%15.3%26.1%2.8%0.3%-3.3M31.2M-222.6K0.5567.915,3132,90614,88430,913
2021-11-24$47.53$50.0024.9%7.1%20.6%12.3%25.4%3.4%0.1%-4.0M37.2M-240.7K0.9574.911,8401,75018,26130,973
2021-11-26$47.61$50.0028.0%8.5%20.3%21.2%29.7%6.5%-2.8%-4.0M36.2M-241.3K2.1072.581,8743,94318,44431,254
2021-11-29$47.30$50.0027.5%8.1%20.4%19.8%30.6%3.7%0.8%-1.7M32.3M-229.6K1.3169.991,7672,32217,36527,367
2021-11-30$45.88$50.0029.2%8.5%22.5%24.7%34.1%6.3%1.3%-2.3M46.9M-222.1K0.5976.953,6682,17017,75128,010