IP Options History — December 2021

In December 2021, IP traded between $44.51 and $47.18. ATM implied volatility averaged 27.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.1% (HV 20d: 22.1%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2021-12-08: Highest Volume — 59,951 contracts
2021-12-27: Largest IV spike — 18.4% change
2021-12-03: Highest IV Rank — 31.6%
2021-12-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.19	$44.51	$47.18	$45.57	$47.13
Max Pain	$48.18	$47.50	$50.00	$50.00	$47.50
ATM IV	27.2%	23.4%	31.6%	29.7%	26.2%
Expected Move	7.5%	6.2%	9.8%	8.6%	6.2%
HV 20d	22.1%	19.8%	24.6%	22.5%	21.7%
HV 60d	24.8%	23.9%	25.8%	23.9%	25.5%
IV Rank	18.9%	8.0%	31.6%	26.1%	15.9%
IV Percentile	53.2%	21.0%	84.9%	72.2%	44.4%
Term Structure	0.7%	-2.1%	4.3%	-1.1%	-2.1%
VWIV	27.3%	21.6%	38.3%	34.3%	21.6%
Skew 25d	4.4%	1.8%	9.5%	7.5%	2.7%
Skew 10d	5.9%	-3.6%	12.6%	12.4%	4.1%
Call IV 25d	26.1%	21.6%	29.1%	28.0%	27.0%
Put IV 25d	30.5%	25.2%	37.8%	35.5%	29.7%
Bid-Ask Spread %	75.83	67.01	82.10	76.65	76.78
Gamma HHI	0.34	0.13	0.49	0.14	0.49
Net GEX	1.5M	-2.0M	4.5M	-1.8M	4.5M
Net DEX	-44.5M	-106.2M	45.2M	45.2M	-106.2M
Net VEX	-980.4K	-1.3M	-233.7K	-233.7K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.03	2.20	0.58	1.00
Total Volume	7,639.227	3,948	59,951	5,441	3,948
Total OI	95,507.591	48,118	116,204	48,515	116,204

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-12-01	$45.57	$50.00	29.7%	8.6%	22.5%	26.1%	34.3%	7.5%	-1.1%	-1.8M	45.2M	-233.7K	0.58	76.65	3,447	1,994	20,275	28,240
2021-12-02	$45.94	$50.00	27.3%	8.5%	21.5%	19.2%	34.6%	7.9%	2.2%	-2.0M	43.9M	-238.4K	0.97	80.14	2,101	2,034	21,001	28,476
2021-12-03	$46.46	$50.00	31.6%	9.8%	20.6%	31.6%	38.3%	9.5%	1.5%	-1.5M	36.4M	-248.9K	0.47	77.42	3,722	1,747	21,263	28,473
2021-12-06	$47.18	$50.00	29.9%	8.1%	21.5%	26.7%	28.5%	5.2%	0.4%	-709.5K	25.9M	-243.3K	0.85	79.96	2,468	2,087	21,333	26,785
2021-12-07	$46.75	$50.00	26.1%	7.6%	21.4%	15.7%	27.3%	4.7%	1.0%	-904.7K	28.5M	-240.4K	0.99	77.83	2,049	2,027	22,256	26,876
2021-12-08	$46.47	$50.00	30.1%	7.6%	21.4%	27.2%	26.6%	1.8%	-1.3%	-1.4M	34.5M	-234.1K	0.03	78.07	58,065	1,886	22,408	27,293
2021-12-09	$46.04	$47.50	27.7%	8.0%	21.0%	20.3%	26.9%	4.4%	0.1%	1.8M	-63.6M	-1.2M	0.94	80.79	3,021	2,835	79,931	29,255
2021-12-10	$45.95	$47.50	24.6%	7.7%	20.4%	11.4%	26.2%	3.4%	-0.3%	345.7K	-61.5M	-1.2M	1.01	78.22	2,535	2,572	80,295	30,058
2021-12-13	$46.08	$47.50	26.0%	7.8%	19.8%	15.4%	27.0%	4.6%	0.3%	2.1M	-65.1M	-1.2M	1.03	80.31	2,179	2,240	79,513	28,737
2021-12-14	$45.52	$47.50	26.4%	7.8%	19.9%	16.6%	28.9%	2.7%	0.4%	2.0M	-57.7M	-1.2M	0.67	79.74	4,209	2,812	79,874	29,134
2021-12-15	$46.14	$47.50	27.0%	7.9%	20.8%	18.3%	26.6%	4.5%	0.5%	2.4M	-68.3M	-1.2M	1.63	82.10	1,970	3,212	81,851	30,246
2021-12-16	$47.01	$47.50	26.3%	7.3%	22.0%	16.2%	25.7%	3.4%	-1.2%	3.2M	-88.6M	-1.3M	1.16	79.90	3,089	3,568	82,427	31,118
2021-12-17	$46.08	$47.50	27.4%	7.8%	22.8%	19.4%	25.5%	3.8%	0.3%	2.9M	-72.0M	-1.3M	2.20	79.61	2,546	5,606	83,738	31,373
2021-12-20	$44.51	$47.50	28.1%	8.0%	24.5%	21.6%	29.2%	5.3%	3.0%	1.7M	-41.0M	-1.2M	1.16	70.93	2,696	3,115	80,676	30,067
2021-12-21	$45.29	$47.50	25.9%	7.4%	24.0%	15.1%	26.6%	4.3%	4.2%	2.3M	-60.3M	-1.3M	1.02	68.30	2,461	2,501	82,001	30,921
2021-12-22	$45.33	$47.50	24.3%	7.0%	24.0%	10.4%	26.4%	3.7%	4.3%	2.1M	-60.1M	-1.2M	1.31	70.86	2,214	2,903	82,829	31,288
2021-12-23	$45.97	$47.50	23.4%	6.5%	24.1%	8.0%	24.3%	3.6%	3.3%	2.6M	-73.9M	-1.3M	1.02	68.52	2,527	2,582	83,108	31,809
2021-12-27	$46.30	$47.50	27.8%	6.7%	24.3%	20.5%	24.2%	3.4%	0.4%	3.0M	-82.2M	-1.3M	1.29	70.90	1,816	2,336	82,599	31,618
2021-12-28	$46.79	$47.50	28.1%	6.5%	24.6%	21.6%	26.4%	5.1%	-0.7%	3.6M	-94.1M	-1.3M	0.86	67.01	2,502	2,158	82,990	31,752
2021-12-29	$46.80	$47.50	27.2%	6.2%	21.9%	18.9%	22.4%	3.4%	0.4%	3.8M	-99.9M	-1.3M	1.00	72.20	2,011	2,002	83,426	31,892
2021-12-30	$46.82	$47.50	27.3%	6.4%	21.7%	19.1%	22.6%	2.8%	-0.2%	4.0M	-98.0M	-1.3M	0.89	71.92	2,265	2,005	83,807	31,951
2021-12-31	$47.13	$47.50	26.2%	6.2%	21.7%	15.9%	21.6%	2.7%	-2.1%	4.5M	-106.2M	-1.3M	1.00	76.78	1,971	1,977	84,553	31,651