IP Options History — January 2022

In January 2022, IP traded between $46.69 and $49.46. ATM implied volatility averaged 29.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.8% (HV 20d: 22.4%). Max pain ranged from $47.50 to $47.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2022-01-24: Highest Volume — 8,960 contracts
2022-01-31: Largest IV drop — 12.4% change
2022-01-25: Highest IV Rank — 40.0%
2022-01-25: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.25	$46.69	$49.46	$46.87	$48.18
Max Pain	$47.50	$47.50	$47.50	$47.50	$47.50
ATM IV	29.2%	26.1%	34.5%	27.4%	26.1%
Expected Move	8.4%	6.4%	10.6%	6.4%	8.4%
HV 20d	22.4%	17.1%	24.8%	21.4%	23.1%
HV 60d	24.1%	21.7%	26.5%	25.4%	22.1%
IV Rank	24.8%	15.8%	40.0%	19.4%	15.8%
IV Percentile	72.1%	44.4%	96.0%	58.3%	44.4%
Term Structure	-0.5%	-3.0%	2.3%	0.1%	-0.2%
VWIV	29.5%	22.5%	37.7%	22.9%	29.1%
Skew 25d	5.0%	3.3%	7.5%	4.7%	6.1%
Skew 10d	8.7%	0.9%	16.9%	0.9%	7.7%
Call IV 25d	27.4%	23.8%	33.0%	26.0%	23.8%
Put IV 25d	32.4%	27.8%	37.7%	30.7%	29.9%
Bid-Ask Spread %	50.99	28.09	75.87	75.87	52.79
Gamma HHI	0.48	0.32	0.60	0.50	0.46
Net GEX	4.9M	495.1K	7.5M	4.1M	4.1M
Net DEX	-127.6M	-161.5M	-87.7M	-99.3M	-122.4M
Net VEX	-1.4M	-1.4M	-1.3M	-1.3M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.68	1.76	0.68	1.01
Total Volume	6,133.15	3,672	8,960	6,330	6,123
Total OI	117,714.5	103,231	126,541	114,125	111,040

Daily Data (20 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
2022-01-03	$46.87	$47.50	27.4%	6.4%	21.4%	19.4%	22.9%	4.7%	0.1%	4.1M	-99.3M	-1.3M	0.68	75.87	3,761	2,569	83,522	30,603
2022-01-04	$48.48	$47.50	28.0%	6.5%	24.0%	21.1%	23.0%	4.0%	0.0%	6.0M	-141.7M	-1.3M	1.64	74.46	2,855	4,673	84,207	31,227
2022-01-05	$48.90	$47.50	28.1%	6.5%	23.8%	21.5%	22.5%	4.8%	-0.6%	6.1M	-151.3M	-1.4M	0.77	58.16	3,557	2,740	84,765	33,596
2022-01-06	$48.32	$47.50	28.8%	8.4%	24.2%	23.6%	28.1%	3.6%	-0.4%	5.8M	-133.5M	-1.4M	1.55	67.09	2,875	4,453	85,960	34,578
2022-01-07	$49.09	$47.50	27.6%	7.8%	24.2%	20.0%	28.9%	4.1%	-0.6%	7.0M	-154.7M	-1.4M	1.27	58.55	1,741	2,207	86,332	34,573
2022-01-10	$48.52	$47.50	28.3%	8.3%	24.8%	22.1%	28.7%	3.8%	1.3%	5.4M	-133.2M	-1.4M	1.33	59.73	1,669	2,212	85,352	35,062
2022-01-11	$48.49	$47.50	28.1%	8.2%	24.8%	21.4%	28.4%	4.1%	0.5%	5.5M	-134.7M	-1.4M	1.09	58.59	1,756	1,916	85,838	35,006
2022-01-12	$48.53	$47.50	26.4%	8.1%	24.2%	16.7%	26.5%	4.0%	2.3%	5.8M	-133.1M	-1.4M	1.76	31.72	1,809	3,190	86,198	35,371
2022-01-13	$49.30	$47.50	27.5%	7.7%	24.3%	19.9%	27.7%	3.3%	-1.0%	7.0M	-157.5M	-1.4M	1.33	41.18	2,319	3,073	86,528	36,901
2022-01-14	$49.46	$47.50	26.2%	7.6%	23.6%	15.8%	28.1%	3.5%	-0.1%	6.6M	-161.5M	-1.4M	1.22	41.21	2,441	2,966	86,655	37,616
2022-01-18	$49.30	$47.50	28.0%	8.0%	22.2%	21.3%	30.2%	5.7%	-1.5%	7.0M	-151.7M	-1.4M	1.23	28.09	2,145	2,637	86,059	36,692
2022-01-19	$49.40	$47.50	28.2%	8.1%	17.1%	21.7%	27.3%	5.1%	-1.0%	7.5M	-155.1M	-1.4M	0.70	61.26	3,782	2,649	86,192	37,139
2022-01-20	$48.27	$47.50	30.1%	8.8%	19.2%	27.4%	29.4%	4.7%	-3.0%	3.7M	-118.2M	-1.4M	0.97	54.40	3,611	3,494	86,384	37,681
2022-01-21	$47.30	$47.50	32.9%	9.6%	20.9%	35.4%	32.7%	6.4%	-1.0%	495.1K	-96.6M	-1.4M	0.87	50.27	4,032	3,515	87,779	38,762
2022-01-24	$47.88	$47.50	34.1%	10.5%	20.8%	39.0%	37.1%	4.7%	-1.1%	3.5M	-109.1M	-1.4M	1.19	46.11	4,087	4,873	74,848	28,383
2022-01-25	$47.81	$47.50	34.5%	10.6%	20.8%	40.0%	37.7%	5.3%	-1.4%	3.6M	-113.4M	-1.4M	1.06	29.77	3,520	3,725	77,700	30,299
2022-01-26	$47.16	$47.50	33.1%	10.3%	21.2%	35.9%	36.2%	7.5%	-2.0%	3.1M	-102.8M	-1.4M	0.92	41.16	3,600	3,319	79,038	30,594
2022-01-27	$46.69	$47.50	31.4%	9.9%	21.5%	31.1%	34.9%	7.2%	-0.7%	2.9M	-87.7M	-1.4M	1.56	50.77	2,752	4,289	80,577	31,079
2022-01-28	$47.04	$47.50	29.8%	9.0%	21.6%	26.5%	31.5%	7.0%	-0.6%	2.9M	-93.6M	-1.4M	1.52	38.56	2,269	3,459	81,659	32,495
2022-01-31	$48.18	$47.50	26.1%	8.4%	23.1%	15.8%	29.1%	6.1%	-0.2%	4.1M	-122.4M	-1.4M	1.01	52.79	3,043	3,080	79,887	31,153