IP Options History — May 2022

In May 2022, IP traded between $46.37 and $49.21. ATM implied volatility averaged 29.7%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.7% (HV 20d: 24.0%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2022-05-24: Highest Volume — 15,955 contracts
  • 2022-05-18: Largest IV spike — 10.8% change
  • 2022-05-12: Highest IV Rank — 39.3%
  • 2022-05-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.93$46.37$49.21$46.37$48.64
Max Pain$47.14$45.00$47.50$45.00$47.50
ATM IV29.7%25.9%34.2%33.0%26.6%
Expected Move8.5%7.1%9.7%9.7%7.7%
HV 20d24.0%21.1%26.2%23.2%22.2%
HV 60d25.5%21.5%27.3%26.1%21.8%
IV Rank26.0%15.2%39.3%35.7%17.1%
IV Percentile73.9%37.3%93.3%92.1%46.4%
Term Structure-0.1%-1.4%2.8%-0.8%-0.3%
VWIV29.6%23.5%35.5%34.2%26.2%
Skew 25d5.4%-2.2%7.5%7.2%4.6%
Skew 10d12.0%6.6%24.3%12.7%9.6%
Call IV 25d27.7%23.7%36.9%28.9%25.2%
Put IV 25d33.1%28.7%38.2%36.1%29.8%
Bid-Ask Spread %58.0933.7180.5361.7346.98
Gamma HHI0.460.360.520.450.50
Net GEX7.6M4.4M13.8M4.4M10.0M
Net DEX-140.4M-185.9M-94.0M-94.0M-164.9M
Net VEX-1.2M-1.3M-1.1M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.235.711.333.68
Total Volume8,856.3332,44215,9552,44210,962
Total OI115,195.143100,211129,145100,211128,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$46.37$45.0033.0%9.7%23.2%35.7%34.2%7.2%-0.8%4.4M-94.0M-1.1M1.3361.731,0471,39576,89923,312
2022-05-03$46.81$45.0031.2%9.0%23.4%30.6%33.8%6.3%0.2%4.9M-104.1M-1.1M1.2533.711,6942,12077,08523,431
2022-05-04$48.37$45.0029.5%8.2%25.9%25.5%31.0%5.9%-1.0%6.0M-138.6M-1.2M1.1047.492,2372,46577,62424,052
2022-05-05$47.86$47.5030.4%8.6%26.2%28.3%29.9%7.5%-1.4%6.2M-125.4M-1.1M1.0763.982,7992,98778,45324,629
2022-05-06$48.21$47.5030.4%8.8%26.2%28.1%28.2%6.7%-0.4%6.1M-136.0M-1.2M1.2355.772,3202,86578,27124,577
2022-05-09$47.94$47.5033.3%9.3%25.1%36.5%31.2%7.2%-0.6%5.5M-131.3M-1.2M0.7343.604,2633,09177,42424,422
2022-05-10$47.71$47.5032.7%9.4%25.2%35.0%32.2%6.0%0.1%5.2M-126.9M-1.1M0.8259.144,1133,37778,04625,015
2022-05-11$47.68$47.5033.3%9.5%25.2%36.6%31.6%6.0%-0.3%5.3M-130.0M-1.2M0.2372.6112,4442,80979,22925,374
2022-05-12$47.36$47.5034.2%9.6%25.1%39.3%35.5%7.0%-1.1%6.3M-135.0M-1.2M1.0680.532,2572,40189,17425,859
2022-05-13$47.86$47.5031.4%8.9%25.1%31.0%32.8%-2.2%-0.3%7.3M-145.7M-1.2M0.8076.263,1382,51889,93326,019
2022-05-16$47.83$47.5029.7%8.5%25.0%26.2%29.4%5.2%0.2%7.8M-144.6M-1.2M0.3568.325,9052,05490,60225,629
2022-05-17$49.09$47.5026.8%7.7%24.8%17.8%29.4%5.9%2.8%10.0M-185.9M-1.3M3.7571.091,8096,79293,10126,058
2022-05-18$48.27$47.5029.7%8.5%24.9%26.2%29.4%5.1%-0.5%8.9M-160.3M-1.3M2.9348.022,6927,88793,37230,850
2022-05-19$47.97$47.5028.6%8.2%24.6%23.1%23.5%4.8%-0.6%8.4M-149.4M-1.3M5.7157.661,5088,61394,51231,950
2022-05-20$47.35$47.5028.5%8.1%21.1%22.8%28.1%5.2%0.4%13.8M-126.8M-1.2M3.1575.822,6188,23794,74632,525
2022-05-23$48.06$47.5026.5%7.7%21.6%17.0%27.6%4.8%0.4%8.3M-144.2M-1.2M2.6250.433,4108,93790,85230,022
2022-05-24$47.35$47.5028.0%7.8%22.1%21.3%27.2%4.8%0.4%7.3M-122.8M-1.2M2.1539.955,07010,88592,75531,078
2022-05-25$47.85$47.5027.0%7.7%22.2%18.2%27.1%5.2%0.5%7.9M-134.0M-1.3M4.1357.482,63710,90092,38034,353
2022-05-26$48.70$47.5025.9%7.5%23.0%15.2%27.0%5.4%0.4%9.4M-166.5M-1.3M2.7655.582,9628,17992,74334,904
2022-05-27$49.21$47.5026.0%7.1%21.6%15.4%25.4%5.0%-0.0%10.8M-182.1M-1.3M2.9153.762,9668,62093,36535,780
2022-05-31$48.64$47.5026.6%7.7%22.2%17.1%26.2%4.6%-0.3%10.0M-164.9M-1.3M3.6846.982,3428,62093,48535,208