IP Options History — July 2022

In July 2022, IP traded between $41.26 and $43.40. ATM implied volatility averaged 31.9%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.9% (HV 20d: 28.1%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.16.

Notable Days

  • 2022-07-08: Highest Volume — 13,565 contracts
  • 2022-07-28: Largest IV drop — 13.7% change
  • 2022-07-13: Highest IV Rank — 42.9%
  • 2022-07-26: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.45$41.26$43.40$42.08$42.70
Max Pain$44.40$42.50$45.00$45.00$42.50
ATM IV31.9%25.3%35.5%33.6%25.3%
Expected Move8.9%7.4%9.7%8.3%7.4%
HV 20d28.1%22.4%32.3%30.9%27.2%
HV 60d26.5%25.9%27.4%26.2%27.3%
IV Rank32.6%13.3%42.9%37.3%13.3%
IV Percentile79.7%25.0%96.4%91.3%25.0%
Term Structure-0.9%-3.7%1.7%-0.6%-0.6%
VWIV34.0%27.8%42.5%28.1%27.8%
Skew 25d6.5%5.2%7.3%6.8%6.4%
Skew 10d13.6%11.0%23.5%15.2%11.3%
Call IV 25d29.0%23.1%32.6%30.7%23.1%
Put IV 25d35.5%29.6%39.6%37.5%29.6%
Bid-Ask Spread %37.8723.8457.2244.5431.11
Gamma HHI0.270.230.310.300.23
Net GEX1.7M170.8K2.9M1.5M2.5M
Net DEX774.5K-22.2M23.8M7.6M-5.3M
Net VEX-886.6K-945.7K-799.5K-889.8K-860.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.160.858.712.621.95
Total Volume7,337.33,93313,5654,9453,933
Total OI125,935.7118,279132,387119,331131,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$42.08$45.0033.6%8.3%30.9%37.3%28.1%6.8%-0.6%1.5M7.6M-889.8K2.6244.541,3673,57881,08138,250
2022-07-05$41.56$45.0034.7%9.4%30.9%40.7%35.7%7.3%0.4%1.1M18.6M-848.9K1.9443.901,6073,11080,63137,648
2022-07-06$41.87$45.0034.3%9.2%31.2%39.5%33.9%6.6%-0.8%1.4M11.1M-873.2K1.7346.701,7463,02680,96437,942
2022-07-07$43.00$45.0032.4%9.3%32.3%34.0%33.2%6.7%1.1%2.5M-11.6M-934.2K1.6247.431,8903,06981,58437,979
2022-07-08$42.85$45.0032.3%9.1%32.2%33.6%37.0%5.2%1.7%2.8M-7.5M-923.7K8.7138.431,39712,16882,14038,034
2022-07-11$42.14$45.0034.7%9.4%32.1%40.7%41.4%5.7%-2.8%904.8K9.7M-887.1K6.8444.841,3028,90281,49946,443
2022-07-12$42.75$45.0033.8%9.4%31.6%38.1%41.4%5.5%-0.8%1.5M-1.5M-929.0K6.5134.101,3638,87381,86846,523
2022-07-13$42.16$45.0035.5%9.4%26.4%42.9%39.8%6.9%-2.9%846.0K8.9M-882.9K7.5634.641,3219,98682,13746,582
2022-07-14$41.87$45.0034.9%9.3%26.0%41.3%42.5%5.9%-3.6%374.7K18.6M-860.2K6.3223.841,3748,67882,31246,742
2022-07-15$41.96$45.0033.6%9.0%25.6%37.3%42.2%6.5%-3.7%1.1M19.2M-835.4K5.4248.091,5818,57382,40146,746
2022-07-18$41.26$45.0033.6%9.5%23.9%37.5%31.3%7.2%-0.6%170.8K23.8M-799.5K1.1827.412,1302,52376,79144,056
2022-07-19$42.70$44.0031.0%8.8%27.1%29.8%31.3%6.8%-1.3%1.4M-2.7M-865.1K0.8937.734,5444,04577,87044,477
2022-07-20$42.94$44.0030.0%8.6%26.5%26.9%29.0%6.3%-0.5%2.6M-13.2M-922.3K1.1337.853,5944,04580,68044,830
2022-07-21$43.24$44.0030.1%8.6%25.9%27.4%37.3%7.3%0.2%2.8M-17.6M-945.7K1.9032.492,8525,41882,65946,145
2022-07-22$43.14$44.0029.6%8.5%25.9%25.9%30.9%6.5%-0.6%2.6M-15.9M-942.9K1.5929.982,2683,61183,25046,892
2022-07-25$43.40$44.0030.6%9.0%22.4%28.7%29.6%7.0%-1.0%2.7M-22.2M-945.0K1.6829.632,0883,49982,36545,951
2022-07-26$41.69$44.0032.6%9.7%26.7%34.4%30.7%7.3%-1.2%848.8K15.5M-823.8K1.4829.801,8172,69582,78346,048
2022-07-27$42.77$44.0030.2%9.1%28.1%27.6%29.8%6.2%-1.1%2.0M-7.6M-883.3K0.8537.723,3342,83383,56546,677
2022-07-28$42.89$42.5026.0%7.6%28.1%15.5%27.8%6.0%0.1%2.9M-12.4M-878.6K1.3457.222,8263,78085,35347,034
2022-07-29$42.70$42.5025.3%7.4%27.2%13.3%27.8%6.4%-0.6%2.5M-5.3M-860.7K1.9531.111,3322,60184,77847,004