IP Options History — September 2022

In September 2022, IP traded between $31.82 and $42.18. ATM implied volatility averaged 33.9%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 4.3% (HV 20d: 38.2%). Max pain ranged from $36.00 to $42.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2022-09-16: Highest Volume — 16,449 contracts
  • 2022-09-16: Largest IV spike — 28.2% change
  • 2022-09-26: Highest IV Rank — 68.8%
  • 2022-09-26: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$31.82$42.18$41.11$31.82
Max Pain$40.17$36.00$42.50$42.50$36.00
ATM IV33.9%25.0%44.5%28.1%42.6%
Expected Move9.5%7.2%12.2%8.2%11.6%
HV 20d38.2%21.6%52.8%23.3%52.8%
HV 60d31.4%24.6%37.4%27.0%36.9%
IV Rank37.5%11.4%68.8%20.4%63.0%
IV Percentile75.7%18.7%98.8%59.9%97.6%
Term Structure0.4%-1.7%3.2%0.2%-0.9%
VWIV31.4%18.9%41.7%26.3%35.4%
Skew 25d6.2%3.5%9.0%4.0%8.6%
Skew 10d13.0%9.1%16.9%13.8%14.0%
Call IV 25d30.9%23.3%40.1%26.6%38.6%
Put IV 25d37.1%27.8%49.1%30.6%47.3%
Bid-Ask Spread %37.1513.2960.9760.9738.53
Gamma HHI0.210.110.320.230.13
Net GEX-240.5K-2.3M1.1M183.8K231.2K
Net DEX54.0M707.6K87.8M26.9M80.2M
Net VEX-547.1K-755.0K-342.9K-707.5K-367.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.244.901.800.96
Total Volume4,917.33380616,4493,5865,857
Total OI135,153.048125,132148,668125,132148,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$41.11$42.5028.1%8.2%23.3%20.4%26.3%4.0%0.2%183.8K26.9M-707.5K1.8060.971,2812,30585,76239,370
2022-09-02$40.92$42.5027.6%7.7%23.3%18.9%18.9%3.5%0.7%-65.4K31.3M-727.9K0.2458.071,28130285,94641,369
2022-09-06$40.26$42.5029.4%8.4%22.4%24.2%26.7%4.3%-0.3%-394.0K43.0M-655.3K2.7749.371,5644,33786,01541,057
2022-09-07$41.04$42.5027.7%8.2%23.7%19.2%26.7%4.7%-0.5%-37.7K29.1M-715.8K3.3637.481,2654,25186,45341,023
2022-09-08$41.42$42.5027.2%7.3%22.4%17.8%25.6%5.4%0.8%170.7K19.7M-714.1K2.4748.7936991286,31940,947
2022-09-09$41.77$42.5025.0%7.2%22.3%11.4%24.6%4.6%-0.2%270.4K9.6M-754.5K0.8250.961,00782586,36341,556
2022-09-12$42.18$42.5026.5%7.2%21.6%15.7%25.1%4.4%-1.1%1.1M707.6K-755.0K0.5054.5853826886,23341,222
2022-09-13$40.42$42.5028.7%8.2%25.8%22.2%25.8%4.7%-0.4%-638.2K40.5M-647.0K2.2345.231,0182,26986,83241,486
2022-09-14$39.63$42.5028.9%8.3%25.6%22.9%28.4%5.4%-0.5%-1.1M50.4M-616.6K0.8713.291,5241,32596,05741,472
2022-09-15$39.69$42.5028.6%8.2%25.8%21.9%28.2%5.2%-0.4%-2.3M53.1M-607.3K0.3813.8895536691,45442,444
2022-09-16$35.17$42.5036.6%10.7%48.3%45.5%34.6%6.9%0.7%-102.6K87.8M-454.2K1.1333.457,7308,71992,21842,734
2022-09-19$36.44$40.0033.9%9.7%51.1%37.5%33.1%6.7%2.7%224.8K54.0M-507.9K0.6850.333,7712,57593,30038,146
2022-09-20$34.92$40.0036.0%10.3%52.2%43.8%34.2%6.9%2.2%-85.6K66.0M-455.2K0.8814.752,5872,27595,67738,633
2022-09-21$34.39$37.5036.4%10.4%51.9%44.8%35.8%5.7%3.2%-305.5K71.5M-417.1K4.9030.006203,03697,03440,070
2022-09-22$33.90$37.5036.4%10.3%51.9%44.7%37.2%7.2%2.1%-633.3K77.4M-404.0K1.0553.331,5421,62497,45642,250
2022-09-23$33.09$37.5038.9%10.9%50.1%52.3%38.1%7.2%2.6%-431.5K71.1M-479.5K0.9120.251,1101,00798,65043,175
2022-09-26$31.90$37.5044.5%12.2%50.6%68.8%41.1%9.0%-0.1%-681.3K86.5M-342.9K0.9126.425,3854,92497,62342,984
2022-09-27$31.97$37.0044.1%12.0%51.0%67.5%41.7%8.7%-0.5%-330.3K80.5M-399.6K0.5121.475,9433,034100,56144,664
2022-09-28$32.77$37.0041.5%11.3%52.7%59.7%34.1%7.8%-0.6%25.1K75.3M-386.7K0.6936.874,3412,986102,72944,395
2022-09-29$32.09$36.0043.1%11.9%52.8%64.5%37.1%8.6%-1.7%-106.8K79.9M-372.7K0.8322.183,4122,824103,35044,517
2022-09-30$31.82$36.0042.6%11.6%52.8%63.0%35.4%8.6%-0.9%231.2K80.2M-367.8K0.9638.532,9922,865104,32844,340