IP Options History — October 2022

In October 2022, IP traded between $31.53 and $33.86. ATM implied volatility averaged 38.9%, placing in the 73.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 1.9% (HV 20d: 40.8%). Max pain ranged from $32.50 to $36.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2022-10-26: Highest Volume — 7,551 contracts
  • 2022-10-27: Largest IV drop — 9.9% change
  • 2022-10-12: Highest IV Rank — 91.0%
  • 2022-10-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.73$31.53$33.86$32.55$33.74
Max Pain$33.00$32.50$36.00$36.00$32.50
ATM IV38.9%31.6%42.4%41.0%31.6%
Expected Move11.3%9.9%12.0%11.3%9.9%
HV 20d40.8%28.5%55.4%54.2%28.5%
HV 60d37.7%36.8%38.3%37.3%38.3%
IV Rank73.8%44.7%91.0%58.4%44.7%
IV Percentile92.1%69.8%98.4%96.4%69.8%
Term Structure-0.6%-4.7%4.0%-2.0%0.5%
VWIV39.4%30.3%44.3%33.5%33.6%
Skew 25d6.6%4.5%9.7%6.6%4.5%
Skew 10d12.2%1.9%16.5%13.0%8.7%
Call IV 25d36.2%29.8%39.7%39.0%29.8%
Put IV 25d42.8%34.3%47.0%45.6%34.3%
Bid-Ask Spread %30.5511.5753.0437.7423.26
Gamma HHI0.150.110.520.120.14
Net GEX-663.5K-1.7M2.9M-385.9K-855.8K
Net DEX75.2M60.9M87.8M76.7M65.8M
Net VEX-343.9K-385.9K-320.6K-362.5K-335.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.501.920.611.17
Total Volume5,583.2383,6787,5515,9764,508
Total OI148,153.429137,610154,060145,408142,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$32.55$36.0041.0%11.3%54.2%58.4%33.5%6.6%-2.0%-385.9K76.7M-362.5K0.6137.743,7152,261101,60943,799
2022-10-04$33.24$36.0039.7%10.5%55.4%62.4%37.8%8.1%-0.5%145.8K68.1M-385.9K0.9736.352,5812,509102,84143,808
2022-10-05$33.00$36.0039.5%10.5%54.4%75.4%30.3%5.7%-0.5%7.3K72.5M-362.0K1.1624.362,8893,351102,94343,930
2022-10-06$32.11$32.5040.4%11.7%54.1%82.2%42.2%6.0%1.2%-618.1K82.1M-323.6K1.9227.312,4514,706102,83744,558
2022-10-07$31.53$32.5039.1%11.4%53.5%76.6%39.1%9.7%4.0%-859.3K87.8M-331.2K1.2525.842,7943,503103,42846,812
2022-10-10$31.61$32.5041.7%11.9%53.2%87.7%42.3%7.4%-0.8%-1.2M87.4M-322.4K1.0229.953,2373,287100,84246,464
2022-10-11$31.53$32.5041.8%12.0%52.3%88.5%43.6%8.2%-0.3%-1.2M85.1M-323.3K0.7935.003,2452,576101,18546,164
2022-10-12$31.67$32.5042.4%11.9%52.5%91.0%42.7%8.2%-0.9%-1.2M85.2M-320.6K0.9032.923,5963,222101,72146,682
2022-10-13$32.74$32.5040.0%11.8%54.7%80.8%41.5%6.4%1.3%-1.2M77.4M-342.4K1.1118.513,4993,898102,35647,496
2022-10-14$32.71$32.5040.1%11.7%35.5%81.2%42.8%5.6%0.9%-1.3M78.2M-354.5K0.8111.572,4001,953102,97649,040
2022-10-17$33.28$32.5040.7%11.7%33.4%83.6%40.1%6.1%-2.5%-1.3M72.1M-376.0K0.5037.093,8731,932102,14148,498
2022-10-18$33.52$32.5040.9%11.8%30.4%84.6%44.3%6.8%-4.7%-1.0M68.7M-373.5K1.4335.781,7432,488103,89048,591
2022-10-19$32.54$32.5040.7%11.7%31.7%83.4%41.8%6.2%-2.8%-1.4M79.8M-343.7K0.9825.911,8531,825103,99649,362
2022-10-20$31.92$32.5040.3%11.6%32.0%81.7%41.5%6.0%-1.0%-1.7M85.2M-329.9K1.0124.732,1072,134104,38249,210
2022-10-21$32.99$32.5039.0%11.4%33.3%76.5%40.7%7.8%-3.3%-1.2M76.1M-322.7K1.5622.521,6392,564104,62549,435
2022-10-24$33.08$32.5038.2%11.6%30.4%72.9%39.0%6.3%-0.3%-1.1M71.7M-328.6K0.5232.123,5331,85291,88445,726
2022-10-25$33.44$32.5037.4%11.5%30.6%69.6%39.0%6.3%-0.0%-320.7K64.6M-345.7K0.5727.203,9142,21795,88445,980
2022-10-26$33.26$32.5037.2%11.4%29.5%68.7%39.2%5.8%-0.5%-161.3K65.0M-341.5K0.9928.173,8023,74997,98346,066
2022-10-27$33.05$32.5033.5%10.6%28.5%52.9%37.1%5.6%0.1%-96.3K68.6M-352.3K1.5152.282,2713,438100,81648,714
2022-10-28$33.86$32.5031.9%10.0%29.4%45.9%35.0%5.2%-0.4%2.9M60.9M-344.7K1.1353.041,9412,192101,14449,361
2022-10-31$33.74$32.5031.6%9.9%28.5%44.7%33.6%4.5%0.5%-855.8K65.8M-335.5K1.1723.262,0792,42996,52545,518