IP Options History — November 2022

In November 2022, IP traded between $32.84 and $37.08. ATM implied volatility averaged 29.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 0.3% (HV 20d: 29.7%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2022-11-11: Highest Volume — 18,184 contracts
  • 2022-11-10: Largest IV drop — 12.0% change
  • 2022-11-01: Highest IV Rank — 50.8%
  • 2022-11-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.28$32.84$37.08$33.46$37.08
Max Pain$37.02$32.50$37.50$32.50$37.50
ATM IV29.5%26.0%33.0%33.0%26.5%
Expected Move8.6%7.6%10.1%10.0%7.7%
HV 20d29.7%26.4%33.7%27.8%30.8%
HV 60d39.4%37.6%40.6%38.0%40.5%
IV Rank35.5%20.6%50.8%50.8%22.6%
IV Percentile51.6%14.3%75.4%75.4%21.8%
Term Structure0.1%-1.9%2.2%-0.4%-0.2%
VWIV29.0%23.3%34.7%34.6%26.9%
Skew 25d4.3%2.9%6.1%4.0%4.0%
Skew 10d8.0%-1.8%13.0%10.1%-0.1%
Call IV 25d28.1%24.4%32.4%30.9%24.4%
Put IV 25d32.5%28.4%35.3%34.9%28.4%
Bid-Ask Spread %24.0810.2750.0531.0050.05
Gamma HHI0.150.110.320.150.12
Net GEX80.4K-862.8K1.7M-817.5K388.3K
Net DEX38.6M7.8M76.1M68.7M7.8M
Net VEX-359.7K-400.4K-301.4K-326.4K-382.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.125.941.341.14
Total Volume7,208.90555418,1843,6382,073
Total OI143,816.619139,745149,416143,043141,079

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$33.46$32.5033.0%10.0%27.8%50.8%34.6%4.0%-0.4%-817.5K68.7M-326.4K1.3431.001,5532,08597,34645,697
2022-11-02$32.93$32.5032.9%10.1%28.3%50.4%34.7%3.5%0.4%-862.8K74.5M-311.8K1.2741.311,7682,23897,60945,940
2022-11-03$32.84$37.5032.0%9.2%26.4%46.6%31.7%3.7%0.4%-836.1K76.1M-305.3K1.1826.601,9812,34497,81946,161
2022-11-04$33.62$37.5030.1%9.3%26.5%38.2%30.4%4.2%0.6%-670.7K68.2M-315.1K0.6528.823,2252,08197,95546,371
2022-11-07$33.60$37.5030.3%9.3%26.5%39.2%31.1%3.5%2.1%-488.4K64.1M-331.3K0.8316.792,0031,65797,29044,983
2022-11-08$33.67$37.5030.9%9.4%26.5%41.9%32.8%4.1%1.7%-599.0K65.8M-311.3K0.8810.271,5251,33597,83545,501
2022-11-09$33.25$37.5032.9%9.3%27.0%50.4%34.3%2.9%-0.8%-780.0K69.9M-301.4K0.2417.676,3871,53298,13245,697
2022-11-10$34.99$37.5029.0%8.5%30.3%33.6%28.6%4.1%1.0%1.7M32.3M-324.4K0.4031.443,4811,385103,06045,986
2022-11-11$36.63$37.5028.3%8.1%33.7%30.7%29.4%3.2%-0.3%575.4K7.9M-363.5K0.1227.6016,2601,924103,46045,956
2022-11-14$36.44$37.5029.1%8.2%33.7%33.8%29.5%4.1%1.5%407.3K32.2M-397.5K0.2115.286,6541,37599,30845,746
2022-11-15$36.46$37.5029.7%8.5%33.7%36.7%30.9%6.1%2.2%550.2K27.0M-397.1K0.3722.284,9531,81799,41943,920
2022-11-16$35.82$37.5031.1%8.9%32.3%42.6%25.4%5.1%-1.3%485.6K32.8M-400.4K3.5419.522,6159,252100,20943,974
2022-11-17$35.74$37.5030.4%8.8%31.2%39.4%25.3%5.9%-1.7%262.0K36.9M-381.8K5.9427.241,95811,632100,29044,235
2022-11-18$35.71$37.5029.6%8.7%29.5%36.3%23.3%6.0%-1.9%9.3K35.5M-382.5K2.3511.485,23412,302100,44346,031
2022-11-21$36.12$37.5028.6%8.2%29.6%32.0%24.8%3.9%0.6%-139.8K32.1M-390.6K4.4723.802,2279,952100,34442,899
2022-11-22$36.73$37.5026.7%7.6%29.9%23.6%24.8%4.1%-0.1%652.8K14.1M-394.2K4.2914.122,1179,088101,27241,282
2022-11-23$36.81$37.5026.3%7.6%29.7%21.9%24.6%3.4%-0.7%938.6K11.5M-393.8K5.1716.411,6488,526101,66041,392
2022-11-25$36.80$37.5026.0%7.6%29.4%20.6%26.8%5.3%-1.1%976.1K11.6M-387.1K0.5310.82362192102,08641,355
2022-11-28$35.86$37.5027.7%8.3%30.5%27.9%28.5%5.5%0.2%-173.3K25.2M-372.9K0.3520.641,179412101,26438,481
2022-11-29$36.39$37.5027.5%8.2%30.7%27.0%29.7%4.1%0.3%79.0K17.4M-383.7K0.3942.50759296101,97138,691
2022-11-30$37.08$37.5026.5%7.7%30.8%22.6%26.9%4.0%-0.2%388.3K7.8M-382.0K1.1450.059701,103102,29238,787