IP Options History — December 2022

In December 2022, IP traded between $34.22 and $37.41. ATM implied volatility averaged 27.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.2% (HV 20d: 23.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2022-12-22: Highest Volume — 63,123 contracts
  • 2022-12-22: Largest IV spike — 10.3% change
  • 2022-12-30: Highest IV Rank — 36.5%
  • 2022-12-28: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.74$34.22$37.41$37.41$34.50
Max Pain$38.57$35.00$40.00$37.50$35.00
ATM IV27.0%24.9%29.7%25.6%29.7%
Expected Move7.7%7.1%8.1%7.7%8.0%
HV 20d23.7%19.1%30.6%29.8%19.2%
HV 60d31.9%26.6%40.3%40.3%26.6%
IV Rank25.0%16.0%36.5%19.1%36.5%
IV Percentile29.3%7.1%56.3%11.9%56.3%
Term Structure0.9%-1.2%3.8%0.8%3.6%
VWIV27.3%24.7%29.8%27.6%26.9%
Skew 25d4.2%2.1%5.3%5.0%4.9%
Skew 10d10.6%3.4%19.8%10.1%11.1%
Call IV 25d25.3%23.3%26.4%23.3%25.5%
Put IV 25d29.4%26.9%31.2%28.2%30.3%
Bid-Ask Spread %51.3837.0466.3865.2450.83
Gamma HHI0.150.110.210.110.21
Net GEX-8.1K-603.8K790.8K722.3K-424.8K
Net DEX25.1M1.8M67.1M1.8M67.1M
Net VEX-446.5K-618.5K-377.9K-389.1K-553.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.032.480.031.24
Total Volume6,584.23846463,12335,2232,182
Total OI117,218.09587,240158,726142,042158,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$37.41$37.5025.6%7.7%29.8%19.1%27.6%5.0%0.8%722.3K1.8M-389.1K0.0365.2434,1871,036102,83839,204
2022-12-02$37.13$37.5025.7%7.6%30.0%19.4%29.1%4.2%0.7%790.8K5.6M-392.6K0.9153.2260154563,59439,633
2022-12-05$36.52$40.0025.7%7.4%30.3%19.4%27.2%4.5%0.3%137.8K14.8M-378.4K1.7847.856121,09263,28239,227
2022-12-06$36.34$40.0027.5%7.4%30.4%27.2%29.8%3.8%0.3%-45.5K20.7M-378.9K1.2352.9854066263,65740,192
2022-12-07$36.14$40.0027.7%8.1%30.6%28.0%26.9%3.4%0.3%-166.3K21.8M-386.2K0.7837.0426120363,85640,666
2022-12-08$36.16$40.0027.7%8.1%30.1%27.8%29.2%3.5%1.1%-139.8K20.2M-380.4K2.2955.346231,42963,92740,497
2022-12-09$36.09$40.0027.0%8.0%24.5%24.9%26.9%2.1%1.4%-272.8K21.5M-377.9K0.8055.6348438564,29040,528
2022-12-12$36.70$40.0027.2%7.7%19.1%25.9%27.2%4.6%-0.2%255.8K11.7M-379.3K1.2550.6947359264,27740,391
2022-12-13$37.34$40.0026.5%7.3%19.9%22.7%27.3%4.2%-1.2%741.7K2.1M-380.0K1.0558.492,6742,80564,53040,814
2022-12-14$37.05$40.0026.2%7.3%20.2%21.6%27.1%3.5%-1.1%679.6K6.5M-432.8K1.4366.3844263066,75943,134
2022-12-15$36.36$40.0025.8%7.1%20.3%19.9%26.0%3.5%-1.1%539.9K14.4M-423.5K1.3757.1837251166,73342,718
2022-12-16$35.64$40.0027.2%7.9%21.6%25.7%27.0%4.6%0.8%-342.4K25.1M-407.7K0.3155.952,35673066,65842,935
2022-12-19$34.84$40.0027.9%8.0%23.0%28.7%27.8%3.8%0.6%-128.2K29.0M-387.2K1.0844.134,3874,74152,48034,760
2022-12-20$34.73$37.5027.2%7.8%22.5%26.0%27.0%4.6%0.5%-285.2K28.7M-466.1K0.6350.8242826856,15138,747
2022-12-21$34.69$37.5024.9%7.1%21.4%16.0%24.7%3.3%0.6%-263.2K31.2M-446.6K2.2137.894841,06956,34038,829
2022-12-22$34.22$37.5027.5%7.8%21.7%27.0%29.7%4.8%0.8%-527.0K34.0M-454.6K1.0347.5831,08732,03656,62038,862
2022-12-23$34.70$37.5026.3%7.5%22.6%21.9%25.6%3.9%0.1%-138.9K36.9M-618.5K1.3848.9359181587,15368,716
2022-12-27$34.91$37.5027.5%7.7%21.0%27.1%25.3%5.3%2.6%-364.2K28.1M-604.9K0.8549.2952344486,52969,094
2022-12-28$34.39$37.5028.8%8.1%20.7%32.9%26.8%4.8%3.8%-603.8K64.1M-562.8K1.3243.551,8292,41986,74969,196
2022-12-29$34.75$35.0027.3%7.6%19.7%26.4%27.6%5.2%3.6%-336.7K41.7M-576.5K2.4849.9320751488,34969,939
2022-12-30$34.50$35.0029.7%8.0%19.2%36.5%26.9%4.9%3.6%-424.8K67.1M-553.4K1.2450.839761,20688,36470,362