IP Options History — March 2023

In March 2023, IP traded between $33.95 and $37.78. ATM implied volatility averaged 27.9%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.0% (HV 20d: 29.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2023-03-02: Highest Volume — 12,032 contracts
  • 2023-03-23: Largest IV spike — 15.1% change
  • 2023-03-15: Highest IV Rank — 47.9%
  • 2023-03-13: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$33.95$37.78$36.70$35.94
Max Pain$36.63$35.00$40.00$40.00$35.00
ATM IV27.9%23.2%32.0%24.2%28.3%
Expected Move7.7%6.2%8.7%6.9%6.8%
HV 20d29.0%26.1%33.0%27.5%27.4%
HV 60d33.3%32.0%33.9%32.0%33.0%
IV Rank30.8%10.8%47.9%15.1%32.2%
IV Percentile43.7%4.0%75.0%8.3%46.0%
Term Structure0.4%-2.3%4.7%0.7%0.2%
VWIV26.2%20.1%31.4%23.1%23.4%
Skew 25d5.7%3.2%8.5%3.2%5.3%
Skew 10d10.8%5.7%17.8%8.8%6.1%
Call IV 25d25.5%21.3%28.6%22.9%25.9%
Put IV 25d31.2%24.6%36.6%26.1%31.2%
Bid-Ask Spread %39.188.1668.0343.1429.24
Gamma HHI0.160.120.200.130.13
Net GEX-63.5K-1.1M1.4M157.8K1.1M
Net DEX28.0M-8.3M54.8M16.6M9.2M
Net VEX-694.2K-783.7K-645.3K-667.0K-676.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.117.480.660.17
Total Volume2,605.08756312,0326427,082
Total OI106,319.95795,969109,40195,969106,839

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$36.70$40.0024.2%6.9%27.5%15.1%23.1%3.2%0.7%157.8K16.6M-667.0K0.6643.1438725549,60646,363
2023-03-02$37.56$40.0023.4%6.8%29.2%12.0%23.2%3.8%-0.4%994.9K276.9K-685.7K0.8068.036,7005,33249,80746,460
2023-03-03$37.78$40.0023.2%6.2%29.1%10.8%21.5%3.3%-0.4%1.4M-8.3M-783.7K0.8159.071,2661,03055,66851,392
2023-03-06$36.59$37.5024.3%6.8%30.6%15.8%24.0%4.2%0.2%72.1K18.9M-747.0K0.7917.251,09486055,22651,725
2023-03-07$36.22$37.5025.7%7.5%30.2%21.4%23.8%4.6%-1.4%-112.8K24.6M-734.0K0.8619.6553246055,51051,987
2023-03-08$36.80$37.5024.6%6.8%31.2%16.9%23.3%4.2%-0.1%211.6K13.8M-748.6K0.818.1636429655,60552,049
2023-03-09$36.23$37.5026.8%7.8%30.7%26.1%26.4%4.7%-0.7%-124.0K24.0M-736.3K1.5012.2244466655,78452,119
2023-03-10$35.41$37.5029.8%8.5%30.2%38.5%30.3%6.5%-0.6%-476.0K38.3M-719.0K1.7039.021,1061,88356,00952,385
2023-03-13$34.95$37.5030.9%8.7%30.0%43.0%29.8%5.6%-0.4%-686.2K43.7M-703.9K1.2565.541,7432,18456,05952,655
2023-03-14$35.30$37.5029.8%8.4%29.5%38.3%26.3%7.0%0.3%-523.0K38.9M-704.3K0.3663.4278928556,97552,290
2023-03-15$34.38$37.5032.0%8.7%30.3%47.9%31.0%7.6%-2.0%-742.6K49.3M-690.0K7.4862.007855,87457,16352,238
2023-03-16$34.69$37.5029.1%8.1%30.7%35.5%30.1%5.7%-0.7%-1.1M43.6M-691.2K0.3658.861,09839757,26551,375
2023-03-17$33.95$35.0031.2%8.5%31.0%44.4%31.4%8.5%-2.3%-615.1K54.8M-653.8K1.1427.711,0661,21257,70351,388
2023-03-20$34.83$35.0029.1%8.3%33.0%35.5%28.8%6.6%2.5%-250.2K30.0M-699.6K0.6440.582,6351,68454,83748,549
2023-03-21$35.25$35.0027.6%7.9%26.1%29.4%27.5%6.0%3.1%15.3K25.0M-704.5K0.8726.401,12498056,30149,685
2023-03-22$34.52$35.0026.7%7.7%27.0%25.5%25.9%5.8%4.7%-229.4K32.2M-696.7K0.4349.5939516857,30250,084
2023-03-23$34.19$35.0030.7%8.6%26.7%42.4%26.9%7.2%2.9%-503.1K40.3M-665.8K1.4751.941,0411,53057,55549,713
2023-03-24$34.55$35.0028.9%7.9%27.1%34.7%28.0%7.0%3.7%-263.9K35.0M-653.7K0.6645.4149832958,15348,729
2023-03-27$34.70$35.0028.8%7.4%27.2%34.2%25.9%6.9%0.4%-124.7K30.8M-656.9K0.2332.7256312957,40747,986
2023-03-28$34.58$35.0029.4%7.6%27.2%36.7%24.7%6.2%-0.3%-129.7K32.4M-646.8K0.1122.181,75119357,90848,071
2023-03-29$35.05$35.0029.2%7.1%27.7%35.9%27.0%6.3%-0.8%163.4K27.2M-645.3K0.3931.1046117958,11748,361
2023-03-30$35.19$35.0029.1%7.1%26.1%35.6%20.1%5.5%0.1%347.2K23.3M-655.7K0.7927.8959747058,30248,654
2023-03-31$35.94$35.0028.3%6.8%27.4%32.2%23.4%5.3%0.2%1.1M9.2M-676.7K0.1729.246,0291,05358,39448,445