IP Options History — July 2023

In July 2023, IP traded between $31.07 and $36.05. ATM implied volatility averaged 26.6%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.0% (HV 20d: 22.6%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2023-07-25: Highest Volume — 19,703 contracts
  • 2023-07-27: Largest IV drop — 20.3% change
  • 2023-07-17: Highest IV Rank — 43.6%
  • 2023-07-17: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.45$31.07$36.05$32.05$36.05
Max Pain$30.65$30.00$32.50$32.50$32.50
ATM IV26.6%20.7%31.0%25.5%21.2%
Expected Move7.6%5.7%9.1%5.7%6.3%
HV 20d22.6%19.2%30.0%22.6%30.0%
HV 60d25.9%24.5%27.3%25.7%26.6%
IV Rank25.3%0.4%43.6%20.6%2.8%
IV Percentile43.2%0.8%82.1%29.4%2.4%
Term Structure-0.6%-4.5%3.8%-0.3%-0.3%
VWIV27.3%19.7%31.9%19.7%22.5%
Skew 25d5.1%3.2%9.8%4.1%4.1%
Skew 10d12.4%5.2%19.4%12.1%11.1%
Call IV 25d23.9%19.4%26.8%23.8%19.4%
Put IV 25d29.0%22.8%32.7%27.9%23.6%
Bid-Ask Spread %24.335.0969.9440.7621.27
Gamma HHI0.190.140.260.200.14
Net GEX783.0K-1.1M2.1M804.9K1.5M
Net DEX6.0M-49.8M27.5M12.4M-45.7M
Net VEX-470.5K-554.7K-434.6K-455.9K-545.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.094.120.160.53
Total Volume3,252.9585419,7038542,480
Total OI96,302.583,018107,51491,99189,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$32.05$32.5025.5%5.7%22.6%20.6%19.7%4.1%-0.3%804.9K12.4M-455.9K0.1640.7673711755,76536,226
2023-07-05$31.34$32.5027.8%6.5%24.3%30.2%21.7%3.9%-1.5%540.9K22.8M-434.6K0.8611.261,3621,17856,29036,275
2023-07-06$31.26$32.5028.4%7.8%23.6%32.6%30.8%5.2%-0.6%596.2K21.6M-457.5K0.7415.911,21589457,29436,576
2023-07-07$31.82$30.0026.7%7.7%19.2%25.7%31.0%3.4%-0.5%948.4K12.6M-466.6K0.0910.732,43122657,98036,910
2023-07-10$31.23$30.0028.6%9.0%19.9%33.3%30.8%4.0%3.8%626.1K23.1M-450.4K0.935.0947744258,32936,699
2023-07-11$31.63$30.0027.0%7.8%20.5%26.8%31.9%4.4%0.0%967.9K18.0M-458.1K0.2210.771,02222758,65637,052
2023-07-12$31.80$30.0026.6%7.8%19.9%25.1%29.6%4.1%-0.3%1.3M15.2M-452.3K1.3915.098701,21258,69137,111
2023-07-13$31.86$30.0026.8%7.7%19.6%25.8%29.0%4.5%-0.7%1.4M17.3M-440.5K2.7412.3230984859,01337,618
2023-07-14$31.49$30.0027.9%7.9%19.9%30.7%28.0%4.7%-1.5%769.0K23.0M-444.0K0.1331.693,03539659,12837,996
2023-07-17$31.07$30.0031.0%9.1%20.4%43.6%28.1%7.1%-4.5%158.8K27.5M-441.6K0.776.7166951760,66537,991
2023-07-18$31.29$30.0028.4%8.1%20.6%32.8%28.5%8.2%0.9%444.2K25.0M-435.0K0.716.2172351561,05838,255
2023-07-19$31.52$30.0029.1%8.3%20.7%35.4%27.9%9.8%-1.4%769.8K21.5M-455.5K0.9828.2352351261,60138,577
2023-07-20$31.59$30.0028.5%8.2%20.1%33.3%30.0%5.7%-0.5%415.8K20.4M-449.4K1.946.735251,02161,84338,677
2023-07-21$31.80$30.0027.9%8.1%19.7%30.4%29.4%4.3%-1.2%638.8K19.4M-447.4K0.437.0678734262,06139,071
2023-07-24$32.34$30.0027.4%8.3%20.1%28.5%28.6%6.3%-0.9%424.2K10.4M-454.4K0.2350.972,15849250,69232,326
2023-07-25$34.00$30.0026.0%8.0%25.4%22.7%26.7%5.8%-0.7%956.8K-15.5M-488.1K4.1213.873,84515,85852,44732,758
2023-07-26$33.72$30.0025.9%8.0%25.4%22.4%28.2%5.9%-0.8%-1.1M-9.5M-554.7K0.3365.452,98999254,51947,964
2023-07-27$35.52$31.0020.7%6.0%30.0%0.4%21.6%3.5%0.3%2.1M-48.9M-532.0K0.6269.946,2703,91156,56448,740
2023-07-28$35.70$32.0021.3%6.2%30.0%3.3%22.1%3.2%-1.0%1.5M-49.8M-546.7K0.7856.491,6431,28956,51451,000
2023-07-31$36.05$32.5021.2%6.3%30.0%2.8%22.5%4.1%-0.3%1.5M-45.7M-545.7K0.5321.271,62385754,46234,656