IP Options History — August 2023

In August 2023, IP traded between $33.75 and $36.75. ATM implied volatility averaged 21.5%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 3.6% (HV 20d: 25.1%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2023-08-11: Highest Volume — 20,993 contracts
  • 2023-08-29: Largest IV drop — 10.9% change
  • 2023-08-21: Highest IV Rank — 10.0%
  • 2023-08-08: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.96$33.75$36.75$35.95$34.86
Max Pain$34.67$32.50$37.50$32.50$35.00
ATM IV21.5%18.3%23.0%21.1%18.7%
Expected Move6.1%4.9%6.8%6.5%4.9%
HV 20d25.1%13.5%30.6%30.2%13.6%
HV 60d26.0%23.6%26.7%26.3%23.6%
IV Rank5.1%0.0%10.0%2.1%1.5%
IV Percentile6.8%0.0%14.3%1.6%0.8%
Term Structure0.5%-0.8%2.1%-0.4%-0.0%
VWIV21.4%17.3%26.0%23.8%17.3%
Skew 25d3.4%2.4%4.5%3.7%3.9%
Skew 10d9.0%1.9%13.0%9.5%8.5%
Call IV 25d20.4%17.2%22.1%19.5%17.2%
Put IV 25d23.8%20.7%25.7%23.3%21.1%
Bid-Ask Spread %22.746.6667.9062.729.29
Gamma HHI0.140.130.160.140.16
Net GEX1.1M499.9K1.6M1.5M1.2M
Net DEX-15.3M-60.2M31.9M-44.5M-20.8M
Net VEX-543.5K-588.1K-492.9K-573.5K-492.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.092.350.880.23
Total Volume2,385.91330220,9931,030511
Total OI98,163.73989,258117,15890,02590,249

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$35.95$32.5021.1%6.5%30.2%2.1%23.8%3.7%-0.4%1.5M-44.5M-573.5K0.8862.7254748354,73735,288
2023-08-02$36.75$32.5021.2%6.5%28.8%2.5%22.2%3.0%0.0%1.6M-60.2M-557.0K0.6011.111,29877754,95835,615
2023-08-03$36.63$32.5021.3%5.9%28.8%3.2%22.0%3.0%-0.8%1.6M-57.9M-562.7K0.2949.222,69078055,29836,057
2023-08-04$36.28$32.5022.9%6.0%29.2%9.9%21.4%3.2%-0.5%1.6M-52.8M-587.7K1.266.661,0251,29056,41536,500
2023-08-07$36.05$35.0021.7%6.7%28.1%4.6%21.6%3.3%1.9%1.3M-42.3M-579.2K0.8917.985,9595,31256,05337,238
2023-08-08$35.89$37.5022.8%6.8%28.3%9.4%22.2%3.8%1.0%1.2M-24.0M-588.1K2.3512.188231,93761,28642,563
2023-08-09$35.72$35.0021.6%6.5%28.6%4.5%22.3%3.3%0.9%1.3M-21.9M-579.2K0.5718.0839422561,48542,437
2023-08-10$35.50$35.0021.5%6.1%28.9%3.9%20.8%2.6%-0.0%1.3M-14.8M-566.6K0.587.411,02659261,70542,550
2023-08-11$35.39$35.0021.3%6.2%28.3%2.9%21.6%2.4%0.5%1.1M-12.2M-555.7K0.6546.0512,7228,27161,85442,781
2023-08-14$34.64$35.0021.5%6.2%29.2%3.8%21.9%4.5%0.9%853.1K9.9M-569.1K0.6411.9551032567,41549,362
2023-08-15$34.30$35.0022.9%6.5%29.7%9.8%22.6%3.3%1.5%740.6K21.5M-542.2K0.4516.7643519667,65549,426
2023-08-16$34.06$35.0022.3%6.4%29.9%7.3%22.5%2.8%1.4%684.9K31.9M-544.7K0.8510.2426322367,78049,378
2023-08-17$34.25$35.0022.9%6.5%29.9%9.6%22.2%3.4%2.1%648.1K14.9M-535.1K0.686.8758739767,79044,121
2023-08-18$34.55$35.0022.3%6.4%30.0%7.3%22.7%4.5%0.2%939.8K10.0M-565.2K0.4267.9046419768,01144,194
2023-08-21$33.94$35.0023.0%6.3%30.6%10.0%22.2%4.0%-0.1%768.7K-9.5M-539.3K0.3746.5163923554,52834,750
2023-08-22$33.75$35.0022.7%6.5%24.9%8.7%26.0%3.1%0.5%630.5K-4.2M-508.1K0.7613.4039730154,76134,800
2023-08-23$33.84$35.0022.4%6.2%24.8%7.9%20.7%4.2%-0.1%608.6K-4.5M-503.1K0.3313.102939854,85434,852
2023-08-24$33.86$35.0022.2%6.2%15.5%6.8%21.5%2.8%0.4%781.6K-8.3M-521.1K0.1012.304934854,99234,692
2023-08-25$34.05$35.0020.9%5.9%15.5%1.3%19.6%3.7%0.5%499.9K-9.0M-512.7K0.3913.0037914955,27534,732
2023-08-28$34.44$35.0020.5%5.8%15.7%0.0%19.7%3.2%0.4%965.0K-14.1M-512.6K0.6222.2353032654,86134,397
2023-08-29$34.66$35.0018.3%4.9%16.0%0.0%17.8%2.9%0.6%1.1M-17.6M-509.5K0.0933.543913655,26234,681
2023-08-30$34.80$35.0018.6%4.9%13.5%1.3%17.9%3.1%0.2%1.2M-21.1M-494.5K0.3414.592257755,44534,683
2023-08-31$34.86$35.0018.7%4.9%13.6%1.5%17.3%3.9%-0.0%1.2M-20.8M-492.9K0.239.294149755,52934,720