IP Options History — September 2023

In September 2023, IP traded between $33.53 and $35.38. ATM implied volatility averaged 22.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.6% (HV 20d: 20.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2023-09-27: Highest Volume — 6,260 contracts
  • 2023-09-14: Largest IV drop — 12.4% change
  • 2023-09-29: Highest IV Rank — 37.3%
  • 2023-09-27: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.44$33.53$35.38$35.25$35.38
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.1%18.2%28.0%18.8%27.5%
Expected Move6.0%4.7%6.9%4.7%6.5%
HV 20d20.5%14.1%23.4%14.1%23.4%
HV 60d23.5%22.1%24.2%22.1%23.5%
IV Rank14.9%0.0%37.3%1.7%37.3%
IV Percentile18.2%0.0%62.7%1.2%56.3%
Term Structure0.5%-1.8%4.4%-0.4%-0.4%
VWIV21.0%16.4%25.3%16.4%22.6%
Skew 25d3.7%3.0%4.7%3.9%3.2%
Skew 10d9.1%3.0%15.5%11.5%6.0%
Call IV 25d20.4%16.4%26.6%16.4%25.8%
Put IV 25d24.2%20.2%30.7%20.2%29.0%
Bid-Ask Spread %16.206.1760.1029.9360.10
Gamma HHI0.140.100.180.160.10
Net GEX1.3M807.8K2.1M1.4M1.9M
Net DEX-22.8M-42.7M-7.0M-30.6M-42.7M
Net VEX-461.3K-491.8K-447.2K-491.8K-457.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.154.520.150.49
Total Volume1,151.953946,2601,4471,938
Total OI89,317.4586,87594,37290,47294,372

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$35.25$35.0018.8%4.7%14.1%1.7%16.4%3.9%-0.4%1.4M-30.6M-491.8K0.1529.931,25519255,76134,711
2023-09-05$34.47$35.0020.5%5.8%15.9%8.5%19.9%4.2%-0.0%1.2M-16.6M-480.8K0.8211.0534728556,01834,433
2023-09-06$33.89$35.0019.8%5.7%16.7%5.7%20.1%3.4%0.3%946.8K-7.0M-472.9K0.676.1730620456,14634,365
2023-09-07$33.53$35.0020.0%6.5%16.9%6.5%20.3%4.7%-0.1%864.5K-7.6M-469.9K0.767.7158244056,19731,875
2023-09-08$34.61$35.0019.2%5.6%20.9%3.4%19.9%3.8%-0.2%1.7M-27.0M-472.7K1.8511.0531959156,56031,565
2023-09-11$34.55$35.0019.1%5.8%20.9%3.0%20.2%3.3%1.1%1.6M-27.2M-462.3K0.427.0250320956,07031,893
2023-09-12$34.45$35.0020.5%5.5%19.5%8.6%20.2%4.2%-1.5%1.5M-25.1M-462.5K0.5210.1332216656,39531,984
2023-09-13$33.84$35.0020.8%5.6%20.2%9.6%19.9%4.5%-1.4%807.8K-12.4M-450.4K4.529.993401,53756,57732,103
2023-09-14$34.59$35.0018.2%5.3%21.6%0.0%18.9%3.2%0.4%1.6M-23.8M-455.5K0.576.3034519756,68033,336
2023-09-15$34.27$35.0020.3%5.5%21.8%7.8%19.2%3.3%-1.8%918.4K-19.3M-452.1K0.2415.063197556,85633,354
2023-09-18$34.14$35.0021.0%6.1%21.6%10.6%19.3%4.2%3.0%1.1M-17.7M-459.5K0.2447.5477918554,89631,979
2023-09-19$34.19$35.0020.8%6.0%20.6%10.0%22.0%3.9%3.7%1.1M-19.2M-457.1K0.677.9135623755,51632,130
2023-09-20$33.73$35.0021.1%6.1%21.1%11.0%21.3%3.2%3.1%941.1K-12.8M-453.4K0.5814.1627115755,70032,096
2023-09-21$34.16$35.0023.4%6.6%21.6%19.8%21.5%3.7%3.0%1.1M-18.3M-454.4K0.316.9090828055,73932,205
2023-09-22$34.11$35.0023.2%6.2%21.6%19.0%22.9%3.7%4.4%975.5K-18.0M-453.5K1.7212.9523740756,03232,301
2023-09-25$34.91$35.0025.5%6.3%23.0%27.6%22.9%3.8%-0.8%1.5M-31.3M-458.6K0.4015.8689836255,84132,323
2023-09-26$34.58$35.0027.4%6.7%23.0%34.9%25.3%4.1%-0.9%1.4M-26.1M-449.0K0.6316.0442126556,30532,563
2023-09-27$34.95$35.0028.0%6.9%23.2%37.1%23.6%3.3%-0.9%1.6M-32.7M-447.2K0.7115.033,6632,59756,46432,693
2023-09-28$35.28$35.0027.6%6.5%23.4%36.3%22.8%3.0%-0.4%2.1M-40.5M-464.2K0.4313.0838016459,35434,961
2023-09-29$35.38$35.0027.5%6.5%23.4%37.3%22.6%3.2%-0.4%1.9M-42.7M-457.9K0.4960.101,30363559,39734,975