IP Options History — October 2023

In October 2023, IP traded between $32.50 and $35.45. ATM implied volatility averaged 29.0%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.6% (HV 20d: 19.3%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2023-10-25: Highest Volume — 4,775 contracts
  • 2023-10-26: Largest IV drop — 13.2% change
  • 2023-10-20: Highest IV Rank — 70.6%
  • 2023-10-20: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.40$32.50$35.45$35.45$33.72
Max Pain$34.55$33.00$35.00$35.00$33.00
ATM IV29.0%23.5%34.1%28.5%23.5%
Expected Move8.5%7.1%10.1%7.1%7.5%
HV 20d19.3%15.2%23.1%23.1%22.1%
HV 60d21.6%19.2%23.2%23.2%19.9%
IV Rank48.5%33.2%70.6%41.4%33.2%
IV Percentile71.5%27.4%97.6%67.5%27.4%
Term Structure-0.6%-4.0%1.3%-0.5%0.6%
VWIV28.2%24.1%33.1%24.2%24.6%
Skew 25d5.1%3.9%6.5%4.2%4.6%
Skew 10d12.0%1.6%19.3%19.3%11.1%
Call IV 25d26.2%22.1%31.0%25.6%22.1%
Put IV 25d31.3%26.7%35.5%29.8%26.7%
Bid-Ask Spread %27.575.5271.9171.9134.56
Gamma HHI0.120.090.200.100.20
Net GEX1.3M-264.4K2.2M1.9M1.4M
Net DEX-26.1M-45.1M5.0M-41.4M-20.1M
Net VEX-417.5K-473.5K-372.8K-455.8K-391.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.030.960.120.20
Total Volume1,220.4093294,775559585
Total OI90,918.27377,91196,12294,46481,142

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$35.45$35.0028.5%7.1%23.1%41.4%24.2%4.2%-0.5%1.9M-41.4M-455.8K0.1271.914976259,20535,259
2023-10-03$35.14$35.0029.9%7.6%21.8%48.1%26.9%4.4%-0.5%1.7M-37.0M-465.1K0.1212.476898259,40535,292
2023-10-04$35.38$35.0029.6%7.3%20.8%46.9%25.4%4.7%-1.2%2.0M-40.8M-473.5K0.4968.3122110859,87935,291
2023-10-05$34.98$35.0029.6%8.4%20.8%47.0%27.5%5.0%-1.1%1.7M-33.6M-450.5K0.1222.024054959,97135,269
2023-10-06$34.69$35.0028.0%8.2%17.9%40.2%28.3%3.9%-0.6%1.4M-27.4M-442.8K0.3612.8229110460,14035,265
2023-10-09$35.11$35.0028.8%8.4%18.4%43.7%28.1%5.6%0.3%1.9M-38.4M-439.1K0.0712.656964659,94234,582
2023-10-10$35.36$35.0027.7%8.3%18.5%39.3%26.3%4.1%1.3%2.1M-42.7M-428.6K0.6319.7765741360,17234,604
2023-10-11$35.44$35.0027.6%8.2%17.0%38.7%24.1%5.2%0.8%2.2M-45.1M-427.6K0.0618.736023460,50634,703
2023-10-12$35.03$35.0027.7%8.2%16.0%39.0%28.8%4.8%1.0%1.8M-36.6M-422.4K0.3320.0041313560,83934,603
2023-10-13$35.05$35.0028.6%8.4%15.6%43.1%29.6%3.9%1.0%2.0M-36.9M-427.1K0.4220.5927311461,04134,675
2023-10-16$35.05$35.0028.5%8.2%15.5%45.1%28.8%5.4%-1.5%1.8M-37.4M-411.6K0.6813.2245030660,55834,314
2023-10-17$35.44$35.0029.2%8.4%15.9%48.3%30.0%6.5%-1.6%2.0M-43.8M-411.1K0.4022.0249820060,68634,391
2023-10-18$35.20$35.0030.9%8.9%15.2%56.1%30.3%5.7%-1.5%1.9M-39.7M-413.8K0.1839.0297617760,93334,441
2023-10-19$34.27$35.0030.9%8.9%17.8%55.7%32.8%4.9%-0.7%880.2K-18.7M-408.2K0.7421.5582460961,60234,520
2023-10-20$33.28$35.0034.1%10.1%20.6%70.6%31.6%4.4%-4.0%446.2K-3.2M-399.4K0.705.521,06274761,48434,244
2023-10-23$32.50$35.0033.5%10.1%20.0%69.4%33.1%5.9%-1.1%79.7K5.0M-372.8K0.9238.871,8301,68749,14928,762
2023-10-24$33.30$35.0030.1%9.3%22.1%57.3%31.3%6.1%-1.1%307.1K-6.0M-388.2K0.7230.171,25690350,23030,320
2023-10-25$33.02$33.0031.1%9.6%21.8%64.4%31.4%6.1%-1.5%264.7K-3.1M-385.6K0.3851.193,4581,31751,26930,445
2023-10-26$32.89$33.0027.0%8.5%21.3%45.7%26.5%6.4%0.0%183.3K-5.0M-390.9K0.9620.5158656553,77531,458
2023-10-27$33.10$33.0026.7%8.3%21.4%44.7%25.8%5.5%-0.4%-264.4K-8.1M-390.0K0.1329.721,94224453,83531,484
2023-10-30$33.38$33.0026.1%8.2%21.8%49.5%24.9%5.0%-0.2%1.1M-13.8M-388.4K0.0320.977132351,83528,682
2023-10-31$33.72$33.0023.5%7.5%22.1%33.2%24.6%4.6%0.6%1.4M-20.1M-391.9K0.2034.564889752,44428,698