IP Options History — November 2023

In November 2023, IP traded between $32.38 and $36.91. ATM implied volatility averaged 22.2%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.4% (HV 20d: 24.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.26.

Notable Days

  • 2023-11-10: Highest Volume — 21,633 contracts
  • 2023-11-16: Largest IV spike — 14.5% change
  • 2023-11-17: Highest IV Rank — 41.7%
  • 2023-11-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.77$32.38$36.91$33.53$36.91
Max Pain$34.57$33.00$35.00$33.00$34.00
ATM IV22.2%20.0%24.8%22.7%22.4%
Expected Move6.6%5.8%7.3%7.3%6.9%
HV 20d24.7%21.9%30.9%21.9%30.9%
HV 60d21.7%19.9%25.0%19.9%25.0%
IV Rank25.4%11.4%41.7%28.1%26.3%
IV Percentile19.3%3.6%38.5%20.2%23.0%
Term Structure-0.2%-3.3%2.5%0.2%-0.1%
VWIV22.7%19.6%25.8%25.0%24.4%
Skew 25d3.6%1.2%6.8%3.9%1.2%
Skew 10d8.7%3.3%16.3%4.6%3.6%
Call IV 25d20.5%16.8%22.4%21.7%22.3%
Put IV 25d24.2%21.2%26.7%25.6%23.5%
Bid-Ask Spread %42.085.6277.7452.608.57
Gamma HHI0.260.160.590.200.16
Net GEX-170.7K-7.0M2.7M1.3M2.7M
Net DEX-17.1M-105.6M34.3M-13.4M-105.6M
Net VEX-379.2K-397.8K-331.4K-396.7K-331.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.260.0631.140.370.09
Total Volume4,099.04835321,6334736,290
Total OI94,791.09584,797103,93185,064103,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$33.53$33.0022.7%7.3%21.9%28.1%25.0%3.9%0.2%1.3M-13.4M-396.7K0.3752.6034612754,30730,757
2023-11-02$34.05$35.0021.2%6.1%22.6%18.9%20.8%3.7%0.3%1.7M-23.2M-397.7K0.3119.5267521054,52430,808
2023-11-03$34.66$35.0020.0%5.9%23.4%11.4%19.6%1.9%0.4%2.0M-37.3M-384.5K0.0625.471,3688554,82030,806
2023-11-06$34.42$35.0020.6%5.8%23.0%15.0%21.1%3.6%-0.1%2.0M-30.6M-382.6K0.2539.7041110454,82029,977
2023-11-07$33.89$35.0021.8%6.0%23.4%22.8%23.7%4.5%-1.0%1.7M-20.0M-379.1K15.2137.175548,42655,06529,998
2023-11-08$33.56$35.0021.7%6.9%23.5%22.1%23.1%3.2%2.5%-2.0M-1.4M-383.4K1.5620.6553583355,18437,903
2023-11-09$33.31$35.0023.2%6.7%23.3%31.1%22.0%3.1%0.3%-1.5M4.4M-378.9K0.5375.3850926955,05237,458
2023-11-10$33.02$35.0022.6%6.8%23.4%27.5%23.7%4.0%1.5%-7.0M15.0M-356.5K31.1439.2467320,96055,38237,485
2023-11-13$32.38$35.0023.2%6.6%24.1%31.5%23.3%3.4%0.4%-2.0M34.3M-363.6K0.305.622,93686754,63140,922
2023-11-14$33.44$35.0024.5%7.1%26.8%39.7%22.7%5.0%-1.9%-1.6M-9.0M-397.8K0.3167.341,24238756,50641,716
2023-11-15$34.05$35.0021.0%6.0%27.8%17.8%22.5%6.8%0.8%231.3K-27.8M-392.0K1.5176.257351,10856,97941,444
2023-11-16$33.55$35.0024.1%7.0%26.7%37.1%20.0%5.5%-3.3%-1.6M-14.4M-387.3K5.6721.363301,87057,11741,614
2023-11-17$33.41$35.0024.8%7.3%24.5%41.7%25.8%4.3%-1.9%-68.1K-13.2M-386.0K19.8411.123987,89657,23541,666
2023-11-20$32.72$35.0022.4%6.7%24.2%26.2%23.8%4.4%-0.7%-1.0M9.5M-393.7K2.7350.591,1523,14255,07741,438
2023-11-21$32.52$34.0022.0%6.6%22.5%23.9%22.5%3.6%-0.2%-1.1M13.3M-384.2K6.3877.746344,04455,51141,622
2023-11-22$32.95$34.0021.4%6.3%22.9%20.1%22.7%4.3%-0.2%-771.5K1.9M-385.4K1.0717.601,2901,38555,89641,758
2023-11-24$32.94$34.0021.3%6.1%22.9%19.3%21.9%3.1%-0.7%-795.4K2.1M-382.6K1.0825.3017018356,57542,308
2023-11-27$34.00$34.0023.1%7.0%25.4%31.1%23.5%2.9%-0.7%197.3K-26.9M-380.3K0.1667.676,39799756,13642,160
2023-11-28$34.22$34.0021.3%6.3%25.4%19.6%22.5%2.6%-0.2%1.4M-37.0M-372.5K0.3273.891,22339059,26842,587
2023-11-29$35.70$34.0021.7%6.6%29.1%22.2%22.9%1.3%0.6%2.7M-78.7M-347.8K0.4870.903,3201,60959,52542,645
2023-11-30$36.91$34.0022.4%6.9%30.9%26.3%24.4%1.2%-0.1%2.7M-105.6M-331.4K0.098.575,77551561,15342,778