IP Options History — December 2023

In December 2023, IP traded between $36.03 and $37.69. ATM implied volatility averaged 23.0%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.1% (HV 20d: 28.2%). Max pain ranged from $32.50 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2023-12-14: Highest Volume — 23,162 contracts
  • 2023-12-14: Largest IV spike — 6.6% change
  • 2023-12-29: Highest IV Rank — 42.4%
  • 2023-12-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.74$36.03$37.69$37.27$36.14
Max Pain$32.58$32.50$34.00$34.00$32.50
ATM IV23.0%21.6%24.9%22.6%24.9%
Expected Move6.6%6.1%7.1%6.8%6.6%
HV 20d28.2%18.2%31.3%30.7%18.2%
HV 60d24.5%23.8%25.0%24.9%24.4%
IV Rank30.5%21.6%42.4%27.3%42.4%
IV Percentile31.5%15.9%50.4%24.6%50.4%
Term Structure1.4%-0.3%5.8%0.3%5.6%
VWIV23.4%22.0%24.9%24.9%22.5%
Skew 25d0.9%-0.1%1.9%0.2%1.1%
Skew 10d2.2%-0.5%5.2%-0.5%4.2%
Call IV 25d23.0%21.4%24.3%22.4%22.8%
Put IV 25d24.0%22.6%25.3%22.6%23.9%
Bid-Ask Spread %33.567.8971.2767.5151.58
Gamma HHI0.210.150.270.160.24
Net GEX3.7M3.1M5.5M3.1M3.6M
Net DEX-98.2M-125.9M-78.1M-114.7M-78.1M
Net VEX-358.5K-397.9K-313.8K-351.8K-363.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.023.230.130.30
Total Volume2,997.262223,1623,0661,415
Total OI106,960.45100,825121,059107,191109,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$37.27$34.0022.6%6.8%30.7%27.3%24.9%0.2%0.3%3.1M-114.7M-351.8K0.1367.512,70935764,19742,994
2023-12-04$37.20$32.5023.1%6.6%30.3%31.1%23.6%-0.1%0.4%3.2M-110.0M-350.0K0.559.4756031063,69942,723
2023-12-05$36.47$32.5023.0%6.5%31.3%29.9%23.3%1.1%0.6%3.1M-93.5M-359.4K1.0267.4635035663,83242,645
2023-12-06$36.50$32.5022.5%6.5%30.5%27.2%23.3%0.3%1.2%3.2M-96.9M-347.2K0.4312.8848020763,83642,566
2023-12-07$36.83$32.5023.1%6.5%30.1%30.6%23.7%1.3%-0.0%3.3M-105.7M-331.6K0.4213.801,07245264,00942,646
2023-12-08$36.86$32.5022.0%6.2%29.8%23.6%22.0%1.1%-0.0%3.5M-105.8M-331.7K0.248.4750012264,72643,007
2023-12-11$36.86$32.5022.2%6.5%29.5%24.9%22.7%1.2%0.5%3.3M-100.6M-324.4K0.037.892,5227062,90042,856
2023-12-12$36.03$32.5021.8%6.5%29.8%22.6%22.2%1.4%0.7%3.1M-84.0M-326.7K0.1012.111,60915562,70942,894
2023-12-13$37.05$32.5021.6%6.1%29.4%21.6%22.4%1.4%-0.0%3.7M-103.2M-319.8K0.1671.2783813263,12342,937
2023-12-14$37.69$32.5023.1%6.7%29.3%30.6%23.9%0.1%0.5%3.9M-119.9M-313.8K0.0217.7122,71145163,19442,972
2023-12-15$37.19$32.5023.1%6.6%29.2%30.6%23.7%0.6%0.1%5.5M-125.9M-390.0K0.1216.212,80932577,87043,189
2023-12-18$36.91$32.5022.7%6.5%29.4%28.1%22.9%1.0%0.6%4.5M-101.5M-387.8K0.2547.321,79345372,61028,215
2023-12-19$36.80$32.5022.6%6.5%27.9%27.6%23.2%0.5%-0.0%4.5M-99.5M-390.4K0.1132.332,16224373,47828,576
2023-12-20$36.70$32.5023.2%6.7%27.8%31.7%23.2%1.3%0.3%4.5M-96.4M-386.4K0.0831.862,19317074,39928,703
2023-12-21$36.49$32.5024.5%7.0%27.9%39.5%23.8%1.3%-0.3%4.3M-89.5M-377.7K3.2327.861,2734,11675,00928,753
2023-12-22$36.63$32.5023.3%6.5%27.9%32.1%24.5%0.3%1.6%3.8M-88.6M-397.9K0.0957.742,55223175,51432,695
2023-12-26$36.58$32.5023.7%6.8%26.1%34.4%24.2%1.2%5.8%3.8M-87.1M-382.1K0.1415.231,08815475,57732,524
2023-12-27$36.39$32.5023.8%7.1%26.3%35.2%24.2%1.9%5.1%3.6M-82.2M-375.4K0.1752.971,05818476,32632,525
2023-12-28$36.25$32.5024.3%6.8%21.9%38.3%23.5%1.7%5.6%3.4M-80.2M-361.9K0.1449.571,54721576,26932,634
2023-12-29$36.14$32.5024.9%6.6%18.2%42.4%22.5%1.1%5.6%3.6M-78.1M-363.3K0.3051.581,08932677,10732,771