IP Options History — January 2024

In January 2024, IP traded between $35.72 and $37.72. ATM implied volatility averaged 28.0%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 11.9% (HV 20d: 16.1%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2024-01-19: Highest Volume — 23,656 contracts
  • 2024-01-11: Largest IV drop — 10.3% change
  • 2024-01-03: Highest IV Rank — 79.7%
  • 2024-01-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.91$35.72$37.72$36.38$35.72
Max Pain$37.02$32.50$37.50$32.50$37.50
ATM IV28.0%25.6%30.8%29.4%28.0%
Expected Move7.9%6.6%8.8%6.6%8.8%
HV 20d16.1%11.0%21.6%18.0%21.6%
HV 60d23.7%22.1%24.4%24.3%24.0%
IV Rank61.7%46.5%79.7%70.4%61.7%
IV Percentile75.0%54.4%95.2%88.5%75.4%
Term Structure-0.8%-2.9%2.0%-1.0%-1.9%
VWIV27.8%23.0%32.4%23.0%31.2%
Skew 25d2.0%1.2%3.2%1.3%3.2%
Skew 10d5.1%2.0%11.7%2.0%5.5%
Call IV 25d27.2%25.2%30.6%30.1%25.3%
Put IV 25d29.2%26.4%31.9%31.4%28.6%
Bid-Ask Spread %40.4510.1374.1666.5574.16
Gamma HHI0.310.240.440.250.32
Net GEX4.4M2.5M5.7M3.4M3.1M
Net DEX-77.9M-117.5M-23.2M-84.5M-23.2M
Net VEX-315.9K-341.6K-282.5K-341.6K-301.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.022.321.291.40
Total Volume3,630.3811,09323,6563,2046,728
Total OI91,713.42957,922111,479108,95966,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$36.38$32.5029.4%6.6%18.0%70.4%23.0%1.3%-1.0%3.4M-84.5M-341.6K1.2966.551,4021,80276,33932,620
2024-01-03$36.38$32.5030.8%6.7%18.0%79.7%24.0%1.2%-0.6%3.8M-85.1M-336.4K1.0434.2475077876,80431,692
2024-01-04$36.56$37.5030.1%8.4%16.7%74.8%29.6%1.9%-1.3%3.9M-88.8M-334.2K0.3227.821,38143676,84532,095
2024-01-05$37.06$37.5030.0%8.4%17.3%74.6%28.2%1.7%-0.9%4.6M-99.5M-330.6K0.9230.031,3531,25176,40732,452
2024-01-08$37.67$37.5028.7%8.5%18.0%66.4%28.9%2.4%1.4%5.0M-112.5M-326.4K0.1755.671,28621675,65931,857
2024-01-09$37.64$37.5028.6%8.5%18.0%65.8%29.2%1.8%2.0%5.0M-113.0M-319.5K0.4840.6774035375,94131,959
2024-01-10$37.50$37.5028.5%7.5%18.1%65.2%26.4%2.5%-2.9%5.2M-109.8M-316.3K0.1427.404,18758876,18932,110
2024-01-11$37.72$37.5025.6%7.2%15.8%46.7%25.6%1.7%-0.5%5.7M-117.5M-320.0K0.2421.971,19428877,58132,414
2024-01-12$37.70$37.5025.6%7.2%12.6%46.5%25.2%1.2%-0.8%5.5M-115.3M-315.2K0.2816.981,19733577,47432,587
2024-01-16$37.27$37.5026.2%7.5%11.8%50.3%26.2%2.3%0.7%4.8M-104.5M-299.5K0.4827.301,20357477,27732,635
2024-01-17$37.03$37.5026.7%7.6%11.0%53.4%26.8%1.9%0.5%4.5M-97.9M-293.8K0.5443.571,40476077,55132,911
2024-01-18$36.67$37.5026.3%7.5%11.2%50.9%25.7%1.9%0.9%2.5M-88.1M-284.2K0.2210.132,07145277,80633,114
2024-01-19$36.77$37.5026.9%7.6%11.2%55.0%26.3%3.1%0.5%2.9M-88.8M-282.5K0.0239.6423,24241478,28933,190
2024-01-22$36.25$37.5028.1%7.9%12.3%62.1%28.3%1.8%-1.9%4.0M-34.4M-303.0K0.2941.403,19491844,57213,350
2024-01-23$36.64$37.5027.0%7.7%12.8%55.1%28.2%2.2%-1.4%4.5M-40.1M-315.5K0.1061.911,45614545,75014,200
2024-01-24$36.17$37.5028.6%8.1%13.5%65.5%28.5%2.1%-2.2%3.7M-31.9M-306.4K2.3258.841,0742,48846,54714,808
2024-01-25$37.55$37.5028.2%8.3%19.1%62.9%29.4%1.6%-2.0%5.3M-61.6M-335.1K0.1549.023,41552747,26316,894
2024-01-26$37.44$37.5028.1%8.1%19.0%62.3%28.5%1.4%-2.2%5.5M-60.6M-339.5K0.0846.821,77214548,37416,954
2024-01-29$36.64$37.5028.4%8.5%20.6%64.2%31.7%2.1%-1.6%4.6M-42.1M-318.5K0.3936.711,25448748,29115,693
2024-01-30$36.34$37.5028.2%8.8%20.8%63.3%32.4%2.6%-1.6%4.1M-36.5M-313.6K0.2038.712,48749148,71116,030
2024-01-31$35.72$37.5028.0%8.8%21.6%61.7%31.2%3.2%-1.9%3.1M-23.2M-301.3K1.4074.162,8093,91950,37016,377