IP Options History — March 2024

In March 2024, IP traded between $35.09 and $40.75. ATM implied volatility averaged 24.6%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 8.1% (HV 20d: 32.8%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2024-03-26: Highest Volume — 28,369 contracts
  • 2024-03-26: Largest IV spike — 34.0% change
  • 2024-03-26: Highest IV Rank — 89.1%
  • 2024-03-26: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.26$35.09$40.75$35.14$38.72
Max Pain$35.30$35.00$37.50$35.00$37.50
ATM IV24.6%22.7%32.3%23.3%27.7%
Expected Move6.9%6.4%8.1%6.6%6.8%
HV 20d32.8%22.8%47.2%30.3%47.1%
HV 60d27.7%23.4%35.0%24.6%35.0%
IV Rank40.4%28.1%89.1%31.9%59.9%
IV Percentile49.0%29.0%98.8%38.5%75.4%
Term Structure1.1%-1.1%7.7%0.0%0.4%
VWIV24.1%22.3%29.5%22.9%24.8%
Skew 25d1.9%-5.8%8.0%1.4%2.7%
Skew 10d4.4%-1.9%11.9%4.7%5.6%
Call IV 25d24.0%20.2%30.0%22.6%27.4%
Put IV 25d25.9%21.6%38.0%24.0%30.1%
Bid-Ask Spread %55.9938.3481.0281.0261.00
Gamma HHI0.280.160.460.310.18
Net GEX3.1M1.7M4.7M2.7M3.0M
Net DEX-50.9M-91.3M-18.2M-24.0M-57.2M
Net VEX-313.5K-424.1K-261.6K-300.3K-424.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.231.750.420.43
Total Volume4,840.545628,3692,2736,199
Total OI59,198.443,72684,38457,55084,384

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$35.14$35.0023.3%6.6%30.3%31.9%22.9%1.4%0.0%2.7M-24.0M-300.3K0.4281.021,59767639,66817,882
2024-03-04$35.86$35.0024.2%7.0%28.9%37.8%23.9%1.9%-0.1%3.3M-37.5M-310.2K0.3655.991,53055039,29317,742
2024-03-05$35.80$35.0024.5%7.2%28.4%39.5%26.1%1.7%-0.4%3.4M-37.2M-310.6K1.0855.0230332839,88817,602
2024-03-06$35.70$35.0024.3%7.2%28.4%38.1%24.0%3.4%0.5%3.2M-34.2M-304.9K0.2445.9467916340,08817,572
2024-03-07$35.91$35.0024.0%7.1%28.1%36.6%24.2%1.8%-0.0%3.7M-38.3M-302.4K0.5146.8050625640,36617,560
2024-03-08$36.13$35.0023.5%7.2%25.2%33.7%23.6%3.2%-0.1%4.6M-42.6M-301.4K0.5345.6867235940,32917,517
2024-03-11$36.55$35.0023.5%6.6%25.4%33.6%23.4%2.2%-0.8%4.7M-50.5M-297.3K0.4046.031,41756939,69316,980
2024-03-12$36.03$35.0023.7%7.0%25.6%34.5%22.4%2.5%-0.4%3.7M-39.4M-280.6K1.1068.6255961339,47717,066
2024-03-13$36.22$35.0023.5%6.9%22.9%33.5%22.6%2.4%0.9%3.7M-42.0M-287.5K0.8953.8024121539,70017,378
2024-03-14$36.08$35.0023.4%7.0%23.0%33.1%22.5%3.2%0.9%2.6M-39.5M-278.3K0.3763.1053819739,80917,432
2024-03-15$36.05$35.0024.4%6.8%22.8%38.9%22.6%5.0%-1.1%2.8M-38.8M-275.4K0.6161.371,06164239,66117,354
2024-03-18$35.09$35.0023.1%6.6%23.2%30.8%22.7%2.8%2.8%1.7M-18.2M-261.6K0.8247.951,3111,07829,49114,235
2024-03-19$38.70$35.0024.6%7.0%42.1%40.3%27.4%1.6%4.4%2.4M-60.0M-282.4K1.0238.348,0528,17530,17615,003
2024-03-20$39.28$35.0022.7%6.5%40.3%28.1%22.3%1.1%7.7%2.8M-78.3M-314.2K0.5756.695,9763,42236,18620,979
2024-03-21$39.98$35.0023.1%6.4%40.1%30.8%23.4%-2.9%3.5%3.0M-87.6M-321.7K0.4059.341,82772337,99122,384
2024-03-22$39.72$35.0023.4%6.4%40.4%32.6%23.2%0.4%3.5%3.2M-85.4M-323.8K0.3051.892,40971638,68722,807
2024-03-25$40.75$35.0024.1%6.4%39.3%37.3%26.3%-5.8%-0.5%2.7M-91.3M-318.4K1.7554.132,0133,51837,31721,358
2024-03-26$38.27$36.0032.3%8.1%46.9%89.1%29.5%8.0%1.7%1.8M-49.4M-367.9K0.9274.9114,77613,59338,76624,385
2024-03-27$39.14$37.5029.1%7.1%47.2%68.9%24.9%1.7%-1.1%2.8M-65.8M-406.7K0.2352.157,5781,77349,04030,722
2024-03-28$38.72$37.5027.7%6.8%47.1%59.9%24.8%2.7%0.4%3.0M-57.2M-424.1K0.4361.004,3431,85652,42331,961