IP Options History — May 2024

In May 2024, IP traded between $35.45 and $45.50. ATM implied volatility averaged 36.3%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.4% (HV 20d: 31.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2024-05-22: Highest Volume — 111,449 contracts
  • 2024-05-07: Largest IV spike — 35.2% change
  • 2024-05-08: Highest IV Rank — 100.0%
  • 2024-05-09: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.64$35.45$45.50$35.45$44.78
Max Pain$36.00$35.00$40.00$35.00$40.00
ATM IV36.3%24.1%52.8%25.9%42.1%
Expected Move10.1%6.3%13.6%6.8%12.2%
HV 20d31.8%25.5%36.2%25.5%32.7%
HV 60d36.0%34.3%37.0%34.9%37.0%
IV Rank59.8%37.2%100.0%48.6%69.1%
IV Percentile90.2%47.6%100.0%61.1%98.4%
Term Structure-1.5%-18.6%10.2%-0.4%-6.4%
VWIV35.8%22.2%44.4%24.4%44.4%
Skew 25d1.9%-15.9%13.7%1.8%-3.5%
Skew 10d3.3%-8.0%16.9%2.2%0.0%
Call IV 25d34.1%20.4%56.5%23.8%43.9%
Put IV 25d36.0%24.8%57.2%25.6%40.3%
Bid-Ask Spread %65.5548.1890.5378.2671.93
Gamma HHI0.240.160.360.200.22
Net GEX14.2M7.4M19.6M7.4M18.7M
Net DEX-339.5M-619.1M-66.6M-66.6M-568.9M
Net VEX-1.3M-1.9M-589.9K-589.9K-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.083.131.151.66
Total Volume19,222.909796111,4491,0268,672
Total OI232,453.182136,785321,995138,251321,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$35.45$35.0025.9%6.8%25.5%48.6%24.4%1.8%-0.4%7.4M-66.6M-589.9K1.1578.26478548107,86530,386
2024-05-02$35.91$35.0024.7%6.9%26.0%41.2%23.5%0.9%0.8%8.4M-83.7M-609.6K0.3873.37577219108,08530,579
2024-05-03$36.25$35.0024.1%6.3%26.1%37.2%22.2%3.1%0.3%9.2M-93.0M-599.5K0.6177.86698424108,21330,616
2024-05-06$36.95$35.0024.5%6.8%26.9%39.4%24.4%1.6%1.2%9.8M-117.3M-620.4K0.4957.871,137556106,97829,807
2024-05-07$39.03$35.0033.1%9.4%33.5%93.9%34.4%6.5%3.3%9.0M-203.4M-691.0K0.2662.4733,6908,851107,58029,868
2024-05-08$39.25$35.0044.4%10.6%33.5%100.0%39.1%-15.9%-7.4%9.2M-224.3M-901.6K0.2062.4527,0435,436129,64135,430
2024-05-09$39.80$35.0052.8%13.6%33.7%100.0%43.9%11.6%3.9%10.7M-279.5M-1.1M0.2459.9329,8397,232155,47639,361
2024-05-10$38.36$35.0044.0%11.0%35.6%74.8%39.8%6.7%-10.5%11.6M-220.4M-1.2M0.4860.0712,0715,818175,92748,631
2024-05-13$39.39$35.0040.6%10.9%36.2%64.8%39.0%12.5%-2.0%13.5M-280.2M-1.2M0.3562.124,1521,452183,59452,831
2024-05-14$39.70$35.0033.5%10.8%35.1%44.4%40.3%13.7%4.6%14.0M-307.0M-1.2M0.3159.3814,5934,472187,36554,040
2024-05-15$39.75$35.0035.6%10.4%33.7%50.4%38.0%3.1%0.3%16.3M-316.1M-1.3M0.6864.642,5101,704197,53657,684
2024-05-16$40.59$35.0036.2%10.3%34.1%52.0%36.9%4.7%-1.3%16.4M-366.3M-1.4M0.8867.125,6024,930198,61658,731
2024-05-17$40.56$35.0036.6%10.0%34.1%53.3%35.9%-2.8%-3.0%17.2M-371.0M-1.3M0.6748.182,7861,854202,73961,428
2024-05-20$40.92$35.0033.3%9.4%33.0%43.6%34.7%-4.5%-1.0%14.2M-336.7M-1.4M1.7360.144,7778,285183,23053,756
2024-05-21$41.56$35.0038.4%11.0%32.2%58.5%36.4%-6.6%-0.9%14.4M-364.2M-1.4M0.1064.5330,3113,163183,47560,012
2024-05-22$42.05$35.0036.3%10.4%32.1%52.3%35.2%-8.3%-18.6%17.8M-419.8M-1.6M0.0867.33103,1968,253212,72562,782
2024-05-23$44.00$38.0039.2%11.4%30.3%60.8%41.3%9.0%-2.8%18.9M-535.7M-1.8M0.9590.5311,59511,046216,14868,084
2024-05-24$45.45$38.0035.7%10.2%31.0%50.7%38.0%-2.1%7.0%18.1M-619.1M-1.9M0.2766.7018,4514,918218,49079,455
2024-05-28$45.50$38.0039.1%11.0%30.0%60.6%36.6%-0.2%5.9%18.1M-602.0M-1.8M0.1263.8613,8351,625215,63082,656
2024-05-29$44.39$38.0035.3%12.4%32.4%49.5%41.5%3.5%10.2%19.0M-546.0M-1.9M3.1360.952,9379,189227,45682,146
2024-05-30$44.34$40.0042.3%11.5%32.7%69.7%38.2%7.8%-15.0%19.6M-548.3M-1.9M1.1562.501,8522,127229,82687,097
2024-05-31$44.78$40.0042.1%12.2%32.7%69.1%44.4%-3.5%-6.4%18.7M-568.9M-1.9M1.6671.933,2615,411231,29990,696