IP Options History — August 2024

In August 2024, IP traded between $44.30 and $49.00. ATM implied volatility averaged 24.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.3% (HV 20d: 24.6%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2024-08-14: Highest Volume — 36,165 contracts
  • 2024-08-06: Largest IV drop — 24.4% change
  • 2024-08-05: Highest IV Rank — 39.1%
  • 2024-08-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.71$44.30$49.00$46.39$48.20
Max Pain$44.91$44.00$45.00$44.00$45.00
ATM IV24.9%21.3%31.7%31.2%23.3%
Expected Move7.1%6.0%9.1%8.3%6.4%
HV 20d24.6%20.1%26.3%20.5%24.1%
HV 60d28.6%25.9%30.9%30.9%25.9%
IV Rank19.5%9.1%39.1%37.5%14.8%
IV Percentile36.7%9.5%80.6%78.2%27.0%
Term Structure-0.0%-7.7%9.7%-0.5%-3.1%
VWIV25.6%22.2%32.8%28.2%23.7%
Skew 25d2.1%-3.9%6.1%1.9%4.6%
Skew 10d5.1%-0.6%17.3%3.0%5.6%
Call IV 25d23.2%13.3%30.1%26.3%13.3%
Put IV 25d25.4%14.8%36.2%28.2%17.9%
Bid-Ask Spread %60.4431.5079.8159.1179.81
Gamma HHI0.220.160.330.160.27
Net GEX12.1M7.2M16.3M12.2M14.5M
Net DEX-278.1M-367.2M-182.2M-292.3M-293.4M
Net VEX-912.2K-1.1M-737.3K-1.1M-887.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.057.710.720.12
Total Volume5,196.04589236,1651,2922,107
Total OI187,654.5156,031220,410220,410163,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$46.39$44.0031.2%8.3%20.5%37.5%28.2%1.9%-0.5%12.2M-292.3M-1.1M0.7259.11753539134,67985,731
2024-08-02$45.92$44.0026.0%9.0%20.1%22.5%32.2%1.6%9.7%10.7M-265.0M-1.1M0.4759.372,9721,393134,37185,953
2024-08-05$44.30$45.0031.7%9.1%24.4%39.1%32.8%6.1%-0.0%7.2M-182.2M-1.1M0.5260.624,4682,345131,22273,118
2024-08-06$45.25$45.0024.0%8.1%24.9%16.7%29.3%4.2%4.0%9.2M-231.1M-1.0M0.0662.701,935107133,39775,168
2024-08-07$44.38$45.0027.9%8.1%26.2%27.9%28.2%3.0%4.3%7.9M-187.7M-1.0M0.1165.015,808625134,25875,411
2024-08-08$44.84$45.0030.3%7.5%26.3%34.9%27.1%2.7%-4.7%8.7M-213.5M-996.3K2.3359.776721,565137,23075,402
2024-08-09$44.48$45.0025.0%7.3%25.7%19.5%25.8%2.5%-3.8%8.3M-192.9M-998.7K0.2068.863,840776137,76775,330
2024-08-12$44.47$45.0026.3%7.3%25.4%23.3%25.5%3.2%-0.8%8.3M-195.8M-936.3K7.7170.877735,957137,83774,614
2024-08-13$45.31$45.0027.9%7.1%24.1%27.9%25.4%2.0%-7.7%9.3M-243.0M-948.1K0.2156.912,602540138,14074,254
2024-08-14$45.95$45.0026.1%7.3%24.3%22.9%25.4%0.4%1.8%13.5M-286.2M-909.3K0.0770.8333,7432,422139,06074,534
2024-08-15$47.05$45.0022.0%6.6%25.6%10.9%24.1%2.6%1.1%16.3M-296.6M-870.4K0.6558.281,8311,184126,08476,222
2024-08-16$46.95$45.0022.0%6.6%25.6%10.9%23.4%2.0%0.9%16.2M-279.0M-894.6K0.8250.754,7173,859126,54875,159
2024-08-19$47.59$45.0021.6%6.2%25.7%9.8%22.9%2.3%-0.1%14.5M-308.5M-859.2K0.5065.661,202606112,05345,001
2024-08-20$47.41$45.0022.8%6.6%25.5%13.4%23.6%2.3%0.3%14.3M-299.5M-855.4K0.9331.50463429111,97945,376
2024-08-21$48.11$45.0022.9%6.6%25.4%13.7%23.5%2.2%-0.2%14.4M-333.6M-808.0K0.1250.891,831216112,08445,551
2024-08-22$47.97$45.0023.1%6.6%25.0%14.0%23.8%1.8%0.5%14.7M-323.7M-831.0K0.9148.43886804112,27945,693
2024-08-23$49.00$45.0021.3%6.0%25.3%9.1%25.0%2.7%1.1%14.5M-367.2M-790.3K0.2954.263,9821,160112,71346,462
2024-08-26$48.81$45.0022.0%6.3%25.3%11.0%24.6%1.5%0.7%13.7M-350.3M-782.0K0.6552.38806523110,19645,835
2024-08-27$48.80$45.0023.9%6.5%24.0%16.5%22.2%-3.9%-1.0%12.6M-354.9M-737.3K2.6875.632,4466,552110,60148,194
2024-08-28$48.53$45.0022.6%6.5%24.0%12.7%22.9%-0.2%0.6%13.0M-324.7M-863.2K0.2361.072,562601110,52153,907
2024-08-29$47.95$45.0024.8%6.6%24.5%19.1%23.2%1.6%-3.5%13.3M-298.1M-865.0K0.0567.011,62685110,56454,076
2024-08-30$48.20$45.0023.3%6.4%24.1%14.8%23.7%4.6%-3.1%14.5M-293.4M-887.2K0.1279.811,876231109,75654,069