IP Options History — September 2024

In September 2024, IP traded between $47.02 and $49.97. ATM implied volatility averaged 24.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.4% (HV 20d: 18.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2024-09-16: Highest Volume — 16,996 contracts
  • 2024-09-24: Largest IV spike — 27.1% change
  • 2024-09-24: Highest IV Rank — 27.9%
  • 2024-09-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.37$47.02$49.97$47.77$49.03
Max Pain$42.75$42.50$45.00$45.00$42.50
ATM IV24.7%21.0%29.2%23.9%28.2%
Expected Move7.3%7.0%7.7%7.3%7.6%
HV 20d18.2%16.1%19.9%19.9%19.1%
HV 60d24.3%20.8%26.0%26.0%20.9%
IV Rank16.6%8.1%27.9%16.4%25.0%
IV Percentile34.3%2.8%65.1%31.3%58.7%
Term Structure1.9%-3.2%6.6%-0.2%6.6%
VWIV25.6%23.8%28.2%25.2%26.2%
Skew 25d2.7%-5.6%12.5%3.7%-5.6%
Skew 10d5.7%-7.3%25.9%-1.6%25.9%
Call IV 25d22.9%13.9%33.0%13.9%33.0%
Put IV 25d25.6%17.6%28.5%17.6%27.4%
Bid-Ask Spread %71.5759.7079.6776.2766.00
Gamma HHI0.390.270.500.310.49
Net GEX12.0M10.1M14.4M11.1M13.0M
Net DEX-281.2M-354.0M-232.6M-274.7M-282.0M
Net VEX-763.3K-848.5K-693.6K-829.4K-734.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.026.680.100.23
Total Volume4,377.6548516,9963,0741,297
Total OI158,051.9147,373172,903157,821148,706

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$47.77$45.0023.9%7.3%19.9%16.4%25.2%3.7%-0.2%11.1M-274.7M-829.4K0.1076.272,782292106,64451,177
2024-09-04$47.31$45.0021.3%7.3%19.4%8.9%26.0%-0.7%2.3%11.1M-254.2M-811.6K6.6867.559996,669106,84051,355
2024-09-05$47.22$42.5022.2%7.2%17.7%11.5%23.8%0.8%3.5%10.4M-241.8M-848.5K0.2873.051,266354106,71054,876
2024-09-06$47.02$42.5027.6%7.2%17.7%27.1%25.4%12.5%2.7%10.1M-233.0M-846.8K0.3577.70360125107,78255,185
2024-09-09$47.55$42.5024.9%7.6%17.5%19.2%27.0%2.0%1.6%10.7M-255.4M-803.3K0.6773.53451304106,76654,751
2024-09-10$47.22$42.5022.9%7.1%17.8%13.5%25.5%2.9%0.9%10.5M-241.7M-787.1K0.4077.28770308106,99354,779
2024-09-11$47.08$42.5021.9%7.0%16.9%10.7%24.7%3.2%1.2%10.4M-232.6M-793.1K0.4778.73580271107,55555,031
2024-09-12$47.94$42.5021.0%7.0%17.4%8.1%25.7%3.4%1.9%11.9M-268.9M-755.1K0.6379.67911571107,70555,186
2024-09-13$48.66$42.5023.6%7.2%16.1%15.5%24.5%1.1%2.2%12.2M-310.0M-750.9K0.0268.9313,320230108,47955,684
2024-09-16$49.88$42.5025.2%7.2%18.0%20.1%25.1%3.5%0.1%12.2M-344.6M-694.6K0.2669.5313,4463,550102,46055,486
2024-09-17$49.36$42.5025.8%7.4%18.2%17.8%26.0%2.0%-2.9%12.3M-326.0M-725.7K0.1065.6710,281986104,17455,391
2024-09-18$49.69$42.5025.0%7.2%18.1%15.3%25.6%3.3%0.1%14.3M-339.5M-713.2K0.1373.312,731353103,96855,904
2024-09-19$49.97$42.5025.6%7.4%17.6%17.1%25.4%1.7%2.1%14.4M-354.0M-693.6K0.0678.5012,938741104,33756,184
2024-09-20$48.89$42.5024.3%7.2%19.5%12.9%26.5%1.4%-3.2%13.3M-322.8M-776.6K1.7670.781,1422,011116,15356,750
2024-09-23$48.42$42.5022.9%7.1%18.2%8.9%24.7%11.1%5.1%12.6M-260.5M-738.9K0.1772.211,539257100,94846,425
2024-09-24$48.61$42.5029.2%7.3%18.3%27.9%25.0%1.0%-0.6%13.0M-269.0M-742.2K0.0659.701,29079101,85046,578
2024-09-25$48.03$42.5024.4%7.5%18.7%13.5%26.1%2.1%4.2%12.4M-245.7M-738.7K0.5864.24812472102,82046,645
2024-09-26$48.86$42.5026.5%7.4%19.7%19.9%25.6%2.4%6.5%12.8M-281.1M-745.2K0.4567.161,668746103,38247,002
2024-09-27$48.97$42.5027.5%7.7%19.1%22.9%28.2%2.3%3.1%12.5M-287.1M-738.1K0.4171.62462189104,71047,667
2024-09-30$49.03$42.5028.2%7.6%19.1%25.0%26.2%-5.6%6.6%13.0M-282.0M-734.4K0.2366.001,053244101,30147,405