IP Options History — November 2024

In November 2024, IP traded between $55.52 and $59.55. ATM implied volatility averaged 24.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 22.4% (HV 20d: 46.3%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2024-11-14: Highest Volume — 24,262 contracts
  • 2024-11-07: Largest IV drop — 15.3% change
  • 2024-11-05: Highest IV Rank — 23.8%
  • 2024-11-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.96$55.52$59.55$55.52$58.94
Max Pain$51.85$47.50$52.50$49.50$52.50
ATM IV24.0%20.2%27.8%26.7%27.0%
Expected Move6.9%6.1%8.3%8.3%7.3%
HV 20d46.3%19.1%49.8%49.4%19.1%
HV 60d32.4%32.1%32.6%32.1%32.4%
IV Rank11.6%0.0%23.8%20.3%21.0%
IV Percentile26.4%0.0%52.8%49.2%50.0%
Term Structure0.1%-2.7%3.5%1.9%-1.3%
VWIV24.6%21.9%29.9%29.9%24.9%
Skew 25d2.3%-7.2%8.6%-7.2%2.0%
Skew 10d4.1%-11.2%11.5%-7.5%5.1%
Call IV 25d22.7%19.8%26.6%26.6%23.8%
Put IV 25d25.0%19.4%30.4%19.4%25.8%
Bid-Ask Spread %78.9064.8888.8084.0684.02
Gamma HHI0.260.100.450.100.39
Net GEX4.6M3.2M8.1M4.1M4.9M
Net DEX-242.0M-292.4M-205.3M-237.6M-230.1M
Net VEX-589.2K-647.5K-542.3K-568.9K-543.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.011.390.160.30
Total Volume3,425.542224,2622,863488
Total OI100,172.9586,799113,561113,54691,245

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$55.52$49.5026.7%8.3%49.4%20.3%29.9%-7.2%1.9%4.1M-237.6M-568.9K0.1684.062,47438958,29955,247
2024-11-04$56.50$47.5026.2%7.4%48.6%18.8%26.2%1.2%3.2%3.3M-245.0M-542.3K0.1969.754,52185056,73343,342
2024-11-05$57.53$47.5027.8%7.6%48.6%23.8%27.5%8.6%-0.7%3.2M-248.5M-591.4K0.2664.889,6742,49957,20043,936
2024-11-06$58.68$52.5025.6%7.4%48.2%15.7%25.7%3.6%-2.5%4.0M-287.4M-608.3K0.1167.182,16823964,39646,249
2024-11-07$58.59$52.5021.7%6.7%48.1%2.2%23.4%2.1%3.5%4.0M-292.4M-566.2K0.2374.401,12625565,10546,441
2024-11-08$57.63$52.5020.2%6.3%48.7%0.0%22.6%4.7%1.6%4.9M-268.6M-645.5K0.1480.711,46219865,76546,395
2024-11-11$57.58$52.5022.3%6.7%48.7%6.5%23.9%2.5%1.0%4.9M-270.5M-599.0K0.6275.8574245965,03346,093
2024-11-12$57.50$52.5024.2%6.8%48.4%12.4%26.7%2.8%-1.3%4.9M-269.8M-590.9K0.1782.071,45424865,31246,418
2024-11-13$56.19$52.5023.3%7.1%49.8%9.5%24.7%3.9%0.3%4.7M-244.4M-647.5K0.2583.171,14628766,54846,544
2024-11-14$56.75$52.5025.0%6.7%48.0%14.8%24.0%1.8%-2.1%5.0M-259.2M-620.0K0.0178.4124,13213066,94846,613
2024-11-15$57.28$52.5022.2%6.1%47.8%6.2%22.1%2.5%-1.6%8.1M-205.9M-590.6K0.1381.2898713254,42446,713
2024-11-18$57.89$52.5022.4%6.4%47.7%6.8%24.1%2.1%1.5%4.4M-205.3M-635.4K0.1379.981,44718752,86634,300
2024-11-19$57.96$52.5021.2%6.1%47.7%3.2%22.7%1.9%0.0%4.2M-210.0M-579.4K1.3977.3553474252,37634,423
2024-11-20$59.11$52.5021.6%6.2%47.2%4.4%21.9%1.9%-0.5%4.2M-226.0M-563.1K0.1582.394,02059452,46935,106
2024-11-21$59.45$52.5024.8%7.1%46.7%14.3%24.4%3.1%0.6%4.7M-235.5M-561.3K0.6879.5554437154,38835,325
2024-11-22$59.19$52.5023.9%6.9%46.8%11.3%24.0%1.4%0.7%4.8M-225.3M-612.9K0.1982.701,21423154,49435,627
2024-11-25$59.55$52.5023.7%6.8%46.8%10.9%24.1%1.8%1.1%4.6M-238.3M-543.7K0.2680.8268418154,17535,596
2024-11-26$59.02$52.5024.9%7.3%45.4%14.4%25.1%1.1%-2.7%4.7M-225.1M-578.5K0.2088.801,06321654,52235,695
2024-11-27$58.33$52.5024.9%7.2%45.2%14.6%24.6%3.6%-0.6%5.1M-214.3M-595.1K0.5980.7226615655,34035,758
2024-11-29$58.94$52.5027.0%7.3%19.1%21.0%24.9%2.0%-1.3%4.9M-230.1M-543.8K0.3084.0237511355,43335,812