IP Options History — December 2024

In December 2024, IP traded between $53.62 and $58.86. ATM implied volatility averaged 26.1%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.2% (HV 20d: 18.9%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2024-12-11: Highest Volume — 20,888 contracts
  • 2024-12-03: Largest IV drop — 18.6% change
  • 2024-12-19: Highest IV Rank — 29.6%
  • 2024-12-19: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.39$53.62$58.86$58.35$53.75
Max Pain$46.07$45.00$52.50$52.50$45.00
ATM IV26.1%23.2%29.8%29.4%28.4%
Expected Move7.4%6.8%8.6%7.6%6.8%
HV 20d18.9%18.0%20.0%19.6%18.8%
HV 60d32.8%32.5%33.1%32.5%32.8%
IV Rank18.1%9.2%29.6%28.2%25.3%
IV Percentile40.4%16.3%63.1%61.9%56.0%
Term Structure0.6%-3.5%4.7%-3.5%-0.2%
VWIV26.4%23.7%30.2%25.8%23.8%
Skew 25d2.7%1.0%8.8%5.2%2.8%
Skew 10d5.0%-0.6%9.7%3.1%4.5%
Call IV 25d25.1%18.1%29.6%22.8%27.3%
Put IV 25d27.8%24.7%32.3%28.0%30.2%
Bid-Ask Spread %69.5662.1976.1871.8662.19
Gamma HHI0.310.190.420.370.23
Net GEX4.1M747.6K6.0M4.5M4.6M
Net DEX-174.9M-230.4M-143.4M-222.4M-153.2M
Net VEX-601.1K-696.4K-532.6K-543.7K-532.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.011.401.400.99
Total Volume2,373.90536820,8884,7161,352
Total OI103,730.42990,655114,49790,65599,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$58.35$52.5029.4%7.6%19.6%28.2%25.8%5.2%-3.5%4.5M-222.4M-543.7K1.4071.861,9622,75455,03235,623
2024-12-03$58.86$52.5023.9%7.4%19.0%11.4%26.4%8.8%-1.2%4.6M-230.4M-547.2K0.0971.741,38812156,40438,548
2024-12-04$57.83$52.5023.9%7.4%19.2%11.5%25.5%1.7%-1.7%5.0M-199.5M-629.9K0.0570.133,72019757,13238,610
2024-12-05$56.75$45.0023.2%7.1%18.9%9.2%24.5%2.5%1.7%4.3M-196.9M-574.2K0.2663.2776419760,23338,689
2024-12-06$56.55$45.0023.6%7.0%18.9%10.6%24.6%1.9%0.6%4.1M-190.2M-590.1K0.1063.521,15311660,54638,673
2024-12-09$55.80$45.0023.9%7.5%18.6%11.5%25.4%2.0%1.7%3.5M-176.4M-580.9K0.4469.6866929260,27138,587
2024-12-10$54.80$45.0024.9%7.4%19.5%14.3%26.0%2.9%0.6%2.6M-149.6M-580.1K1.0467.7057359760,14638,837
2024-12-11$54.36$45.0025.4%7.2%19.6%15.8%26.4%1.7%-0.3%2.2M-143.4M-569.1K0.0169.2420,72516360,16538,789
2024-12-12$54.95$45.0025.7%7.6%18.6%16.8%27.0%1.3%1.0%4.7M-177.6M-661.6K0.1171.412,54929172,62438,881
2024-12-13$55.50$45.0026.2%7.7%18.6%18.3%26.8%2.4%1.1%5.5M-187.1M-696.4K0.0970.281,76316273,94138,959
2024-12-16$55.78$45.0027.2%7.9%18.4%21.6%27.6%1.9%-0.6%6.0M-197.0M-664.5K0.1870.091,16521273,98938,809
2024-12-17$55.32$45.0027.3%7.8%18.0%21.7%27.3%2.0%-0.9%5.4M-187.6M-642.9K1.1873.7920924774,70238,816
2024-12-18$53.81$45.0028.8%8.2%20.0%26.3%29.7%1.5%1.0%4.1M-152.7M-640.9K0.4376.1876232874,68139,018
2024-12-19$53.94$45.0029.8%8.6%18.2%29.6%30.2%2.7%-1.0%3.9M-149.2M-660.6K0.2671.5384722074,79139,110
2024-12-20$54.38$45.0027.6%7.9%18.4%22.8%28.4%2.2%-0.9%4.2M-164.2M-629.6K0.4573.1241818775,33839,159
2024-12-23$54.41$45.0026.6%7.6%18.5%19.5%28.9%3.4%2.9%3.2M-154.5M-601.7K0.4766.2969732866,51835,672
2024-12-24$55.03$45.0024.3%6.8%19.0%12.7%23.7%4.1%2.9%2.1M-169.0M-601.2K0.2170.5662613466,95035,827
2024-12-26$55.13$45.0024.4%6.9%19.0%12.9%26.8%2.5%4.7%747.6K-171.7M-578.6K0.1973.163095966,69835,879
2024-12-27$54.30$45.0025.4%7.0%19.2%16.1%25.3%1.0%4.2%4.9M-149.6M-554.2K0.2272.3860013466,73835,924
2024-12-30$53.62$45.0027.7%6.9%18.7%23.0%24.0%2.0%-0.4%4.8M-150.2M-542.3K0.1862.6973312966,38032,903
2024-12-31$53.75$45.0028.4%6.8%18.8%25.3%23.8%2.8%-0.2%4.6M-153.2M-532.6K0.9962.1968167166,85532,892