IP Options History — January 2020

In January 2020, IP traded between $38.40 and $43.26. ATM implied volatility averaged 24.9%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.0% (HV 20d: 16.9%). Max pain ranged from $41.19 to $42.61. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-01-29: Highest Volume — 13,833 contracts
  • 2020-01-31: Largest IV spike — 13.6% change
  • 2020-01-27: Highest IV Rank — 65.1%
  • 2020-01-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$38.40$43.26$43.06$38.40
Max Pain$42.55$41.19$42.61$42.61$41.19
ATM IV24.9%22.6%28.8%23.5%27.8%
Expected Move7.3%5.8%8.8%5.8%8.6%
HV 20d16.9%12.6%26.3%15.3%26.3%
HV 60d18.4%17.0%20.2%19.9%20.2%
IV Rank39.1%24.7%65.1%25.9%58.5%
IV Percentile43.6%23.8%84.5%31.0%73.0%
Term Structure-0.3%-1.9%1.8%0.1%-0.6%
VWIV25.1%20.5%30.4%20.5%29.9%
Skew 25d3.2%2.3%4.5%2.6%4.5%
Skew 10d6.6%5.4%8.1%5.5%7.8%
Call IV 25d23.4%21.1%25.9%22.8%25.9%
Put IV 25d26.6%23.5%30.3%25.4%30.3%
Bid-Ask Spread %10.305.3320.8911.7412.25
Gamma HHI0.140.100.230.230.10
Net GEX1.3M-3.0M4.5M4.2M-734.7K
Net DEX-25.1M-99.4M34.8M-54.6M34.8M
Net VEX-524.8K-590.8K-475.8K-518.5K-503.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.061.741.341.38
Total Volume5,757.5711,73413,8332,6016,706
Total OI102,865.14375,369125,069108,18995,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$43.06$42.6123.5%5.8%15.3%25.9%20.5%2.6%0.1%4.2M-54.6M-518.5K1.3411.741,1111,49064,27343,916
2020-01-03$42.40$42.6124.2%6.1%16.1%29.7%21.3%3.3%-0.1%2.4M-31.8M-514.8K1.289.771,6532,12064,29044,810
2020-01-06$41.56$42.6124.9%7.2%16.9%39.4%26.1%3.2%-0.3%15.9K-6.6M-486.1K1.2811.952,3753,05064,03945,224
2020-01-07$41.27$42.6125.4%7.6%14.8%42.7%25.4%2.9%-0.6%-1.2M4.2M-480.8K0.4812.781,79885665,42147,591
2020-01-08$41.75$42.6124.3%7.1%15.6%35.9%24.6%2.6%0.1%-522.9K-9.3M-489.6K0.0611.576,24136965,02448,226
2020-01-09$41.73$42.6124.2%6.9%12.6%34.8%25.1%2.6%-0.1%-475.2K-10.4M-490.2K0.7611.1998774767,23848,420
2020-01-10$41.67$42.6123.5%6.9%12.6%30.6%22.2%2.7%-0.4%-3.0M-5.6M-475.8K0.3611.984,9131,76067,52948,652
2020-01-13$42.07$42.6123.6%7.0%13.0%30.9%24.8%2.7%0.5%1.6M-23.2M-494.4K0.405.331,67867866,17448,484
2020-01-14$42.00$42.6123.6%6.9%13.0%30.9%24.7%2.8%0.5%1.8M-22.9M-500.8K0.077.007,43355767,93848,881
2020-01-15$42.05$42.6123.1%6.9%13.0%27.5%24.5%2.8%0.7%2.4M-29.9M-520.5K0.448.341,93985670,16349,282
2020-01-16$42.90$42.6122.6%6.8%14.8%24.7%22.4%2.6%1.4%4.5M-73.5M-530.3K0.175.657,0871,21971,33250,443
2020-01-17$43.26$42.6122.7%6.8%15.1%24.9%23.2%2.3%1.8%4.4M-99.4M-540.1K0.365.457,3812,62174,57550,494
2020-01-21$42.22$42.6125.3%7.3%17.1%42.0%25.5%3.4%-1.4%3.0M-43.2M-539.2K0.5310.357,9954,24747,93127,438
2020-01-22$42.19$42.6125.3%7.2%17.0%41.8%23.9%3.3%-1.5%3.0M-45.6M-586.4K0.788.171,6371,27154,42530,666
2020-01-23$42.33$42.6125.9%7.5%17.0%45.9%26.4%3.0%-1.9%3.5M-50.6M-590.8K0.868.852,4432,10455,40431,040
2020-01-24$41.13$42.6127.3%8.0%19.5%55.0%26.7%3.5%-1.8%1.5M-21.5M-574.7K1.7410.491,7913,11056,48231,836
2020-01-27$40.39$42.6128.8%8.8%20.2%65.1%30.4%4.5%-0.8%690.4K-10.5M-553.4K1.427.691,8822,66653,47030,457
2020-01-28$40.55$42.6126.9%8.2%20.4%52.3%27.7%4.1%-0.4%535.7K-11.6M-546.8K0.3912.541,48157753,57631,586
2020-01-29$41.15$42.6126.0%8.0%21.3%47.0%28.3%4.1%-0.0%1.5M-24.3M-559.4K1.0212.426,8317,00253,21231,703
2020-01-30$40.01$42.6124.5%7.3%22.9%36.8%23.7%3.4%-0.6%-1.7M8.8M-524.6K1.2820.893,6224,62557,73835,456
2020-01-31$38.40$41.1927.8%8.6%26.3%58.5%29.9%4.5%-0.6%-734.7K34.8M-503.8K1.3812.252,8153,89159,21136,118