IP Options History — February 2020

In February 2020, IP traded between $34.37 and $42.20. ATM implied volatility averaged 27.9%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 6.6% (HV 20d: 34.5%). Max pain ranged from $40.25 to $41.19. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2020-02-05: Highest Volume — 6,967 contracts
2020-02-27: Largest IV spike — 21.8% change
2020-02-25: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.88	$34.37	$42.20	$39.06	$34.37
Max Pain	$40.40	$40.25	$41.19	$41.19	$40.25
ATM IV	27.9%	22.0%	51.5%	27.0%	51.5%
Expected Move	8.3%	6.2%	16.6%	8.3%	16.6%
HV 20d	34.5%	27.2%	40.2%	27.2%	40.2%
HV 60d	24.0%	20.2%	28.0%	20.2%	28.0%
IV Rank	49.2%	20.8%	100.0%	53.1%	100.0%
IV Percentile	51.6%	17.5%	100.0%	63.9%	100.0%
Term Structure	-0.5%	-2.8%	0.9%	-0.6%	-2.8%
VWIV	29.3%	21.3%	59.0%	27.4%	59.0%
Skew 25d	4.7%	2.5%	10.6%	4.6%	10.6%
Skew 10d	7.9%	4.1%	16.8%	7.9%	14.1%
Call IV 25d	26.3%	21.3%	48.9%	24.6%	48.9%
Put IV 25d	31.0%	23.9%	59.5%	29.2%	59.5%
Bid-Ask Spread %	14.81	9.15	25.30	10.69	25.30
Gamma HHI	0.12	0.09	0.20	0.10	0.10
Net GEX	1.0M	-1.7M	3.8M	-652.5K	-488.1K
Net DEX	-11.1M	-55.2M	57.6M	12.9M	57.6M
Net VEX	-542.8K	-595.4K	-487.5K	-514.5K	-487.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.13	2.72	0.38	2.72
Total Volume	3,884.947	1,570	6,967	4,923	5,965
Total OI	92,108.158	85,525	102,623	87,941	93,554

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$39.06	$41.19	27.0%	8.3%	27.2%	53.1%	27.4%	4.6%	-0.6%	-652.5K	12.9M	-514.5K	0.38	10.69	3,557	1,366	54,107	33,834
2020-02-04	$39.66	$41.19	25.2%	7.7%	27.3%	41.3%	26.8%	3.5%	-0.3%	90.4K	975.1K	-529.2K	0.98	13.66	904	884	54,368	34,361
2020-02-05	$41.82	$41.19	24.5%	7.4%	33.6%	37.2%	25.9%	3.7%	-0.7%	3.3M	-47.3M	-569.1K	0.61	9.59	4,324	2,643	54,836	34,553
2020-02-06	$42.03	$40.25	23.5%	6.5%	33.4%	30.4%	23.4%	3.3%	-0.5%	3.7M	-53.6M	-580.5K	0.40	10.81	1,124	446	56,400	35,848
2020-02-07	$41.35	$40.25	24.1%	7.0%	33.9%	34.5%	24.2%	3.6%	-0.6%	3.6M	-37.0M	-570.0K	1.59	24.89	671	1,069	56,927	36,021
2020-02-10	$41.38	$40.25	24.4%	7.0%	33.9%	36.2%	29.9%	3.2%	0.7%	2.2M	-33.3M	-561.1K	1.72	16.37	744	1,282	55,622	34,558
2020-02-11	$42.06	$40.25	23.1%	6.4%	34.2%	27.8%	25.9%	3.3%	-0.7%	3.4M	-49.7M	-560.1K	1.57	23.38	1,660	2,605	55,906	35,752
2020-02-12	$42.20	$40.25	22.1%	6.2%	34.2%	21.2%	22.7%	2.5%	-0.3%	3.8M	-55.2M	-559.0K	0.25	9.98	2,930	734	56,473	36,114
2020-02-13	$41.12	$40.25	22.9%	6.8%	35.4%	26.4%	22.5%	2.6%	0.9%	1.3M	-26.3M	-547.4K	0.57	12.92	1,545	885	57,075	36,296
2020-02-14	$40.93	$40.25	22.0%	6.4%	34.6%	20.8%	22.1%	2.6%	0.5%	919.5K	-21.8M	-536.5K	0.75	12.66	1,892	1,415	57,999	36,339
2020-02-18	$40.83	$40.25	22.9%	6.6%	34.3%	26.6%	23.0%	3.0%	0.0%	194.3K	-17.3M	-517.2K	0.87	15.60	2,021	1,750	57,288	35,165
2020-02-19	$40.46	$40.25	22.8%	6.5%	33.5%	25.7%	21.3%	2.7%	0.5%	-1.7M	-9.8M	-512.9K	0.13	15.33	4,730	599	58,348	36,317
2020-02-20	$40.69	$40.25	24.1%	6.9%	33.6%	34.4%	24.3%	4.7%	-0.3%	1.4M	-20.8M	-567.6K	0.17	23.74	5,075	857	59,816	36,570
2020-02-21	$40.91	$40.25	26.4%	7.6%	33.6%	49.0%	26.7%	4.8%	-0.9%	703.0K	-30.6M	-595.4K	0.97	9.95	1,517	1,473	64,082	38,541
2020-02-24	$39.21	$40.25	30.3%	8.8%	35.4%	74.7%	34.3%	6.1%	-0.4%	438.0K	9.0K	-559.2K	1.02	9.15	2,088	2,135	52,929	32,596
2020-02-25	$37.31	$40.25	35.7%	10.6%	38.9%	100.0%	35.2%	8.1%	-0.7%	-780.3K	28.0M	-523.0K	0.95	13.25	3,275	3,118	52,954	34,209
2020-02-26	$36.90	$40.25	35.0%	10.3%	38.8%	96.3%	35.1%	7.8%	-0.8%	-1.2M	39.0M	-526.6K	1.62	10.02	1,435	2,322	54,271	37,153
2020-02-27	$35.50	$40.25	42.7%	13.2%	39.9%	100.0%	46.7%	8.4%	-2.2%	-1.1M	53.0M	-497.1K	1.46	14.12	1,130	1,644	54,599	38,274
2020-02-28	$34.37	$40.25	51.5%	16.6%	40.2%	100.0%	59.0%	10.6%	-2.8%	-488.1K	57.6M	-487.5K	2.72	25.30	1,604	4,361	54,715	38,839