IP Options History — March 2020

In March 2020, IP traded between $25.26 and $35.86. ATM implied volatility averaged 70.4%, placing in the 80.6% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 2.3% (HV 20d: 72.7%). Max pain ranged from $37.88 to $40.25. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2020-03-20: Highest Volume — 5,894 contracts
  • 2020-03-18: Largest IV spike — 33.0% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.33$25.26$35.86$35.54$29.41
Max Pain$39.92$37.88$40.25$40.25$37.88
ATM IV70.4%37.8%103.1%44.1%74.6%
Expected Move19.9%11.1%29.6%13.3%19.6%
HV 20d72.7%35.2%102.0%40.7%101.0%
HV 60d48.1%29.0%63.7%29.1%63.6%
IV Rank80.6%51.7%100.0%77.4%66.2%
IV Percentile98.5%94.0%100.0%99.6%96.8%
Term Structure-4.6%-20.0%5.7%-2.6%-3.1%
VWIV64.3%39.8%85.7%44.2%68.4%
Skew 25d16.7%3.1%52.4%9.3%6.3%
Skew 10d28.6%-13.6%67.2%24.3%-5.8%
Call IV 25d67.3%34.2%94.1%38.7%85.6%
Put IV 25d84.0%43.5%126.6%48.0%92.0%
Bid-Ask Spread %48.9018.3582.0320.1282.03
Gamma HHI0.100.070.130.110.09
Net GEX-263.6K-1.1M314.5K-943.7K314.5K
Net DEX50.6M37.4M65.4M48.1M38.5M
Net VEX-379.8K-494.3K-268.2K-494.3K-331.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.074.490.790.26
Total Volume2,515.6829585,8942,770958
Total OI85,376.36474,18593,61191,67275,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$35.54$40.2544.1%13.3%40.7%77.4%44.2%9.3%-2.6%-943.7K48.1M-494.3K0.7920.121,5461,22453,34038,332
2020-03-03$35.42$40.2543.5%13.5%40.0%75.7%44.7%10.7%-1.3%-864.3K49.3M-484.3K1.6324.621,0781,75653,94938,426
2020-03-04$35.86$40.2537.8%11.1%39.8%58.1%39.8%9.3%-1.8%-1.1M47.8M-483.1K2.3124.767541,74153,95639,131
2020-03-05$34.42$40.2547.9%12.1%35.4%88.8%41.9%14.0%-2.7%-858.4K54.0M-481.7K0.9522.3571167854,22539,274
2020-03-06$33.67$40.2553.8%14.5%35.2%100.0%45.8%13.9%-2.0%-701.9K59.8M-458.6K0.4529.592,3191,04554,30039,311
2020-03-09$30.90$40.2567.8%18.2%44.1%100.0%55.1%17.9%-1.3%-413.4K65.4M-391.0K0.7640.921,4371,09752,29437,529
2020-03-10$32.28$40.2566.1%16.2%48.5%96.4%53.3%15.5%-9.7%-542.5K61.8M-421.7K0.1818.351,67630852,64937,834
2020-03-11$30.41$40.2566.4%17.8%50.0%97.2%58.8%19.1%-1.7%-355.7K65.0M-385.2K4.4932.114441,99052,98437,763
2020-03-12$27.25$40.2585.4%22.7%59.4%100.0%75.4%18.4%-8.5%-179.6K63.3M-331.0K2.1241.111,3662,90153,07936,805
2020-03-13$30.39$40.2591.1%21.4%75.3%100.0%73.2%52.4%-17.4%-257.2K56.4M-389.3K0.5943.051,66697952,81735,928
2020-03-16$28.44$40.2590.7%25.8%77.3%99.5%78.1%21.7%-11.6%-171.4K57.6M-333.1K0.7043.951,15680850,82434,684
2020-03-17$31.15$40.2577.6%22.1%86.4%81.3%69.7%20.2%-5.0%-186.8K46.6M-410.1K0.3940.351,91073651,25334,847
2020-03-18$28.45$40.25103.1%29.6%90.6%100.0%83.9%5.1%-20.0%-39.0K46.9M-379.7K0.3557.681,05937652,59735,308
2020-03-19$28.33$40.2588.4%25.5%90.3%82.6%85.7%20.2%-10.3%34.8K47.5M-378.2K0.8575.5392078152,64135,422
2020-03-20$27.95$40.2579.9%22.9%89.9%72.5%77.2%10.5%1.5%-56.1K57.3M-332.4K0.0764.825,50339153,06235,600
2020-03-23$25.26$40.2582.6%25.7%94.3%75.6%74.7%25.2%5.7%-60.5K46.1M-268.2K0.4372.022,03187244,89330,077
2020-03-24$26.02$40.2569.5%20.9%95.4%60.1%65.8%23.2%-5.0%-56.3K46.9M-269.0K0.4470.351,03445444,90429,833
2020-03-25$28.15$40.2570.7%22.2%101.4%61.5%73.1%10.0%3.6%32.0K41.1M-319.3K0.3474.9588829945,56729,918
2020-03-26$28.93$40.2572.5%20.4%102.0%63.6%68.0%3.1%4.7%84.3K39.2M-330.0K0.4664.471,01646646,21629,988
2020-03-27$29.33$37.8873.6%20.3%101.9%64.9%69.3%5.9%5.0%300.5K37.4M-341.2K0.1468.094,23059646,75329,886
2020-03-30$29.62$37.8862.4%22.2%101.0%51.7%67.5%35.6%-17.2%245.6K37.4M-342.1K0.0764.621,99714844,67829,507
2020-03-31$29.41$37.8874.6%19.6%101.0%66.2%68.4%6.3%-3.1%314.5K38.5M-331.3K0.2682.0376119746,49429,402