IP Options History — May 2020

In May 2020, IP traded between $29.06 and $33.85. ATM implied volatility averaged 43.3%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 18.1% (HV 20d: 61.4%). Max pain ranged from $30.78 to $33.14. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-05-22: Highest Volume — 5,187 contracts
  • 2020-05-18: Largest IV drop — 10.5% change
  • 2020-05-01: Highest IV Rank — 35.8%
  • 2020-05-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.29$29.06$33.85$31.89$32.40
Max Pain$30.89$30.78$33.14$30.78$30.78
ATM IV43.3%39.6%49.0%49.0%40.8%
Expected Move12.3%11.2%14.7%14.7%11.3%
HV 20d61.4%51.3%66.2%66.2%51.3%
HV 60d73.7%71.9%75.3%71.9%75.1%
IV Rank29.0%24.6%35.8%35.8%26.0%
IV Percentile80.6%75.8%86.5%86.5%77.0%
Term Structure0.2%-1.7%2.1%-0.7%-0.5%
VWIV43.1%38.4%49.2%49.2%43.0%
Skew 25d9.8%7.5%12.1%11.3%9.4%
Skew 10d20.0%15.2%27.5%27.5%21.4%
Call IV 25d39.3%35.6%43.7%43.7%36.4%
Put IV 25d49.0%43.7%55.0%55.0%45.8%
Bid-Ask Spread %28.7415.3363.3563.3522.07
Gamma HHI0.140.090.190.140.11
Net GEX723.4K-131.1K1.5M1.0M1.2M
Net DEX12.2M-16.7M33.6M4.3M-1.8M
Net VEX-364.5K-429.0K-307.8K-388.7K-405.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.201.620.390.58
Total Volume2,651.451,1935,1873,0841,664
Total OI71,057.2564,97376,46671,98676,466

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$31.89$30.7849.0%14.7%66.2%35.8%49.2%11.3%-0.7%1.0M4.3M-388.7K0.3963.352,22386146,45825,528
2020-05-04$31.68$30.7847.6%13.8%65.5%34.1%46.1%11.7%-0.6%867.4K8.7M-379.0K0.2942.271,84153542,53125,363
2020-05-05$31.47$30.7846.9%13.3%62.6%33.3%44.9%11.3%1.1%923.1K9.2M-376.8K0.6138.3792556643,78925,616
2020-05-06$30.59$30.7847.1%13.3%63.6%33.5%49.2%12.1%0.0%556.9K17.8M-355.6K0.9026.5062856544,41926,088
2020-05-07$30.91$30.7845.1%12.8%60.5%31.1%45.1%9.0%-0.5%640.1K16.6M-357.1K1.0425.8865467844,82926,619
2020-05-08$32.43$30.7841.3%11.3%61.5%26.7%43.4%10.0%0.3%1.3M1.7M-389.9K0.4741.641,83787245,12726,929
2020-05-11$31.40$30.7843.5%12.5%62.5%29.3%39.9%10.3%-0.3%675.9K13.7M-361.0K0.9028.5378570644,44926,798
2020-05-12$30.53$30.7843.5%12.0%62.6%29.2%44.7%10.5%-1.3%338.8K21.2M-347.6K1.6238.267791,26045,28227,150
2020-05-13$29.06$33.1444.5%13.5%62.3%30.5%44.2%8.3%2.1%-131.1K33.6M-307.8K0.3718.271,94371945,42628,261
2020-05-14$29.83$30.7845.8%12.6%61.0%31.9%48.7%10.5%-1.7%-121.3K28.1M-328.8K1.1324.3968577345,45728,671
2020-05-15$29.19$30.7845.4%13.1%59.1%31.5%43.2%10.1%0.9%121.3K33.1M-316.0K0.7129.681,9101,36145,63328,896
2020-05-18$31.19$30.7840.6%11.5%62.6%25.8%39.6%9.0%1.8%488.2K15.8M-353.4K0.3233.851,68353138,48526,488
2020-05-19$30.48$30.7842.2%12.0%62.6%27.7%41.2%8.6%2.1%397.6K21.4M-337.9K0.6925.6799568439,59026,786
2020-05-20$31.22$30.7840.4%11.6%63.0%25.6%38.4%8.7%1.6%720.1K14.7M-354.8K0.2015.333,69773940,04827,106
2020-05-21$31.16$30.7841.2%11.8%62.8%26.5%40.1%8.9%0.6%921.8K14.5M-352.8K0.3316.421,39645842,71427,394
2020-05-22$30.92$30.7839.6%11.2%62.7%24.6%39.0%7.5%1.2%555.1K18.5M-339.8K0.7820.332,9162,27143,39227,644
2020-05-26$32.49$30.7840.9%11.5%62.6%26.1%40.4%10.2%-0.8%1.0M-37.7K-388.7K0.2620.764,1101,07341,99627,057
2020-05-27$33.85$30.7840.2%11.7%56.6%25.3%42.5%9.9%-0.8%1.4M-16.7M-429.0K0.4718.082,5051,17644,90527,585
2020-05-28$33.16$30.7840.0%11.2%56.1%25.1%40.2%8.1%-0.4%1.5M-10.6M-418.8K0.6125.192,5041,52146,06428,106
2020-05-29$32.40$30.7840.8%11.3%51.3%26.0%43.0%9.4%-0.5%1.2M-1.8M-405.5K0.5822.071,05361147,23029,236