IP Options History — June 2020

In June 2020, IP traded between $31.80 and $37.51. ATM implied volatility averaged 43.1%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 8.7% (HV 20d: 51.8%). Max pain ranged from $30.78 to $37.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-06-23: Highest Volume — 6,691 contracts
  • 2020-06-11: Largest IV spike — 17.8% change
  • 2020-06-11: Highest IV Rank — 37.1%
  • 2020-06-11: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.73$31.80$37.51$32.97$33.46
Max Pain$35.51$30.78$37.88$30.78$35.51
ATM IV43.1%36.9%50.2%39.7%42.8%
Expected Move12.2%10.3%14.1%11.2%11.5%
HV 20d51.8%46.9%58.1%51.1%48.6%
HV 60d61.8%54.3%74.7%74.7%54.7%
IV Rank28.8%21.4%37.1%24.7%28.4%
IV Percentile78.3%73.0%86.9%75.0%74.6%
Term Structure-0.2%-2.8%2.0%-0.2%-0.8%
VWIV44.2%36.6%52.6%41.0%43.0%
Skew 25d8.0%5.6%10.6%8.8%7.8%
Skew 10d16.0%9.7%22.3%20.1%15.4%
Call IV 25d40.3%33.3%48.6%36.2%41.0%
Put IV 25d48.2%41.9%55.6%45.1%48.8%
Bid-Ask Spread %21.278.7245.7022.3216.42
Gamma HHI0.130.080.630.120.10
Net GEX1.5M313.7K5.6M1.3M1.3M
Net DEX-8.3M-61.3M20.7M-2.8M-1.4M
Net VEX-426.5K-500.9K-372.6K-411.9K-414.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.232.060.260.39
Total Volume2,993.2737686,6917681,476
Total OI80,104.72772,24586,00372,24583,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$32.97$30.7839.7%11.2%51.1%24.7%41.0%8.8%-0.2%1.3M-2.8M-411.9K0.2622.3260915944,91827,327
2020-06-02$33.29$30.7839.2%11.4%51.1%24.1%37.9%10.6%0.7%1.4M-6.2M-417.0K0.498.721,19858745,36727,399
2020-06-03$35.05$30.7837.6%10.5%53.8%22.3%36.6%9.3%-0.3%1.8M-27.9M-447.7K0.4817.253,3151,58246,38127,552
2020-06-04$35.56$35.5136.9%10.6%52.4%21.4%36.6%9.0%-0.8%2.1M-36.5M-460.3K0.8416.492,8352,38848,50528,331
2020-06-05$36.99$35.5137.0%10.3%53.6%21.6%40.1%8.0%-1.0%2.0M-57.9M-484.7K0.3020.823,7851,13450,03428,687
2020-06-08$37.51$37.8840.0%10.7%51.6%25.1%43.4%10.6%-2.8%2.0M-61.3M-500.9K1.1028.661,1111,22349,92127,958
2020-06-09$36.46$37.8841.0%11.7%51.3%26.2%38.5%8.7%-0.8%2.0M-45.7M-492.3K0.4222.481,96482950,25828,928
2020-06-10$34.90$37.8842.6%11.6%53.0%28.1%41.2%7.1%-2.0%1.9M-25.6M-467.2K0.8131.501,07887551,30329,477
2020-06-11$32.23$37.8850.2%14.1%58.1%37.1%52.6%8.2%-0.8%1.0M7.7M-418.3K0.6024.672,1881,30251,72929,886
2020-06-12$32.91$37.8848.9%13.7%57.9%35.6%50.3%5.8%-1.4%1.4M867.1K-431.0K1.0329.981,4001,43952,64130,220
2020-06-15$33.09$37.8848.2%13.7%57.0%34.8%50.6%5.6%-0.2%1.4M-3.1M-436.0K1.1645.701,2431,44751,48729,875
2020-06-16$33.69$35.5147.5%13.6%52.6%34.0%46.9%6.6%-1.0%1.6M-8.6M-439.2K0.3524.311,19641752,18230,526
2020-06-17$33.37$35.5146.7%13.4%51.9%33.0%46.3%7.9%-0.7%1.5M-3.5M-425.9K0.2325.382,74263052,64630,631
2020-06-18$33.16$35.5145.1%12.9%51.5%31.1%45.4%6.7%0.8%1.6M-495.6K-419.1K0.6314.841,10669653,96130,913
2020-06-19$33.10$35.5143.6%12.5%51.5%29.4%47.5%8.1%-0.2%5.6M3.0M-404.8K1.0520.861,2321,29454,56531,438
2020-06-22$32.62$35.5142.0%12.0%51.8%27.4%44.6%6.9%2.0%627.6K11.8M-386.6K0.9918.521,8141,79247,27628,603
2020-06-23$33.10$35.5141.7%12.0%49.0%27.1%46.2%8.6%1.8%792.5K8.5M-399.7K0.679.174,0132,67848,75130,134
2020-06-24$31.99$35.5144.5%12.7%48.0%30.4%46.2%7.5%0.8%487.8K17.8M-383.1K1.3321.208461,12751,12330,421
2020-06-25$31.84$35.5144.1%12.6%47.6%29.9%43.4%7.7%1.5%339.3K20.2M-375.3K0.4012.962,04181751,44031,147
2020-06-26$31.80$35.5145.1%13.0%46.9%31.2%49.6%7.6%1.2%313.7K20.7M-372.6K2.0615.999832,02251,45131,603
2020-06-29$33.01$35.5143.8%12.3%48.5%29.6%44.1%8.2%-0.7%811.1K8.2M-395.9K0.2619.662,57566450,07831,649
2020-06-30$33.46$35.5142.8%11.5%48.6%28.4%43.0%7.8%-0.8%1.3M-1.4M-414.1K0.3916.421,06441251,90531,677