IP Options History — July 2020

In July 2020, IP traded between $31.28 and $35.48. ATM implied volatility averaged 40.6%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 3.8% (HV 20d: 36.8%). Max pain ranged from $33.14 to $35.51. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-07-31: Highest Volume — 8,710 contracts
  • 2020-07-02: Largest IV drop — 9.3% change
  • 2020-07-13: Highest IV Rank — 30.6%
  • 2020-07-09: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.87$31.28$35.48$33.05$32.77
Max Pain$33.36$33.14$35.51$35.51$33.14
ATM IV40.6%33.5%44.6%43.4%33.5%
Expected Move11.5%9.9%13.1%11.4%9.9%
HV 20d36.8%32.0%44.8%44.8%36.0%
HV 60d49.4%43.9%53.7%53.6%44.7%
IV Rank25.8%17.3%30.6%29.2%17.3%
IV Percentile67.9%54.8%79.4%75.0%54.8%
Term Structure-0.6%-4.4%1.1%-0.9%0.5%
VWIV39.4%33.1%43.5%38.6%33.1%
Skew 25d7.5%5.6%9.9%9.0%6.0%
Skew 10d14.9%9.2%28.1%17.9%10.7%
Call IV 25d37.0%31.6%42.2%40.0%31.6%
Put IV 25d44.6%37.6%49.1%49.0%37.6%
Bid-Ask Spread %34.2525.5653.2931.8127.31
Gamma HHI0.110.070.160.090.07
Net GEX1.2M-217.3K2.6M1.1M340.1K
Net DEX-4.1M-30.6M29.8M6.8M16.7M
Net VEX-402.1K-430.5K-349.7K-391.1K-375.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.224.460.550.92
Total Volume3,928.59448,7102,4868,710
Total OI83,79369,84797,96284,25684,844

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$33.05$35.5143.4%11.4%44.8%29.2%38.6%9.0%-0.9%1.1M6.8M-391.1K0.5531.811,60288452,54631,710
2020-07-02$33.46$35.5139.4%10.5%44.7%24.4%39.3%5.8%0.3%1.3M2.1M-396.4K1.0238.541,5021,53552,83832,173
2020-07-06$33.90$33.1440.8%12.0%42.3%26.0%40.9%7.0%0.8%1.4M-1.0M-399.2K0.8138.732,6932,18752,42932,296
2020-07-07$33.30$33.1442.3%12.2%41.9%27.9%42.3%7.8%0.5%1.0M6.2M-389.1K0.4035.3067327153,72732,510
2020-07-08$32.31$33.1443.6%12.3%42.1%29.3%43.3%7.2%1.1%371.3K18.3M-369.0K2.9439.999562,81353,81132,719
2020-07-09$31.28$33.1444.5%13.1%40.9%30.4%43.3%6.9%0.6%-217.3K29.8M-349.7K4.4634.451,0954,88154,06734,497
2020-07-10$32.67$33.1443.9%12.4%34.1%29.7%43.5%8.0%0.5%879.4K15.1M-398.2K0.2238.482,27851154,59837,990
2020-07-13$32.88$33.1444.6%12.5%33.3%30.6%42.4%7.0%-0.7%599.1K11.2M-391.7K0.5343.291,27267853,39236,644
2020-07-14$33.67$33.1442.9%12.4%34.3%28.6%41.9%7.8%0.8%1.1M1.6M-403.1K0.2328.023,54080354,17836,765
2020-07-15$34.55$33.1443.8%11.6%35.0%29.5%41.1%7.9%-3.9%2.4M-15.0M-419.0K0.6630.564,4062,90057,11136,905
2020-07-16$35.48$33.1442.3%11.9%35.8%27.8%38.8%9.9%-1.2%2.6M-30.6M-430.5K0.2337.603,77087357,68938,479
2020-07-17$35.02$33.1441.1%11.1%36.1%26.4%38.5%9.4%-4.4%2.3M-20.1M-422.9K0.4253.292,28895959,10438,858
2020-07-20$34.47$33.1442.2%12.0%36.7%27.7%39.3%7.5%-2.2%1.5M-14.0M-407.4K0.3529.482,51988241,96427,883
2020-07-21$34.62$33.1440.7%11.6%36.2%25.9%38.0%9.0%-1.5%1.6M-16.8M-416.8K0.3526.371,05837344,00728,555
2020-07-22$34.75$33.1440.4%11.6%35.9%25.6%38.0%8.3%-2.7%1.8M-19.0M-417.8K0.3129.9494729144,93128,802
2020-07-23$34.71$33.1438.5%11.1%33.3%23.4%36.0%7.8%-0.2%1.8M-18.9M-415.9K1.0030.981,8001,79645,64928,983
2020-07-24$34.40$33.1438.1%11.2%33.5%22.9%38.7%7.9%-1.9%660.6K-12.3M-409.6K0.5430.541,74794346,35930,393
2020-07-27$34.82$33.1436.9%10.8%33.5%21.4%40.5%6.3%-0.0%1.5M-18.8M-415.2K1.4725.561,6602,44645,16629,056
2020-07-28$34.24$33.1438.0%11.2%32.0%22.7%38.9%7.0%-0.1%1.2M-10.2M-411.7K0.4432.811,33458646,43031,213
2020-07-29$34.94$33.1436.6%11.0%32.4%21.1%36.6%5.6%0.3%1.7M-21.7M-417.6K0.7838.763,5192,72947,11131,610
2020-07-30$33.80$33.1434.8%10.0%34.4%18.9%33.2%6.7%0.6%261.1K498.1K-399.3K0.7131.754,5203,19749,53233,922
2020-07-31$32.77$33.1433.5%9.9%36.0%17.3%33.1%6.0%0.5%340.1K16.7M-375.1K0.9227.314,5254,18550,19034,654