IP Options History — August 2020

In August 2020, IP traded between $33.31 and $35.26. ATM implied volatility averaged 31.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.0% (HV 20d: 30.6%). Max pain ranged from $33.14 to $33.14. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-08-28: Highest Volume — 7,319 contracts
  • 2020-08-19: Largest IV spike — 5.0% change
  • 2020-08-31: Highest IV Rank — 17.1%
  • 2020-08-31: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.29$33.31$35.26$33.63$34.41
Max Pain$33.14$33.14$33.14$33.14$33.14
ATM IV31.6%30.3%33.3%32.8%33.3%
Expected Move9.1%8.5%9.7%9.5%9.7%
HV 20d30.6%26.4%36.9%36.9%29.8%
HV 60d39.6%36.2%44.9%44.9%36.2%
IV Rank15.2%13.6%17.1%16.5%17.1%
IV Percentile50.6%45.6%54.8%54.4%54.8%
Term Structure0.6%-0.8%2.3%-0.8%0.6%
VWIV31.9%30.2%33.9%33.6%32.2%
Skew 25d5.2%3.3%6.4%5.6%6.4%
Skew 10d11.5%6.6%18.8%13.2%11.2%
Call IV 25d29.8%28.1%31.7%31.6%31.0%
Put IV 25d35.0%33.3%37.4%37.2%37.4%
Bid-Ask Spread %23.9715.6944.8425.9615.81
Gamma HHI0.090.070.120.070.10
Net GEX2.1M29.6K3.5M1.2M1.6M
Net DEX-10.6M-30.5M6.9M-25.9K-8.7M
Net VEX-438.1K-478.9K-408.6K-422.4K-439.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.172.910.480.47
Total Volume3,349.4291,0687,3192,5481,943
Total OI86,991.38180,76890,92783,01085,409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$33.63$33.1432.8%9.5%36.9%16.5%33.6%5.6%-0.8%1.2M-25.9K-422.4K0.4825.961,71883048,06634,944
2020-08-04$33.43$33.1432.9%9.7%36.4%16.6%33.3%4.6%-0.2%1.2M2.2M-421.2K1.9723.581,2982,55449,27335,354
2020-08-05$33.78$33.1432.5%9.1%34.7%16.2%32.0%5.0%-0.3%1.5M-3.2M-429.8K0.4717.001,84887349,99737,035
2020-08-06$33.62$33.1432.0%9.4%32.4%15.6%31.3%5.1%0.2%1.4M-6.5K-425.0K2.9144.841,0393,02551,03237,438
2020-08-07$33.61$33.1430.8%9.3%28.7%14.1%32.3%3.3%-0.3%2.0M2.0M-408.6K0.4321.333,0121,30651,29139,636
2020-08-10$34.30$33.1430.7%9.5%29.5%14.1%32.8%4.9%2.1%2.5M-11.9M-427.1K0.4421.042,8041,24149,48836,650
2020-08-11$35.06$33.1431.5%9.2%29.3%15.1%31.8%3.7%0.9%3.4M-30.5M-433.9K0.5531.333,6381,99250,78736,710
2020-08-12$34.75$33.1430.6%8.5%28.1%14.0%30.4%4.4%-0.7%3.5M-23.2M-422.7K0.2021.794,46687851,74237,881
2020-08-13$34.51$33.1430.8%8.9%26.4%14.2%31.0%6.3%0.7%3.1M-17.7M-467.6K1.3530.461,3501,81551,34938,277
2020-08-14$35.19$33.1431.1%9.0%27.0%14.6%31.4%6.2%0.2%3.2M-28.2M-478.9K0.2125.262,99761850,81039,641
2020-08-17$34.65$33.1431.7%9.0%27.0%15.2%32.6%5.0%0.9%2.6M-16.1M-463.5K0.4026.851,41356049,66838,245
2020-08-18$34.37$33.1430.3%8.7%27.1%13.6%30.6%5.5%1.8%2.3M-10.4M-452.9K0.2923.181,10131950,00838,513
2020-08-19$34.28$33.1431.9%9.1%27.1%15.4%30.9%4.2%0.4%2.3M-9.1M-450.2K0.8124.7559047850,13138,504
2020-08-20$33.78$33.1432.7%9.4%27.5%16.4%31.9%5.3%0.0%1.3M231.9K-433.3K0.6420.1082353050,23438,524
2020-08-21$33.31$33.1431.5%8.8%27.8%15.0%30.2%6.0%2.0%29.6K6.9M-421.9K0.6830.932,3771,62350,45838,681
2020-08-24$35.26$33.1431.2%8.8%34.4%14.6%30.9%5.9%1.1%2.5M-21.5M-443.9K0.1815.694,13573444,92635,842
2020-08-25$34.38$33.1431.2%8.8%35.1%14.6%33.9%5.7%0.7%1.9M-10.4M-436.3K0.9522.3880476747,18336,160
2020-08-26$34.18$33.1431.2%9.0%34.3%14.6%30.8%5.3%2.3%1.7M-7.0M-433.2K0.1718.223,10552547,49036,805
2020-08-27$34.75$33.1432.1%9.2%32.7%15.8%31.9%6.1%0.1%2.5M-16.5M-443.2K0.6723.781,13275848,73137,109
2020-08-28$34.95$33.1431.8%9.1%30.4%15.3%33.6%5.4%1.0%2.7M-20.1M-445.8K0.4119.195,1772,14249,20937,588
2020-08-31$34.41$33.1433.3%9.7%29.8%17.1%32.2%6.4%0.6%1.6M-8.7M-439.2K0.4715.811,32661747,81337,596