IP Options History — September 2020

In September 2020, IP traded between $35.35 and $40.61. ATM implied volatility averaged 36.0%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.6% (HV 20d: 38.6%). Max pain ranged from $33.14 to $35.98. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2020-09-25: Highest Volume — 15,073 contracts
  • 2020-09-17: Largest IV spike — 12.0% change
  • 2020-09-30: Highest IV Rank — 24.1%
  • 2020-09-08: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.83$35.35$40.61$35.35$38.30
Max Pain$35.38$33.14$35.98$33.14$35.98
ATM IV36.0%32.0%39.1%32.6%39.1%
Expected Move10.1%9.1%11.1%9.1%9.8%
HV 20d38.6%31.0%42.0%31.0%41.2%
HV 60d34.8%32.3%36.9%36.6%35.9%
IV Rank20.3%15.6%24.1%16.3%24.1%
IV Percentile56.5%48.0%61.1%52.8%61.1%
Term Structure0.9%-1.7%3.0%0.1%0.8%
VWIV35.4%31.7%39.0%31.7%33.9%
Skew 25d6.1%3.9%7.5%6.1%5.5%
Skew 10d13.9%9.7%24.6%10.6%10.3%
Call IV 25d33.6%30.1%37.1%30.6%36.7%
Put IV 25d39.7%36.4%43.2%36.7%42.2%
Bid-Ask Spread %19.1515.1724.7219.8618.78
Gamma HHI0.130.100.160.100.12
Net GEX3.4M2.5M4.2M2.8M3.6M
Net DEX-67.9M-131.1M-26.2M-26.2M-60.4M
Net VEX-507.9K-557.1K-456.9K-456.9K-537.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.082.030.080.63
Total Volume5,295.191,22315,0734,4193,582
Total OI99,688.57186,395110,44686,395110,446

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$35.35$33.1432.6%9.1%31.0%16.3%31.7%6.1%0.1%2.8M-26.2M-456.9K0.0819.864,08133848,33438,061
2020-09-02$36.67$33.1434.4%9.4%33.2%18.5%32.3%5.5%0.7%3.8M-56.2M-485.2K0.1922.753,47767351,39338,338
2020-09-03$36.01$35.5136.8%10.7%34.0%21.3%36.7%5.6%-0.7%4.2M-44.6M-489.3K0.9819.381,9601,92753,22538,675
2020-09-04$36.98$35.5135.4%10.0%34.9%19.7%33.1%6.0%-0.2%4.0M-67.0M-494.8K0.4219.837,8953,29854,19439,921
2020-09-08$35.51$35.5139.0%11.1%37.9%23.9%37.6%7.0%-0.0%2.5M-30.2M-483.0K1.4824.721,7062,51954,12039,479
2020-09-09$36.38$35.5134.6%10.4%38.0%18.7%35.2%6.4%1.4%3.2M-46.0M-496.6K0.6417.751,08269354,84341,094
2020-09-10$36.14$35.5135.9%10.4%38.0%20.2%35.3%7.5%0.4%3.2M-40.0M-481.0K1.0615.1759562855,16941,340
2020-09-11$36.87$35.5133.7%9.4%38.3%17.6%33.5%5.7%-1.7%3.6M-55.7M-490.2K0.4319.653,2121,37955,46941,638
2020-09-14$38.58$35.5135.1%10.1%40.8%19.3%35.4%6.5%-1.4%3.9M-89.3M-484.7K0.4518.053,6271,64155,12040,825
2020-09-15$39.38$35.5132.0%9.1%40.5%15.6%34.0%6.4%1.5%4.0M-107.5M-476.2K0.5619.894,2992,40356,24841,758
2020-09-16$39.82$35.5132.4%9.3%40.1%16.0%33.8%6.7%0.9%3.7M-115.2M-496.8K0.8019.723,0192,40557,43843,452
2020-09-17$40.61$35.5136.2%10.4%40.2%20.6%35.9%3.9%0.2%3.2M-131.1M-506.6K0.3417.796,4082,15658,58743,371
2020-09-18$39.96$35.5135.9%10.2%40.3%20.2%36.0%5.6%1.1%3.4M-120.4M-524.6K2.0318.042,6295,34362,35744,840
2020-09-21$38.73$35.5137.4%10.7%42.0%22.0%37.4%6.0%2.5%3.2M-72.4M-521.4K0.8516.433,3842,87457,27342,013
2020-09-22$38.54$35.5136.0%10.3%37.9%20.3%36.1%6.2%3.0%3.2M-66.4M-530.2K0.6616.111,9881,31758,03743,899
2020-09-23$37.20$35.5136.8%10.7%39.1%21.3%36.7%5.7%2.9%2.6M-37.2M-533.3K0.6117.161,6621,02159,17344,875
2020-09-24$37.17$35.5137.8%10.6%39.0%22.5%36.7%7.1%1.6%2.7M-35.2M-530.8K0.9418.561,6111,51059,88445,151
2020-09-25$38.85$35.9837.9%10.3%41.3%22.5%39.0%6.5%1.8%3.6M-79.1M-557.1K0.2424.0412,2022,87160,72845,961
2020-09-28$39.15$35.9837.8%9.9%41.4%22.5%37.5%5.7%1.6%3.9M-83.7M-539.8K1.2723.032,2482,85061,05745,868
2020-09-29$38.27$35.9839.0%10.4%41.9%23.9%35.8%6.2%1.4%3.5M-62.1M-550.1K0.8015.381,4901,19662,12147,685
2020-09-30$38.30$35.9839.1%9.8%41.2%24.1%33.9%5.5%0.8%3.6M-60.4M-537.8K0.6318.782,1911,39161,95148,495