IP Options History — October 2020

In October 2020, IP traded between $37.74 and $44.32. ATM implied volatility averaged 39.4%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 6.1% (HV 20d: 33.3%). Max pain ranged from $35.98 to $41.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-10-16: Highest Volume — 16,259 contracts
  • 2020-10-26: Largest IV spike — 7.8% change
  • 2020-10-28: Highest IV Rank — 27.1%
  • 2020-10-28: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.66$37.74$44.32$37.74$41.10
Max Pain$40.35$35.98$41.67$35.98$41.67
ATM IV39.4%38.1%41.7%39.2%40.6%
Expected Move11.3%9.8%12.7%10.1%12.6%
HV 20d33.3%25.5%39.8%39.8%29.9%
HV 60d34.2%33.1%35.4%35.4%34.1%
IV Rank24.4%22.8%27.1%24.2%25.7%
IV Percentile60.5%52.8%68.3%61.5%63.9%
Term Structure-0.2%-2.2%2.4%2.2%-0.2%
VWIV39.4%36.1%43.7%36.5%43.7%
Skew 25d6.1%4.3%7.5%4.6%7.5%
Skew 10d11.7%5.6%14.7%10.8%14.7%
Call IV 25d36.5%35.0%38.9%37.6%37.0%
Put IV 25d42.6%40.5%45.8%42.2%44.5%
Bid-Ask Spread %21.4811.1537.5717.2937.57
Gamma HHI0.160.080.340.120.09
Net GEX3.6M1.3M8.7M3.4M1.3M
Net DEX-107.6M-191.2M-45.5M-45.5M-56.4M
Net VEX-524.2K-546.8K-498.7K-541.6K-524.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.191.890.630.42
Total Volume4,777.3182,40616,2592,9062,988
Total OI112,403.182102,169123,432111,705111,571

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$37.74$35.9839.2%10.1%39.8%24.2%36.5%4.6%2.2%3.4M-45.5M-541.6K0.6317.291,7781,12862,50049,205
2020-10-02$38.45$35.9839.0%9.8%39.5%23.9%36.1%5.2%1.1%8.7M-67.1M-546.8K0.2217.263,42675963,30649,877
2020-10-05$39.29$40.2539.4%11.4%39.2%24.4%38.4%4.3%1.7%3.8M-79.3M-531.5K0.6521.903,7112,40659,62948,279
2020-10-06$38.60$40.2539.2%12.0%36.6%24.2%43.0%6.6%0.7%3.3M-62.6M-529.6K1.7526.011,0291,80461,58549,711
2020-10-07$39.68$40.2538.3%10.9%36.8%23.0%39.3%6.8%1.9%4.4M-89.5M-519.5K1.5326.491,5582,38061,76550,623
2020-10-08$40.22$40.2538.5%11.2%36.7%23.3%38.3%5.5%2.4%5.0M-104.2M-533.5K0.6527.622,6341,70363,52352,304
2020-10-09$40.57$40.2538.7%11.3%36.4%23.5%37.1%5.0%1.6%5.7M-115.9M-524.9K0.5329.104,1192,17064,33453,087
2020-10-12$42.15$40.2539.0%11.0%35.4%23.9%37.3%5.9%-0.6%4.4M-147.3M-498.9K0.2531.285,2361,30563,18851,619
2020-10-13$41.77$40.2539.8%11.0%35.1%24.8%38.7%6.0%-1.7%4.6M-138.8M-514.3K0.4325.283,6031,55064,82852,483
2020-10-14$42.28$40.2540.2%11.1%35.2%25.4%38.6%5.7%-1.2%4.3M-152.6M-514.5K0.9827.521,4181,38565,91653,556
2020-10-15$42.89$40.2539.3%11.0%34.9%24.2%38.4%5.7%-1.2%4.1M-165.0M-507.8K1.0821.222,0922,26965,99954,580
2020-10-16$44.03$40.2539.0%10.7%35.1%23.8%36.2%5.6%-2.2%3.0M-191.2M-498.7K0.3621.2911,9714,28866,79056,642
2020-10-19$44.32$40.2539.7%11.2%32.4%24.8%39.9%6.7%-1.4%3.1M-134.5M-506.1K0.8312.434,0693,35755,33046,839
2020-10-20$43.98$40.2539.1%11.1%32.6%24.0%39.1%6.2%-1.1%3.1M-128.0M-523.5K0.5414.903,2221,72757,53449,769
2020-10-21$44.03$41.1939.3%11.3%28.6%24.3%39.4%6.1%-1.5%3.1M-127.5M-531.0K0.1911.154,06575458,05950,701
2020-10-22$44.10$41.6739.0%11.3%28.5%23.9%39.7%6.7%-1.7%3.3M-130.3M-526.6K0.3717.652,20681359,17051,170
2020-10-23$43.90$41.6738.1%11.1%25.5%22.8%38.4%6.7%-1.7%2.9M-129.5M-524.4K0.2215.361,96544160,61351,509
2020-10-26$42.77$41.6741.0%12.3%28.0%26.3%42.0%7.4%-0.9%2.6M-95.0M-532.4K0.8715.451,6481,44157,89848,882
2020-10-27$42.14$41.6740.2%12.1%27.1%25.3%42.6%6.3%-0.9%2.3M-83.1M-529.5K1.8912.551,5963,02158,36749,004
2020-10-28$40.86$41.6741.7%12.7%29.9%27.1%42.8%6.9%-0.1%1.3M-53.0M-543.5K0.7322.411,9461,42658,78451,077
2020-10-29$41.67$41.6739.5%11.8%29.6%24.5%40.3%6.9%-0.6%1.6M-70.4M-530.1K0.2920.822,08760759,45151,813
2020-10-30$41.10$41.6740.6%12.6%29.9%25.7%43.7%7.5%-0.2%1.3M-56.4M-524.6K0.4237.572,10888059,64951,922