IP Options History — November 2020

In November 2020, IP traded between $42.61 and $48.90. ATM implied volatility averaged 32.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.0% (HV 20d: 36.4%). Max pain ranged from $37.88 to $42.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2020-11-12: Highest Volume — 28,188 contracts
  • 2020-11-04: Largest IV drop — 9.4% change
  • 2020-11-02: Highest IV Rank — 25.1%
  • 2020-11-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.03$42.61$48.90$42.61$46.80
Max Pain$41.62$37.88$42.61$41.67$42.61
ATM IV32.4%29.8%40.0%40.0%32.7%
Expected Move9.6%8.6%12.2%12.2%9.7%
HV 20d36.4%31.4%39.3%31.4%37.1%
HV 60d35.9%34.7%37.5%34.7%35.2%
IV Rank16.1%13.0%25.1%25.1%16.4%
IV Percentile34.4%24.2%61.1%61.1%36.9%
Term Structure0.1%-1.0%1.9%0.1%-0.4%
VWIV34.4%29.0%44.4%44.4%35.0%
Skew 25d5.5%4.0%7.9%7.9%4.8%
Skew 10d12.0%6.5%19.9%12.7%10.4%
Call IV 25d30.5%27.9%36.6%36.6%30.2%
Put IV 25d35.9%32.9%44.5%44.5%35.1%
Bid-Ask Spread %24.7913.7451.8248.2520.66
Gamma HHI0.180.110.340.110.16
Net GEX4.7M2.3M6.8M2.3M3.7M
Net DEX-127.8M-163.9M-88.1M-88.1M-104.5M
Net VEX-454.9K-504.5K-426.4K-504.5K-458.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.081.410.970.36
Total Volume5,682.91,65128,1883,3103,074
Total OI103,891.792,611114,197104,66396,643

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$42.61$41.6740.0%12.2%31.4%25.1%44.4%7.9%0.1%2.3M-88.1M-504.5K0.9748.251,6771,63356,31848,345
2020-11-03$44.09$41.6738.3%12.2%32.0%23.1%41.7%6.7%-0.3%3.2M-118.7M-481.5K0.4451.822,11892556,31848,345
2020-11-04$42.73$41.1934.7%10.6%33.7%18.8%35.6%5.3%0.5%2.5M-92.1M-472.4K0.1150.533,23136157,40150,303
2020-11-05$44.55$37.8832.0%9.4%36.2%15.6%35.7%5.5%1.1%4.8M-136.9M-447.2K1.4129.503,8795,46358,26150,476
2020-11-06$44.24$40.2532.9%9.4%36.5%16.7%35.4%4.9%-0.4%4.1M-124.6M-470.3K0.8221.641,8421,50559,33354,864
2020-11-09$45.32$40.2531.1%9.2%35.0%14.5%33.5%4.0%0.9%5.5M-144.7M-450.7K0.5030.923,1331,57257,74752,580
2020-11-10$46.12$40.2532.1%9.5%35.0%15.7%34.5%4.5%0.7%5.5M-163.9M-430.3K0.5819.403,5972,09658,21052,563
2020-11-11$45.95$40.2531.0%9.4%35.0%14.4%31.5%4.6%1.7%5.6M-160.9M-427.4K0.5013.743,6381,82658,59853,542
2020-11-12$44.50$40.2529.8%8.9%37.1%13.0%30.0%4.9%1.1%4.6M-121.5M-439.2K0.0821.2326,0182,17058,56054,471
2020-11-13$45.47$42.6132.4%9.6%36.7%16.0%35.0%6.3%1.9%5.9M-105.2M-486.1K0.7317.353,3172,40650,24754,671
2020-11-16$47.25$42.6132.4%9.4%38.9%16.1%36.7%5.9%-0.7%5.2M-134.1M-444.6K0.9116.482,8062,55347,92350,150
2020-11-17$47.46$42.6132.5%9.4%38.7%16.2%32.6%6.2%-0.5%5.6M-140.6M-442.0K0.1615.184,99180548,96649,901
2020-11-18$47.22$42.6131.9%9.1%38.9%15.5%33.0%4.9%-0.5%6.4M-137.6M-450.4K0.3617.842,39687150,23350,376
2020-11-19$46.64$42.6131.2%9.0%39.3%14.7%33.1%5.2%-0.3%6.8M-122.5M-458.8K0.3215.554,7411,51051,62650,698
2020-11-20$47.05$42.6131.4%9.0%39.2%14.8%33.8%6.6%-0.0%5.2M-127.1M-462.4K0.3919.502,6181,02653,85752,394
2020-11-23$47.41$42.6130.3%8.6%37.6%13.5%29.0%5.3%-0.4%3.8M-118.5M-444.5K0.2419.353,86094446,55746,054
2020-11-24$48.90$42.6130.0%8.7%37.9%13.3%32.6%4.6%-0.5%4.3M-148.1M-426.4K0.5621.212,7001,51548,95546,527
2020-11-25$48.31$42.6130.8%8.9%35.9%14.2%31.7%6.5%-0.9%4.7M-137.1M-451.7K0.4222.751,16548650,21547,355
2020-11-27$47.94$42.6130.7%9.0%36.1%14.0%34.2%4.5%-1.0%4.6M-129.9M-448.3K0.3822.862,31587550,56947,682
2020-11-30$46.80$42.6132.7%9.7%37.1%16.4%35.0%4.8%-0.4%3.7M-104.5M-458.8K0.3620.662,26481049,46547,178