IP Options History — December 2020

In December 2020, IP traded between $45.45 and $47.27. ATM implied volatility averaged 31.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.4% (HV 20d: 27.6%). Max pain ranged from $40.25 to $42.61. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-12-23: Highest Volume — 13,233 contracts
  • 2020-12-15: Largest IV drop — 5.6% change
  • 2020-12-10: Highest IV Rank — 16.1%
  • 2020-12-10: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.60$45.45$47.27$47.20$47.01
Max Pain$41.00$40.25$42.61$42.61$42.61
ATM IV31.0%29.3%32.5%31.7%30.6%
Expected Move8.9%8.3%9.7%9.4%8.4%
HV 20d27.6%21.3%35.4%35.4%21.7%
HV 60d32.2%29.5%34.9%34.9%29.5%
IV Rank13.7%10.0%16.1%15.2%10.6%
IV Percentile24.3%15.9%35.7%31.0%20.2%
Term Structure0.9%-0.7%3.0%0.3%2.4%
VWIV31.8%28.6%35.3%33.7%30.5%
Skew 25d5.0%3.9%6.3%4.6%5.5%
Skew 10d10.3%7.8%14.0%10.6%10.4%
Call IV 25d28.9%27.1%30.7%30.0%27.5%
Put IV 25d34.0%32.0%35.3%34.6%32.9%
Bid-Ask Spread %16.527.4525.3618.2316.99
Gamma HHI0.200.120.660.160.18
Net GEX4.6M2.5M16.8M4.2M4.5M
Net DEX-95.9M-115.2M-76.3M-115.2M-90.7M
Net VEX-473.3K-640.2K-410.2K-461.0K-640.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.101.790.620.36
Total Volume3,348.3181,13013,2332,3922,118
Total OI100,321.04585,331106,62799,012106,627

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$47.20$42.6131.7%9.4%35.4%15.2%33.7%4.6%0.3%4.2M-115.2M-461.0K0.6218.231,47891451,25047,762
2020-12-02$47.17$42.6131.3%9.2%33.7%14.7%32.9%5.2%0.7%4.3M-114.3M-457.1K0.5619.491,03858151,81648,364
2020-12-03$45.45$40.2532.2%9.5%34.6%15.8%32.6%3.9%0.2%3.1M-79.7M-458.2K0.6818.853,0872,09752,40148,527
2020-12-04$46.32$40.2530.5%8.7%32.0%13.8%32.5%4.6%0.9%3.1M-94.4M-456.5K0.3610.522,56391252,20249,897
2020-12-07$45.95$40.2531.5%9.4%32.0%15.0%34.1%4.4%1.0%3.1M-88.4M-449.2K0.3321.301,83460151,45149,031
2020-12-08$46.34$40.2531.8%9.0%31.1%15.2%30.1%5.0%-0.6%3.5M-96.2M-442.0K0.1018.882,46824452,16549,300
2020-12-09$46.92$40.2531.1%9.0%30.8%14.4%32.4%5.5%0.4%4.3M-111.0M-440.1K0.287.452,93182353,70649,405
2020-12-10$46.02$40.2532.5%9.7%31.6%16.1%34.2%4.4%1.5%3.4M-90.3M-448.0K0.4212.731,96083254,13549,684
2020-12-11$46.09$40.2532.0%9.5%29.2%15.5%32.7%5.1%1.6%3.1M-91.4M-452.8K0.5411.2296051454,68050,093
2020-12-14$45.52$40.2532.4%9.4%28.6%16.0%34.1%4.6%-0.7%2.5M-76.3M-425.4K0.2412.842,51361553,29848,957
2020-12-15$46.32$40.2530.6%8.8%25.7%13.8%31.5%5.4%0.3%3.7M-92.6M-428.2K0.4813.6490443453,89649,333
2020-12-16$46.75$40.2530.5%8.7%25.9%13.7%31.9%5.0%0.4%4.8M-102.2M-423.6K0.2913.2787925154,00449,593
2020-12-17$47.03$40.2530.5%8.7%25.9%13.8%35.3%5.6%0.2%6.4M-107.7M-418.8K0.1914.503,06359554,30249,715
2020-12-18$47.27$40.2530.2%8.6%25.6%13.4%32.7%5.8%1.0%16.8M-115.0M-417.9K0.5613.131,32473955,76450,175
2020-12-21$46.63$40.2531.6%9.3%25.9%15.0%31.0%6.3%0.2%3.4M-87.0M-410.2K0.2222.492,80360445,77039,561
2020-12-22$46.73$40.2530.4%8.8%25.7%13.6%30.5%4.7%0.8%4.0M-91.5M-418.1K0.1920.201,75234047,96040,079
2020-12-23$47.12$40.2529.3%8.4%23.2%11.9%30.2%5.0%0.7%4.8M-99.7M-410.5K0.8818.617,0506,18348,88040,312
2020-12-24$47.01$42.6129.8%8.3%22.8%11.5%29.0%5.3%0.9%5.8M-94.5M-588.3K0.7420.6582360655,48146,167
2020-12-28$46.82$42.6130.4%8.7%22.7%11.4%28.6%4.3%2.3%4.1M-89.9M-580.6K0.1318.075,03864852,59145,222
2020-12-29$46.40$42.6130.2%8.7%21.3%10.0%30.4%5.3%3.0%4.0M-85.3M-588.3K0.7515.041,7161,28655,41745,730
2020-12-30$47.04$42.6130.3%8.3%21.7%10.2%29.3%5.6%2.5%4.9M-96.5M-596.4K1.7925.361,9853,55756,03046,330
2020-12-31$47.01$42.6130.6%8.4%21.7%10.6%30.5%5.5%2.4%4.5M-90.7M-640.2K0.3616.991,55356556,86949,758