IP Options History — January 2021

In January 2021, IP traded between $45.75 and $50.07. ATM implied volatility averaged 35.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.5% (HV 20d: 30.4%). Max pain ranged from $47.35 to $47.35. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2021-01-29: Highest Volume — 11,781 contracts
2021-01-25: Largest IV spike — 6.7% change
2021-01-29: Highest IV Rank — 22.1%
2021-01-29: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.34	$45.75	$50.07	$45.75	$47.59
Max Pain	$47.35	$47.35	$47.35	$47.35	$47.35
ATM IV	35.0%	32.4%	40.0%	34.8%	40.0%
Expected Move	10.1%	9.3%	11.9%	10.4%	11.9%
HV 20d	30.4%	19.6%	33.8%	19.6%	33.3%
HV 60d	31.6%	29.7%	32.3%	29.7%	30.4%
IV Rank	16.0%	12.8%	22.1%	15.7%	22.1%
IV Percentile	41.4%	29.8%	60.3%	40.9%	60.3%
Term Structure	-1.4%	-9.3%	1.6%	-0.2%	-5.3%
VWIV	34.8%	30.3%	40.3%	35.5%	40.3%
Skew 25d	7.0%	4.9%	16.7%	5.0%	16.7%
Skew 10d	13.4%	2.5%	31.9%	4.4%	31.9%
Call IV 25d	31.4%	29.5%	36.2%	34.0%	32.8%
Put IV 25d	38.4%	35.4%	49.5%	39.0%	49.5%
Bid-Ask Spread %	27.69	16.38	56.25	21.10	50.37
Gamma HHI	0.14	0.07	0.26	0.18	0.10
Net GEX	4.7M	2.1M	6.8M	3.1M	2.5M
Net DEX	-97.2M	-158.1M	-51.8M	-65.5M	-55.5M
Net VEX	-702.0K	-790.6K	-612.7K	-612.7K	-790.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.13	1.31	0.31	0.44
Total Volume	4,571.579	1,873	11,781	4,596	11,781
Total OI	100,955.211	79,659	120,092	105,114	96,112

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$45.75	$47.35	34.8%	10.4%	19.6%	15.7%	35.5%	5.0%	-0.2%	3.1M	-65.5M	-612.7K	0.31	21.10	3,521	1,075	55,989	49,125
2021-01-05	$47.17	$47.35	34.4%	10.0%	21.5%	15.3%	35.5%	6.4%	-0.7%	4.5M	-93.7M	-646.4K	0.21	28.07	2,078	440	56,855	49,908
2021-01-06	$50.07	$47.35	32.8%	9.8%	29.6%	13.3%	34.4%	5.3%	-0.2%	5.4M	-158.1M	-646.5K	0.29	21.79	7,599	2,169	57,261	50,042
2021-01-07	$49.49	$47.35	33.1%	9.5%	30.1%	13.6%	34.4%	4.9%	1.6%	6.0M	-147.4M	-673.7K	0.87	19.21	1,096	949	60,501	51,106
2021-01-08	$48.68	$47.35	32.6%	9.3%	30.7%	13.0%	30.3%	5.6%	0.7%	5.9M	-126.8M	-673.3K	0.13	21.31	2,764	370	60,568	51,767
2021-01-11	$49.36	$47.35	34.6%	9.7%	29.9%	15.4%	35.6%	6.5%	-0.7%	6.1M	-141.7M	-665.7K	0.19	21.88	4,880	924	61,044	50,986
2021-01-12	$49.76	$47.35	34.5%	9.7%	29.9%	15.4%	33.7%	5.0%	-0.5%	6.6M	-151.4M	-683.9K	0.22	22.63	2,588	564	62,850	51,860
2021-01-13	$48.23	$47.35	35.1%	10.2%	32.0%	16.2%	34.9%	7.0%	-0.0%	5.8M	-112.2M	-685.5K	0.87	34.69	2,961	2,586	63,494	52,249
2021-01-14	$47.61	$47.35	35.0%	10.0%	31.9%	16.0%	32.3%	5.2%	-0.4%	5.2M	-95.4M	-685.7K	0.26	25.72	2,254	578	64,755	54,011
2021-01-15	$47.63	$47.35	33.9%	9.8%	31.8%	14.6%	34.7%	5.8%	0.0%	6.8M	-101.6M	-678.7K	0.35	30.67	4,316	1,529	65,804	54,288
2021-01-19	$47.73	$47.35	35.0%	10.1%	31.8%	16.0%	33.5%	6.6%	-0.2%	3.2M	-61.6M	-681.6K	0.33	21.51	2,561	846	49,385	30,274
2021-01-20	$48.28	$47.35	35.3%	10.1%	31.9%	16.3%	34.6%	7.4%	-2.7%	4.4M	-73.6M	-688.3K	0.67	16.38	3,036	2,020	51,543	30,786
2021-01-21	$49.00	$47.35	33.2%	9.6%	31.8%	13.8%	32.7%	6.1%	-0.5%	5.6M	-89.4M	-727.9K	0.26	20.33	3,406	872	52,970	32,484
2021-01-22	$49.07	$47.35	32.4%	9.3%	31.8%	12.8%	32.4%	5.9%	0.3%	6.1M	-93.4M	-748.7K	0.24	20.46	3,013	717	54,692	32,892
2021-01-25	$48.99	$47.35	34.6%	10.0%	31.8%	15.5%	37.1%	9.0%	0.7%	3.9M	-84.6M	-745.5K	1.00	18.16	2,170	2,171	53,953	32,402
2021-01-26	$49.03	$47.35	36.0%	10.2%	31.7%	17.3%	36.5%	7.0%	-5.0%	4.0M	-87.6M	-768.8K	0.32	22.01	2,133	687	55,435	34,358
2021-01-27	$47.53	$47.35	38.1%	11.4%	33.8%	19.8%	38.2%	10.6%	-9.3%	2.7M	-55.9M	-753.0K	1.31	56.25	1,877	2,456	56,288	34,920
2021-01-28	$47.42	$47.35	39.4%	11.3%	33.6%	21.4%	35.1%	7.3%	-3.3%	2.1M	-51.8M	-781.5K	0.42	53.55	1,318	555	57,854	37,338
2021-01-29	$47.59	$47.35	40.0%	11.9%	33.3%	22.1%	40.3%	16.7%	-5.3%	2.5M	-55.5M	-790.6K	0.44	50.37	8,154	3,627	58,471	37,641