IP Options History — February 2021

In February 2021, IP traded between $44.28 and $48.27. ATM implied volatility averaged 31.3%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 3.8% (HV 20d: 35.1%). Max pain ranged from $44.98 to $49.72. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2021-02-24: Highest Volume — 10,254 contracts
2021-02-19: Largest IV drop — 7.0% change
2021-02-01: Highest IV Rank — 18.8%
2021-02-01: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.48	$44.28	$48.27	$47.18	$47.34
Max Pain	$45.93	$44.98	$49.72	$47.35	$47.35
ATM IV	31.3%	29.2%	37.3%	37.3%	31.8%
Expected Move	9.1%	8.3%	11.8%	11.8%	8.9%
HV 20d	35.1%	30.5%	36.8%	33.5%	35.4%
HV 60d	30.9%	27.9%	32.8%	29.8%	30.2%
IV Rank	9.1%	1.3%	18.8%	18.8%	3.6%
IV Percentile	15.2%	2.0%	45.6%	45.6%	21.4%
Term Structure	0.0%	-2.4%	2.2%	-1.0%	-0.9%
VWIV	31.9%	29.3%	40.2%	40.2%	33.8%
Skew 25d	4.5%	2.7%	6.5%	6.3%	5.9%
Skew 10d	9.1%	3.8%	14.8%	12.8%	14.8%
Call IV 25d	29.4%	27.5%	33.7%	33.7%	29.2%
Put IV 25d	33.9%	31.7%	40.0%	40.0%	35.1%
Bid-Ask Spread %	33.96	20.06	55.77	51.25	44.81
Gamma HHI	0.11	0.07	0.14	0.10	0.13
Net GEX	2.6M	321.9K	4.3M	2.6M	3.7M
Net DEX	-45.5M	-89.6M	3.2M	-50.8M	-61.1M
Net VEX	-891.2K	-1.1M	-777.4K	-872.3K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.19	2.25	0.37	1.18
Total Volume	4,404.526	1,515	10,254	4,800	2,484
Total OI	107,851.895	98,541	120,033	99,165	120,033

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
2021-02-01	$47.18	$47.35	37.3%	11.8%	33.5%	18.8%	40.2%	6.3%	-1.0%	2.6M	-50.8M	-872.3K	0.37	51.25	3,514	1,286	60,799	38,366
2021-02-02	$47.85	$47.35	34.9%	11.1%	32.2%	15.9%	38.7%	4.9%	-0.9%	3.7M	-68.0M	-878.4K	0.24	47.40	1,221	294	63,308	39,476
2021-02-03	$48.12	$47.35	33.3%	10.8%	30.5%	13.8%	37.3%	3.9%	-0.5%	4.1M	-74.3M	-870.2K	1.71	55.77	1,409	2,408	63,889	39,733
2021-02-04	$44.28	$49.72	31.4%	8.8%	35.7%	11.5%	31.2%	4.0%	-2.4%	321.9K	3.2M	-777.4K	0.55	27.73	5,270	2,918	67,562	40,117
2021-02-05	$44.67	$44.98	29.4%	8.5%	36.0%	9.1%	30.0%	3.8%	0.8%	620.7K	-2.9M	-795.6K	0.40	30.67	2,798	1,129	68,907	41,406
2021-02-08	$45.27	$44.98	30.3%	8.9%	36.3%	10.2%	30.6%	4.0%	1.1%	1.2M	-19.7M	-826.3K	0.34	27.45	3,251	1,093	66,036	40,108
2021-02-09	$45.54	$44.98	29.7%	8.8%	35.9%	9.4%	30.1%	4.3%	1.1%	1.5M	-26.3M	-830.7K	0.19	22.16	2,049	398	67,087	40,876
2021-02-10	$45.69	$44.98	30.0%	8.7%	35.8%	9.8%	30.2%	2.7%	0.6%	1.7M	-29.8M	-833.3K	0.30	31.58	1,427	426	67,738	41,071
2021-02-11	$45.49	$44.98	29.7%	8.8%	34.3%	9.4%	30.2%	3.3%	1.1%	1.6M	-24.6M	-823.9K	0.23	26.77	1,400	316	68,020	41,297
2021-02-12	$46.32	$44.98	29.5%	8.4%	34.9%	9.2%	30.3%	3.3%	-0.3%	2.5M	-45.7M	-863.0K	0.51	25.08	2,343	1,187	68,695	41,362
2021-02-16	$46.67	$44.98	29.2%	8.4%	35.0%	8.8%	31.5%	4.1%	0.9%	3.1M	-48.9M	-849.2K	0.39	45.30	4,828	1,867	66,741	39,860
2021-02-17	$45.91	$44.98	30.9%	8.9%	35.4%	10.1%	30.3%	4.6%	-0.1%	2.0M	-35.7M	-874.5K	1.18	38.02	1,169	1,383	67,437	40,902
2021-02-18	$45.45	$44.98	31.8%	9.1%	35.1%	11.2%	29.3%	4.3%	0.1%	1.0M	-27.1M	-869.9K	0.19	35.40	3,538	655	67,787	41,559
2021-02-19	$46.43	$44.98	29.6%	8.3%	35.6%	6.9%	29.9%	4.6%	2.2%	3.9M	-48.6M	-896.0K	0.54	39.64	1,824	985	69,903	41,565
2021-02-22	$47.03	$44.98	31.3%	8.9%	36.0%	6.4%	31.5%	4.9%	0.0%	3.2M	-62.0M	-897.8K	0.45	20.06	2,848	1,280	60,833	37,708
2021-02-23	$47.73	$44.98	30.2%	8.5%	36.5%	1.3%	29.9%	6.3%	-0.5%	3.9M	-76.9M	-921.8K	0.81	21.73	5,589	4,534	62,189	38,377
2021-02-24	$48.27	$46.40	31.5%	8.6%	36.8%	3.2%	30.5%	4.3%	0.5%	4.3M	-89.6M	-1.1M	2.25	28.46	3,151	7,103	67,096	42,735
2021-02-25	$47.87	$47.35	32.5%	9.1%	35.1%	4.5%	31.2%	6.5%	-1.0%	3.7M	-75.2M	-1.1M	0.60	25.94	2,702	1,609	69,526	49,082
2021-02-26	$47.34	$47.35	31.8%	8.9%	35.4%	3.6%	33.8%	5.9%	-0.9%	3.7M	-61.1M	-1.1M	1.18	44.81	1,142	1,342	70,063	49,970