IP Options History — March 2021

In March 2021, IP traded between $48.66 and $53.08. ATM implied volatility averaged 29.4%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.3% (HV 20d: 31.7%). Max pain ranged from $44.98 to $47.35. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-03-31: Highest Volume — 7,079 contracts
  • 2021-03-04: Largest IV spike — 8.6% change
  • 2021-03-29: Highest IV Rank — 8.9%
  • 2021-03-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.84$48.66$53.08$48.99$51.46
Max Pain$47.25$44.98$47.35$47.35$47.35
ATM IV29.4%26.6%33.4%29.5%30.7%
Expected Move8.1%7.2%9.4%8.3%7.4%
HV 20d31.7%25.2%38.9%37.4%31.3%
HV 60d32.3%30.3%33.8%31.0%33.3%
IV Rank2.3%0.0%8.9%0.4%8.6%
IV Percentile7.4%0.0%35.7%1.6%17.5%
Term Structure0.4%-8.7%6.3%-0.2%-2.2%
VWIV29.8%26.0%35.3%29.8%26.0%
Skew 25d4.8%3.3%8.8%6.6%3.5%
Skew 10d9.2%3.0%26.1%11.0%7.0%
Call IV 25d27.1%23.7%33.7%27.1%28.3%
Put IV 25d32.0%28.9%39.0%33.7%31.8%
Bid-Ask Spread %41.7119.2461.3956.2835.01
Gamma HHI0.160.130.210.150.17
Net GEX4.6M2.4M5.4M4.1M4.8M
Net DEX-144.0M-202.3M-73.2M-100.7M-148.2M
Net VEX-1.1M-1.1M-1.0M-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.112.631.090.11
Total Volume3,273.3481,1407,0793,5587,079
Total OI121,060.87117,180126,741118,428120,460

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$48.99$47.3529.5%8.3%37.4%0.4%29.8%6.6%-0.2%4.1M-100.7M-1.1M1.0956.281,7021,85668,73749,691
2021-03-02$49.58$47.3529.6%7.9%37.4%0.5%30.3%4.8%-0.2%4.6M-118.5M-1.1M0.3248.102,67486569,68549,663
2021-03-03$50.63$47.3530.5%8.6%37.8%1.8%31.3%5.1%5.1%4.8M-148.4M-1.1M0.7348.532,5681,87371,05349,877
2021-03-04$49.42$47.3533.2%9.4%38.9%5.4%35.3%5.3%-8.7%4.6M-116.5M-1.1M2.6361.391,3613,57872,43049,859
2021-03-05$51.21$47.3531.3%8.5%25.2%2.9%34.0%5.8%-0.4%4.8M-165.8M-1.1M0.9253.162,9012,65872,48148,442
2021-03-08$53.08$44.9833.4%9.0%27.1%5.7%31.4%5.1%-1.1%4.5M-202.3M-1.1M0.4651.593,7031,71271,51047,516
2021-03-09$52.11$47.3531.0%8.8%28.7%2.4%32.1%4.9%-0.0%4.9M-181.9M-1.1M0.8252.0180266172,73647,989
2021-03-10$51.86$47.3529.2%8.4%29.0%0.1%32.4%4.1%-0.3%5.1M-176.1M-1.1M0.3736.182,05576073,03848,334
2021-03-11$50.99$47.3529.2%8.2%30.1%0.0%30.4%4.3%0.2%5.2M-156.6M-1.1M1.5849.518801,38873,64948,728
2021-03-12$51.24$47.3529.2%8.2%29.9%0.0%31.6%4.0%-1.1%5.4M-161.3M-1.1M0.3449.3985128973,97149,134
2021-03-15$50.45$47.3529.8%8.6%30.5%0.9%30.8%5.1%-0.6%5.2M-137.2M-1.1M1.4256.797681,09272,75948,183
2021-03-16$50.24$47.3528.4%8.2%30.6%0.0%29.4%4.0%0.1%5.3M-132.2M-1.1M0.1551.043,10046972,91848,956
2021-03-17$51.22$47.3527.7%7.9%30.1%0.0%29.1%4.3%0.8%5.2M-163.8M-1.1M0.3345.801,64053975,40149,137
2021-03-18$50.91$47.3527.9%8.0%29.9%0.3%28.9%4.2%1.2%5.2M-158.7M-1.1M0.3137.682,21569776,13149,429
2021-03-19$50.71$47.3528.5%8.2%29.5%1.4%26.7%4.5%-0.7%4.1M-154.0M-1.1M0.2460.164,5271,10776,95049,791
2021-03-22$49.82$47.3526.6%7.4%30.3%0.0%27.7%4.2%2.5%3.2M-100.5M-1.1M0.5025.511,87593270,56246,618
2021-03-23$48.66$47.3526.9%7.5%31.3%0.5%26.4%4.7%2.2%2.4M-73.2M-1.0M0.3119.243,10097071,45547,142
2021-03-24$49.63$47.3528.1%7.8%31.8%3.2%27.3%3.3%2.7%3.2M-98.4M-1.0M0.6220.4799661672,19247,351
2021-03-25$51.53$47.3527.0%7.4%34.1%0.9%28.2%4.9%3.5%4.6M-147.5M-1.1M0.4625.171,48668072,64447,820
2021-03-26$51.92$47.3528.5%7.2%33.7%4.0%29.0%5.2%1.1%5.1M-157.1M-1.1M0.4923.531,24361272,97847,656
2021-03-29$51.72$47.3530.8%7.7%31.9%8.9%28.8%8.8%6.3%4.6M-152.1M-1.1M1.6329.271,2282,00772,53746,773
2021-03-30$52.03$47.3529.4%7.4%31.7%5.9%29.3%4.7%-0.8%4.9M-159.9M-1.1M0.4723.5679637673,24246,792
2021-03-31$51.46$47.3530.7%7.4%31.3%8.6%26.0%3.5%-2.2%4.8M-148.2M-1.0M0.1135.016,35272773,62246,838