IP Options History — May 2021

In May 2021, IP traded between $55.88 and $61.00. ATM implied volatility averaged 24.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.9% (HV 20d: 20.3%). Max pain ranged from $47.35 to $56.82. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2021-05-25: Highest Volume — 73,410 contracts
  • 2021-05-12: Largest IV spike — 13.5% change
  • 2021-05-12: Highest IV Rank — 18.8%
  • 2021-05-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.20$55.88$61.00$55.88$59.80
Max Pain$51.40$47.35$56.82$53.50$56.82
ATM IV24.2%22.4%28.2%23.4%22.4%
Expected Move6.8%6.1%8.0%6.4%6.1%
HV 20d20.3%16.0%23.1%17.4%22.8%
HV 60d24.4%23.5%25.2%23.8%23.5%
IV Rank4.6%0.0%18.8%0.0%0.3%
IV Percentile2.5%0.0%11.1%0.0%0.4%
Term Structure-0.1%-1.5%0.8%-0.3%0.3%
VWIV24.2%20.4%29.1%23.0%20.4%
Skew 25d3.6%2.3%5.8%3.4%3.1%
Skew 10d8.5%2.3%16.8%14.3%7.8%
Call IV 25d22.9%20.9%26.8%21.9%20.9%
Put IV 25d26.5%24.0%30.7%25.3%24.0%
Bid-Ask Spread %35.1319.6371.9050.4925.76
Gamma HHI0.140.090.170.170.13
Net GEX8.4M5.9M10.4M10.4M8.4M
Net DEX-340.0M-399.8M-256.8M-268.5M-256.8M
Net VEX-988.4K-1.1M-892.3K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.021.730.630.21
Total Volume7,565.41,48873,4105,7181,968
Total OI133,078.05125,095149,026126,504126,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$55.88$53.5023.4%6.4%17.4%0.0%23.0%3.4%-0.3%10.4M-268.5M-1.1M0.6350.493,5052,21383,48943,015
2021-05-04$56.95$53.9823.6%6.6%18.2%0.7%23.9%3.5%-1.5%9.9M-307.3M-1.1M0.4753.772,7731,30685,93844,409
2021-05-05$57.68$53.9823.7%6.4%18.0%0.9%23.8%3.5%0.0%9.4M-334.1M-1.0M0.3571.901,94167186,75445,014
2021-05-06$58.33$47.3524.1%6.7%17.8%2.7%25.7%3.4%-1.3%8.8M-349.4M-971.2K0.3134.032,07663486,24245,328
2021-05-07$58.40$47.3523.1%6.5%17.8%0.0%23.9%3.7%0.0%8.8M-352.4M-979.3K0.2429.411,90946186,53945,540
2021-05-10$58.92$49.7224.6%7.2%17.1%5.5%24.0%4.3%-0.2%8.3M-358.9M-967.3K0.4429.092,15294785,49544,673
2021-05-11$59.20$49.7224.9%7.0%16.0%6.4%24.7%4.9%-0.7%8.3M-366.0M-973.2K1.2819.6368387286,58945,283
2021-05-12$57.79$49.7228.2%8.0%19.2%18.8%29.1%4.0%-0.4%8.9M-317.3M-1.1M1.7336.361,4592,52986,64545,947
2021-05-13$59.68$49.7226.4%7.7%20.9%12.0%27.5%5.8%0.8%7.4M-376.2M-954.6K0.4822.181,00448486,95847,946
2021-05-14$59.36$49.7224.1%6.9%21.1%3.7%24.5%3.8%-0.1%7.6M-373.4M-959.7K0.6670.831,7841,17087,29347,866
2021-05-17$60.93$49.7224.9%7.1%22.2%6.6%26.0%3.3%0.4%5.9M-399.7M-923.4K0.3244.196,9222,22386,37447,410
2021-05-18$60.22$49.7225.4%7.3%22.1%8.2%25.1%3.9%-0.0%7.2M-390.5M-951.0K0.3723.821,33849990,49848,846
2021-05-19$59.45$49.7226.8%7.7%23.1%13.4%26.3%3.9%-0.2%7.5M-364.6M-1.0M0.2627.281,71845290,59649,188
2021-05-20$59.65$49.7224.6%7.1%21.8%5.5%25.4%2.3%0.1%6.9M-377.1M-960.3K0.0753.7912,80695791,30049,429
2021-05-21$60.13$49.7224.1%6.9%21.6%3.6%23.7%2.6%-0.1%8.2M-399.8M-986.9K0.1320.105,88079198,85450,172
2021-05-24$61.00$52.0822.4%6.2%21.8%0.0%21.3%2.8%0.7%10.0M-349.8M-892.3K0.1821.794,42080887,02844,622
2021-05-25$60.45$52.0822.7%6.3%22.5%1.2%21.1%3.4%0.5%9.8M-329.6M-917.9K0.0223.6671,7761,63486,62445,141
2021-05-26$59.97$56.8222.7%6.4%22.7%1.2%23.3%2.8%0.4%8.0M-257.6M-1.0M0.4419.933,2551,42078,95946,136
2021-05-27$60.22$56.8222.6%6.3%22.7%0.7%21.6%3.8%0.2%8.6M-270.0M-1.0M0.7124.601,09077879,77346,797
2021-05-28$59.80$56.8222.4%6.1%22.8%0.3%20.4%3.1%0.3%8.4M-256.8M-1.0M0.2125.761,62534379,83947,012