IP Options History — June 2021

In June 2021, IP traded between $56.27 and $61.34. ATM implied volatility averaged 23.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 22.0%). Max pain ranged from $56.82 to $57.77. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-06-23: Highest Volume — 13,682 contracts
  • 2021-06-28: Largest IV spike — 11.1% change
  • 2021-06-30: Highest IV Rank — 17.0%
  • 2021-06-09: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.92$56.27$61.34$60.45$58.06
Max Pain$56.99$56.82$57.77$56.82$57.77
ATM IV23.1%21.9%25.8%23.0%25.8%
Expected Move6.5%6.0%6.8%6.4%6.0%
HV 20d22.0%18.5%24.1%22.1%23.0%
HV 60d21.4%21.0%22.5%22.5%21.1%
IV Rank4.5%0.0%17.0%2.3%17.0%
IV Percentile4.8%0.0%16.3%2.0%16.3%
Term Structure0.9%-1.7%4.3%0.1%0.5%
VWIV22.3%21.1%24.0%21.9%21.5%
Skew 25d3.7%2.2%4.9%4.2%4.9%
Skew 10d7.3%-1.2%11.0%9.4%8.5%
Call IV 25d21.9%20.0%24.3%21.7%24.1%
Put IV 25d25.6%23.3%28.9%25.9%28.9%
Bid-Ask Spread %38.8714.0274.7345.1917.37
Gamma HHI0.150.090.200.150.11
Net GEX7.1M2.8M10.0M8.5M7.8M
Net DEX-219.7M-288.8M-133.2M-262.4M-208.2M
Net VEX-961.4K-1.0M-925.6K-976.5K-940.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.053.370.330.28
Total Volume3,656.90968913,6821,433689
Total OI126,148.909114,844132,429122,401132,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$60.45$56.8223.0%6.4%22.1%2.3%21.9%4.2%0.1%8.5M-262.4M-976.5K0.3345.191,07435976,33546,066
2021-06-02$59.84$56.8223.5%6.6%21.8%4.1%21.6%4.2%0.2%8.1M-243.6M-1.0M0.4031.8483633176,77346,261
2021-06-03$60.66$56.8223.8%6.7%21.9%4.9%23.8%4.0%-0.3%9.5M-268.1M-1.0M0.5151.071,00151276,95346,426
2021-06-04$61.34$56.8222.3%6.5%21.9%0.0%22.5%3.4%0.2%10.0M-288.8M-953.6K0.1631.012,57140177,14046,711
2021-06-07$60.47$56.8223.5%6.6%22.7%4.3%24.0%3.0%-0.1%8.6M-262.0M-957.9K0.4252.811,46260877,13946,314
2021-06-08$60.79$56.8222.7%6.5%22.6%1.3%22.8%3.6%-0.3%9.0M-267.1M-980.3K0.2730.1172019477,70046,677
2021-06-09$60.03$56.8222.9%6.8%23.1%2.1%23.5%3.4%0.6%8.5M-253.5M-957.7K0.6114.0253832578,15946,783
2021-06-10$59.53$56.8222.1%6.5%21.5%0.0%22.3%2.9%0.2%7.7M-238.1M-951.7K3.3741.648762,95278,38246,961
2021-06-11$60.13$56.8221.9%6.4%18.5%0.0%21.2%3.8%0.7%8.1M-251.5M-942.5K0.0574.734,24121978,62649,669
2021-06-14$58.97$56.8222.6%6.5%19.8%2.7%22.5%4.2%0.4%6.5M-218.5M-962.3K0.5971.261,42183280,24349,142
2021-06-15$60.07$56.8222.3%6.4%18.5%1.6%21.8%4.0%1.0%7.6M-253.0M-925.6K0.6172.2096158480,72349,710
2021-06-16$58.98$56.8222.7%6.5%19.2%3.2%22.7%3.5%0.4%6.1M-219.9M-942.7K0.5725.151,41279881,19750,030
2021-06-17$57.07$56.8223.2%6.6%21.9%5.1%23.0%4.2%-0.5%5.0M-160.6M-966.6K1.4150.451,6992,38981,17950,426
2021-06-18$56.27$56.8223.8%6.8%22.2%8.4%23.5%4.9%0.5%2.8M-133.2M-980.5K0.5258.941,30367781,37350,952
2021-06-21$57.68$56.8222.6%6.5%24.1%3.0%21.6%3.7%3.9%4.7M-180.5M-927.2K0.1652.883,70160369,97644,868
2021-06-22$57.94$56.8222.8%6.4%23.4%3.8%21.2%3.4%3.3%5.6M-189.1M-959.0K0.3932.933,3931,31272,99145,318
2021-06-23$57.81$57.7722.2%6.4%23.3%1.3%22.0%2.9%4.2%6.0M-189.3M-951.3K0.3631.4310,0813,60175,50446,564
2021-06-24$57.68$57.2923.5%6.4%23.2%6.8%21.7%3.9%2.6%5.7M-183.0M-946.6K0.0815.716,81653076,15247,124
2021-06-25$57.60$57.2922.7%6.1%23.1%3.7%21.1%2.2%4.3%7.2M-193.2M-981.8K0.8617.3092880382,15447,507
2021-06-28$57.50$57.2925.3%6.3%23.0%14.5%21.5%4.3%-1.7%7.0M-188.6M-952.3K1.4518.381,3651,97681,44547,489
2021-06-29$57.31$57.2924.1%6.3%22.5%9.7%21.7%4.0%-0.8%6.0M-180.8M-970.4K0.4818.639,0514,30782,32649,379
2021-06-30$58.06$57.7725.8%6.0%23.0%17.0%21.5%4.9%0.5%7.8M-208.2M-940.3K0.2817.3754014982,95149,478