IP Options History — July 2021

In July 2021, IP traded between $54.55 and $58.93. ATM implied volatility averaged 27.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.0% (HV 20d: 21.2%). Max pain ranged from $56.82 to $57.77. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-07-28: Highest Volume — 6,989 contracts
  • 2021-07-19: Largest IV spike — 10.6% change
  • 2021-07-19: Highest IV Rank — 42.2%
  • 2021-07-19: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.55$54.55$58.93$58.20$54.56
Max Pain$56.91$56.82$57.77$57.77$56.82
ATM IV27.2%23.6%30.5%27.0%23.6%
Expected Move7.6%5.5%8.6%5.9%7.0%
HV 20d21.2%19.5%23.5%22.3%19.6%
HV 60d21.6%21.0%22.3%21.0%21.3%
IV Rank25.0%8.7%42.2%22.3%8.7%
IV Percentile23.1%9.9%43.7%19.0%9.9%
Term Structure-0.6%-8.0%1.5%-0.9%-0.5%
VWIV26.9%20.5%30.4%20.5%22.6%
Skew 25d4.5%2.6%9.7%3.7%3.1%
Skew 10d7.7%3.7%10.8%7.4%7.6%
Call IV 25d25.2%22.0%28.2%24.3%22.0%
Put IV 25d29.7%25.2%35.1%28.1%25.2%
Bid-Ask Spread %50.4315.3268.9822.0651.60
Gamma HHI0.100.080.170.110.10
Net GEX5.1M1.1M9.6M8.5M1.1M
Net DEX-162.8M-233.6M-107.1M-214.2M-107.1M
Net VEX-869.2K-954.4K-819.9K-954.4K-836.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.066.010.160.14
Total Volume2,826.9521,0576,9892,1203,059
Total OI123,949.143110,016133,938132,742119,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$58.20$57.7727.0%5.9%22.3%22.3%20.5%3.7%-0.9%8.5M-214.2M-954.4K0.1622.061,82429683,17249,570
2021-07-02$58.14$57.7725.6%5.5%21.8%16.3%20.5%4.7%0.8%8.8M-209.4M-929.1K0.9315.3283577383,02149,640
2021-07-06$57.21$56.8227.1%7.7%22.0%22.8%27.0%4.2%-8.0%6.5M-178.5M-896.9K0.7048.062,8531,99581,66648,404
2021-07-07$58.31$56.8226.4%7.4%23.2%20.0%26.8%4.3%0.7%8.7M-217.5M-895.6K0.3366.621,78859183,05549,989
2021-07-08$57.93$56.8228.5%8.1%22.9%29.0%28.2%4.3%0.9%7.8M-199.7M-909.7K1.4165.469731,36982,77250,287
2021-07-09$58.83$56.8226.0%7.4%23.5%18.2%26.4%3.3%0.0%9.6M-233.6M-889.2K0.4868.981,53173882,72751,211
2021-07-12$58.93$56.8227.5%7.5%23.2%24.8%27.2%9.7%-1.4%7.9M-229.4M-850.0K0.9466.6490685481,69350,786
2021-07-13$58.13$56.8227.1%7.6%22.7%22.9%27.6%4.7%0.1%6.3M-203.5M-842.6K0.0655.033,17517581,90351,242
2021-07-14$58.19$56.8227.0%7.5%21.6%23.2%26.8%4.0%-1.0%5.5M-199.9M-839.2K0.1259.122,41329980,65651,303
2021-07-15$56.69$56.8227.7%7.8%22.5%26.8%27.4%3.8%-0.4%6.8M-152.9M-849.4K0.6359.501,42889481,75851,533
2021-07-16$55.96$56.8227.5%7.7%19.9%27.7%29.4%4.7%-1.3%3.9M-130.8M-845.6K0.7561.331,8661,40281,78851,073
2021-07-19$54.55$56.8230.5%8.6%21.2%42.2%30.4%5.6%-1.0%2.7M-114.6M-875.3K0.7928.123,7112,91664,66845,348
2021-07-20$55.23$56.8229.2%8.3%19.6%35.9%28.8%4.5%-0.7%2.8M-127.3M-883.7K0.9442.1678573565,26147,557
2021-07-21$55.41$56.8228.2%8.1%19.5%31.9%27.7%4.1%-1.5%2.8M-132.7M-878.5K0.3938.391,01539865,60547,832
2021-07-22$54.86$56.8228.4%8.2%19.7%32.8%25.4%2.6%-1.0%2.3M-117.7M-877.5K0.2558.051,61841165,75548,040
2021-07-23$55.10$56.8227.9%8.0%19.9%30.1%28.3%4.9%0.4%3.1M-126.1M-858.1K0.3751.9577128667,11948,224
2021-07-26$55.28$56.8227.2%8.0%20.0%26.6%30.3%4.6%-0.4%3.0M-129.1M-834.0K0.8339.6087172465,99647,528
2021-07-27$55.49$56.8226.9%8.2%20.1%25.4%28.2%4.4%0.3%3.1M-133.8M-855.6K1.3648.997751,05766,38047,744
2021-07-28$55.59$56.8226.8%8.1%20.1%24.7%29.0%4.9%1.5%3.3M-139.3M-832.2K6.0156.379975,99266,91148,358
2021-07-29$54.99$56.8224.2%7.2%19.6%11.7%26.1%4.6%-0.3%2.4M-122.7M-819.9K1.0155.692,1222,14567,24348,947
2021-07-30$54.56$56.8223.6%7.0%19.6%8.7%22.6%3.1%-0.5%1.1M-107.1M-836.4K0.1451.602,68237767,67751,490