IP Options History — August 2021

In August 2021, IP traded between $54.47 and $56.90. ATM implied volatility averaged 22.7%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.5% (HV 20d: 17.1%). Max pain ranged from $52.08 to $56.82. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2021-08-12: Highest Volume — 59,898 contracts
  • 2021-08-18: Largest IV spike — 8.6% change
  • 2021-08-19: Highest IV Rank — 21.8%
  • 2021-08-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.81$54.47$56.90$54.54$56.90
Max Pain$54.77$52.08$56.82$56.82$56.82
ATM IV22.7%20.7%25.3%23.4%22.6%
Expected Move6.5%6.0%7.3%6.8%6.0%
HV 20d17.1%14.7%20.4%19.6%16.0%
HV 60d20.0%19.3%21.6%21.2%19.5%
IV Rank7.8%0.0%21.8%7.4%9.2%
IV Percentile7.3%0.0%21.4%7.9%8.3%
Term Structure0.2%-1.9%1.7%-0.8%-0.4%
VWIV23.0%20.6%26.1%22.9%20.6%
Skew 25d3.9%1.9%11.8%4.0%3.6%
Skew 10d7.2%3.5%9.2%7.0%7.3%
Call IV 25d21.4%19.7%23.0%22.4%20.9%
Put IV 25d25.3%22.9%33.1%26.4%24.6%
Bid-Ask Spread %50.6123.0471.6965.6357.42
Gamma HHI0.120.090.190.110.14
Net GEX3.6M-35.5K8.2M642.3K6.9M
Net DEX-151.6M-194.6M-108.7M-109.1M-185.2M
Net VEX-794.7K-833.1K-729.2K-833.1K-757.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.015.110.530.65
Total Volume5,040.86490259,8981,2031,246
Total OI119,581114,561126,877114,561119,906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$54.54$56.8223.4%6.8%19.6%7.4%22.9%4.0%-0.8%642.3K-109.1M-833.1K0.5365.6378641762,79051,771
2021-08-03$55.59$56.8222.4%6.4%20.4%2.6%22.7%3.6%-0.5%1.8M-140.0M-821.0K0.5464.0258731564,60151,955
2021-08-04$54.81$56.8223.1%6.7%19.4%6.4%25.6%2.4%-0.2%1.0M-120.0M-803.9K5.1163.293511,79365,04352,178
2021-08-05$54.47$52.0822.6%6.7%19.4%3.5%23.2%3.2%-0.4%657.3K-108.7M-821.4K0.2671.5288323165,45952,204
2021-08-06$54.85$54.4522.3%6.6%18.5%2.0%21.8%3.5%-0.3%-35.5K-119.3M-801.8K0.6261.1789455165,51853,850
2021-08-09$55.72$54.4521.5%6.2%19.7%0.0%22.5%1.9%0.2%1.1M-150.0M-765.4K0.2350.032,93466265,10053,458
2021-08-10$56.41$54.4521.4%6.3%19.9%0.0%22.8%11.8%0.9%2.7M-175.0M-740.7K0.6223.041,9561,20865,53553,754
2021-08-11$56.88$54.4521.0%6.3%20.2%0.0%22.4%3.0%0.6%6.4M-194.6M-729.2K0.4224.311,77273767,64254,223
2021-08-12$56.73$54.4520.7%6.2%17.9%0.0%22.1%2.8%1.7%6.6M-186.6M-751.0K0.0127.3359,15874068,34054,700
2021-08-13$56.13$54.4521.8%6.3%17.7%5.1%22.5%3.8%0.1%3.8M-168.7M-820.8K0.3155.842,27871169,26754,880
2021-08-16$56.27$54.4522.4%6.4%14.9%8.0%23.4%4.1%0.8%3.6M-155.7M-809.8K0.8641.0586474366,05754,217
2021-08-17$55.66$54.4523.2%6.7%15.0%11.8%24.7%4.1%0.6%2.3M-139.1M-826.0K2.2058.447381,62467,00054,556
2021-08-18$55.55$54.4525.2%7.2%15.0%21.3%23.1%4.5%-1.9%2.2M-137.8M-811.0K0.6463.922,8371,81867,53554,754
2021-08-19$55.16$54.4525.3%7.3%14.7%21.8%26.1%4.5%0.0%779.3K-123.6M-817.5K2.1465.999251,98167,83155,302
2021-08-20$55.61$54.4523.5%6.8%14.9%13.4%23.3%4.0%-0.4%4.2M-140.2M-830.1K0.3071.691,68250270,09856,779
2021-08-23$55.40$54.4523.6%6.6%15.0%13.8%22.8%4.0%1.6%4.4M-139.8M-820.9K0.8345.161,2751,05765,33349,690
2021-08-24$55.81$54.4522.7%6.4%15.1%9.6%23.5%3.9%0.6%4.9M-152.6M-804.0K0.3343.411,89361665,74749,997
2021-08-25$56.39$54.4522.1%6.2%15.6%6.9%21.1%3.5%0.8%6.0M-172.7M-782.4K0.4051.151,18747766,56250,746
2021-08-26$55.90$54.4523.2%6.3%15.4%11.9%25.1%3.6%0.3%5.5M-159.6M-789.2K4.7234.618874,19067,96651,077
2021-08-27$56.90$54.4521.8%6.0%16.1%5.4%21.0%3.5%0.5%8.2M-189.2M-774.9K1.0526.251,6981,77968,14251,297
2021-08-30$56.25$54.4523.3%6.2%16.8%12.4%21.7%3.4%-0.2%6.1M-168.0M-771.7K0.6848.021,13977767,26550,657
2021-08-31$56.90$56.8222.6%6.0%16.0%9.2%20.6%3.6%-0.4%6.9M-185.2M-757.6K0.6557.4275748967,92151,985