IP Options History — September 2021

In September 2021, IP traded between $52.41 and $56.99. ATM implied volatility averaged 24.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.5% (HV 20d: 16.9%). Max pain ranged from $49.72 to $56.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-09-24: Highest Volume — 10,231 contracts
  • 2021-09-20: Largest IV spike — 19.7% change
  • 2021-09-30: Highest IV Rank — 42.7%
  • 2021-09-20: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.70$52.41$56.99$56.68$53.18
Max Pain$50.05$49.72$56.82$56.82$49.72
ATM IV24.4%21.3%29.7%22.6%29.7%
Expected Move6.8%5.8%7.8%5.8%7.7%
HV 20d16.9%14.8%19.3%15.1%17.7%
HV 60d18.2%16.7%19.9%19.4%17.5%
IV Rank17.9%2.9%42.7%8.9%42.7%
IV Percentile23.4%0.8%57.9%7.1%57.9%
Term Structure0.4%-2.6%3.3%0.4%-2.6%
VWIV23.7%20.7%32.8%20.7%25.3%
Skew 25d4.6%3.4%7.1%3.9%5.4%
Skew 10d10.0%6.2%22.6%7.6%11.7%
Call IV 25d22.4%20.0%27.0%21.0%27.0%
Put IV 25d27.0%23.4%32.3%24.9%32.3%
Bid-Ask Spread %57.5323.6378.2565.4559.20
Gamma HHI0.150.110.210.140.17
Net GEX5.0M2.5M7.7M6.9M5.8M
Net DEX-136.5M-192.3M-83.4M-180.2M-116.3M
Net VEX-732.4K-759.5K-709.0K-759.5K-720.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.082.190.200.17
Total Volume3,6371,31010,2312,1809,338
Total OI121,320.095111,917129,861121,216121,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$56.68$56.8222.6%5.8%15.1%8.9%20.7%3.9%0.4%6.9M-180.2M-759.5K0.2065.451,81136968,70752,509
2021-09-02$56.99$49.7222.4%6.5%14.8%8.1%22.2%3.8%0.2%7.7M-188.6M-752.4K0.2955.681,33538969,16252,853
2021-09-03$56.96$49.7221.3%6.4%14.8%2.9%22.5%3.4%-0.4%6.5M-192.3M-756.8K0.4975.892,2691,11470,63453,093
2021-09-07$55.45$49.7224.5%7.0%17.0%18.2%23.7%3.9%-0.5%4.8M-146.5M-741.1K1.4565.539641,39968,13352,223
2021-09-08$55.30$49.7224.3%7.0%16.4%17.0%23.8%4.1%0.2%4.7M-138.8M-750.1K2.1956.848351,83369,89953,103
2021-09-09$55.56$49.7222.9%6.9%16.2%10.3%23.3%3.8%1.3%5.2M-146.1M-745.8K0.5923.6382348770,36753,985
2021-09-10$55.38$49.7223.7%6.9%16.2%14.2%22.2%3.8%0.5%4.8M-141.4M-741.0K0.2961.192,12260770,51255,337
2021-09-13$55.45$49.7223.8%6.9%15.8%14.7%23.0%4.3%-0.8%4.6M-143.5M-726.3K0.6325.531,42789969,50754,583
2021-09-14$54.82$49.7224.0%6.9%16.2%15.9%23.8%4.8%-0.4%3.5M-127.0M-719.7K1.0768.881,2701,36270,96654,792
2021-09-15$54.90$49.7223.3%6.7%15.8%12.4%22.7%4.0%-0.6%3.2M-126.8M-717.5K0.1278.253,63543071,71755,288
2021-09-16$54.94$49.7222.8%6.5%15.8%9.9%22.3%4.2%-0.1%3.2M-131.9M-709.0K0.0874.206,78053972,43355,741
2021-09-17$53.77$49.7223.1%6.6%17.4%11.4%22.5%4.6%0.4%2.5M-92.6M-711.1K0.7963.722,0021,58874,28355,578
2021-09-20$52.84$49.7227.6%7.8%17.9%33.0%32.8%7.1%1.5%3.7M-92.7M-733.2K2.0849.132,3444,88368,31743,600
2021-09-21$52.41$49.7226.6%7.6%18.0%27.9%25.2%5.8%1.8%3.6M-83.4M-729.2K0.6352.741,58098869,06144,168
2021-09-22$53.33$49.7224.2%6.9%19.1%16.7%23.5%4.8%2.5%4.6M-112.8M-716.0K0.3368.281,32243570,16245,189
2021-09-23$53.99$49.7223.3%6.5%19.3%12.3%21.5%4.7%3.3%5.5M-134.2M-732.6K0.3638.671,50354571,47345,882
2021-09-24$54.16$49.7223.7%6.5%19.2%14.2%23.8%4.5%2.8%5.8M-139.0M-730.5K0.3750.807,4632,76872,51946,072
2021-09-27$54.34$49.7225.3%6.4%17.9%21.7%23.4%4.4%-0.2%6.4M-146.0M-727.1K0.8157.131,13692172,15444,874
2021-09-28$54.17$49.7227.5%7.2%17.6%32.3%27.0%5.2%-0.5%6.1M-142.7M-732.3K0.3264.512,27472272,83545,336
2021-09-29$54.13$49.7227.1%7.0%16.8%30.6%23.4%5.8%-0.4%6.5M-143.1M-729.6K0.2652.871,48338373,85045,751
2021-09-30$53.18$49.7229.7%7.7%17.7%42.7%25.3%5.4%-2.6%5.8M-116.3M-720.0K0.1759.207,9961,34275,07346,001