IP Options History — October 2021

In October 2021, IP traded between $49.70 and $55.73. ATM implied volatility averaged 31.3%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.8% (HV 20d: 22.5%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2021-10-20: Highest Volume — 11,375 contracts
  • 2021-10-07: Largest IV drop — 28.7% change
  • 2021-10-01: Highest IV Rank — 100.0%
  • 2021-10-01: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.35$49.70$55.73$53.32$49.73
Max Pain$54.63$52.50$60.00$57.50$55.00
ATM IV31.3%23.2%55.1%55.1%23.2%
Expected Move8.4%7.2%20.7%20.7%7.2%
HV 20d22.5%16.3%32.4%17.5%32.1%
HV 60d18.9%16.4%22.8%17.5%22.8%
IV Rank30.7%7.2%100.0%100.0%7.4%
IV Percentile52.7%15.9%100.0%100.0%17.1%
Term Structure-0.2%-5.8%6.3%-5.8%-0.3%
VWIV28.0%23.4%46.7%46.7%23.4%
Skew 25d3.4%-11.3%9.9%-0.7%3.2%
Skew 10d7.0%-16.2%27.5%3.8%2.6%
Call IV 25d33.1%22.4%66.3%66.3%22.4%
Put IV 25d36.5%25.7%65.5%65.5%25.7%
Bid-Ask Spread %87.8769.95136.19136.1977.17
Gamma HHI0.130.070.300.140.08
Net GEX589.7K-1.8M5.1M0-1.8M
Net DEX-11.7M-128.9M44.3M044.3M
Net VEX-240.7K-821.5K00-169.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.242.040.391.66
Total Volume3,853.04821411,3752149,278
Total OI41,307.4760117,107042,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$53.32$0.0055.1%20.7%17.5%100.0%46.7%-0.7%-5.8%0000.39136.191546000
2021-10-04$54.00$57.5050.9%7.4%18.4%87.7%24.3%-11.3%0.5%4.1M-114.2M-770.0K0.69122.5630420969,23642,263
2021-10-05$54.41$57.5045.4%8.5%16.3%71.8%29.5%5.5%0.0%5.1M-128.9M-811.5K0.24113.063388074,23642,871
2021-10-06$53.84$57.5041.3%8.2%16.7%59.9%23.5%1.3%4.9%4.1M-100.1M-821.5K0.96120.5514413874,11142,845
2021-10-07$54.25$60.0029.5%8.4%16.8%25.5%29.7%6.5%6.3%1.3M-53.9M-456.2K0.6493.0737023750,62337,242
2021-10-08$54.26$55.0031.6%7.6%16.8%31.6%26.2%9.9%-1.8%1.1M-38.7M-382.9K1.25109.911,5961,99733,74424,054
2021-10-11$55.61$52.5029.5%8.2%19.1%25.5%28.9%4.8%-1.0%530.0K-2.8M-34.8K0.7486.418926582,5973,683
2021-10-12$55.68$52.5030.2%8.3%18.6%27.7%26.2%9.5%-2.4%624.1K-3.3M-59.6K0.5487.471,3087064,1105,301
2021-10-13$55.11$52.5029.5%8.2%19.0%25.6%28.5%4.7%-1.1%577.3K-1.1M-68.5K1.2681.841,5171,9044,8365,751
2021-10-14$55.73$52.5027.1%7.7%19.4%18.7%29.3%3.2%-0.0%1.0M-4.4M-74.1K2.0479.342725555,7816,252
2021-10-15$53.31$52.5026.8%7.7%24.0%17.8%26.8%3.0%0.6%41.7K5.9M-85.0K1.4178.249171,2936,7058,043
2021-10-18$52.78$52.5026.8%7.7%23.5%17.8%26.4%4.6%-0.6%-346.5K7.8M-90.5K0.4770.419954636,3768,249
2021-10-19$52.00$52.5027.4%7.8%23.9%19.4%27.6%3.4%-0.6%-718.5K11.3M-96.2K1.6670.891,7552,9146,9939,285
2021-10-20$53.54$52.5026.8%7.7%25.4%17.8%26.6%2.9%-1.0%94.5K5.0M-139.6K1.1471.235,3176,05813,14515,987
2021-10-21$53.16$55.0026.9%7.7%25.1%17.9%25.9%4.5%0.8%-164.0K13.4M-175.2K0.7072.234,5363,16116,29319,932
2021-10-22$53.09$55.0026.4%7.8%25.1%16.6%27.7%2.9%-2.3%259.9K13.5M-171.8K1.5575.782,0703,21616,49419,981
2021-10-25$53.15$55.0026.9%8.1%25.0%18.1%28.4%3.3%0.8%-201.6K11.7M-171.3K1.3069.952,1652,80515,27219,457
2021-10-26$53.34$55.0026.8%7.9%25.1%17.7%30.1%2.9%0.2%-84.4K10.9M-166.8K1.8773.561,7153,20215,81619,687
2021-10-27$50.31$55.0025.0%7.3%32.4%12.5%25.3%2.7%-0.3%-1.6M34.5M-145.4K1.2476.873,5434,40616,14520,468
2021-10-28$49.70$55.0023.2%7.2%32.1%7.2%27.2%3.8%-0.1%-1.6M43.1M-164.1K1.1778.533,5274,13917,91422,974
2021-10-29$49.73$55.0023.2%7.2%32.1%7.4%23.4%3.2%-0.3%-1.8M44.3M-169.0K1.6677.173,4895,78918,27824,427