GPK Options History — September 2010

In September 2010, GPK traded between $3.11 and $3.41. ATM implied volatility averaged 74.0%. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 24.9% (HV 20d: 49.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-09-10: Highest Volume — 25 contracts
  • 2010-09-24: Largest IV spike — 179.2% change
  • 2010-09-24: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.26$3.11$3.41$3.24$3.34
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV74.0%35.0%185.8%75.3%35.6%
Expected Move24.8%21.6%28.8%21.6%28.8%
HV 20d49.1%41.7%55.4%55.4%41.7%
HV 60d51.0%49.8%52.1%51.4%51.3%
Term Structure-54.0%-156.8%105.3%105.3%-47.8%
Bid-Ask Spread %184.45121.29200.00156.34200.00
Gamma HHI0.710.511.000.770.70
Net GEX132462514669
Net DEX-6.7K-13.1K-1.1K-2.2K-7.7K
Net VEX-30-66-10-14-10
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.1902500
Total OI131.524105166141105

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$3.24$2.500.0%0.0%55.4%0.0%0.0%0.0%0.0%46-2.2K-140.00156.340011031
2010-09-02$3.26$2.5075.3%21.6%54.6%0.0%0.0%0.0%105.3%123-2.5K-320.00121.290011031
2010-09-03$3.23$0.0076.3%0.0%54.0%0.0%0.0%0.0%0.0%122-2.3K-270.00182.610011031
2010-09-07$3.11$0.0081.8%0.0%53.0%0.0%0.0%0.0%-50.9%114-2.5K-280.00177.750011031
2010-09-08$3.13$0.0087.1%26.9%50.7%0.0%0.0%0.0%-66.5%117-2.3K-290.00187.500011031
2010-09-09$3.18$0.0081.3%23.3%50.2%0.0%0.0%0.0%-70.8%131-3.0K-340.00164.380011031
2010-09-10$3.31$0.00147.8%0.0%51.9%0.0%0.0%0.0%0.0%92-1.1K-160.00198.0225011031
2010-09-13$3.41$0.00147.2%0.0%52.9%0.0%0.0%0.0%0.0%78-8.0K-120.00200.000013531
2010-09-14$3.38$0.0086.3%24.7%52.8%0.0%0.0%0.0%-63.3%75-7.9K-120.00179.490013531
2010-09-15$3.37$0.00185.8%0.0%51.2%0.0%0.0%0.0%-155.5%251-12.0K-630.00170.650013531
2010-09-16$3.19$0.0081.7%23.4%53.3%0.0%0.0%0.0%10.5%214-10.1K-490.00185.070013531
2010-09-17$3.22$0.0036.6%0.0%45.9%0.0%0.0%0.0%-156.8%181-8.9K-420.00189.100013531
2010-09-20$3.22$0.0037.2%0.0%45.9%0.0%0.0%0.0%0.0%173-8.6K-370.00200.00001050
2010-09-21$3.21$0.0037.2%0.0%44.2%0.0%0.0%0.0%0.0%176-8.7K-370.00180.31001050
2010-09-22$3.19$0.0036.9%0.0%43.9%0.0%0.0%0.0%0.0%164-8.2K-340.00200.00001050
2010-09-23$3.14$0.0036.0%0.0%43.5%0.0%0.0%0.0%-48.1%165-7.9K-340.00180.98001050
2010-09-24$3.30$0.00100.4%28.8%47.0%0.0%0.0%0.0%-49.7%168-13.1K-660.00200.00001050
2010-09-27$3.24$0.0039.2%0.0%47.3%0.0%0.0%0.0%-47.8%182-9.0K-390.00200.00001050
2010-09-28$3.39$0.0036.2%0.0%45.8%0.0%0.0%0.0%0.0%70-7.9K-100.00200.00001050
2010-09-29$3.32$0.0035.0%0.0%46.7%0.0%0.0%0.0%0.0%69-7.6K-100.00200.00001050
2010-09-30$3.34$0.0035.6%0.0%41.7%0.0%0.0%0.0%0.0%69-7.7K-100.00200.00001050