GPK Options History — May 2011 In May 2011, GPK traded between $5.15 and $5.78. ATM implied volatility averaged 59.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 22.0% (HV 20d: 37.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-05-04 : Highest Volume — 10 contracts2011-05-03 : Largest IV spike — 79.6% change2011-05-11 : Highest IV Rank — 41.4%2011-05-03 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.44 $5.15 $5.78 $5.43 $5.48 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 59.3% 37.9% 93.8% 37.9% 64.2% Expected Move 16.0% 10.9% 19.5% 10.9% 18.4% HV 20d 37.3% 34.4% 39.5% 35.0% 38.1% HV 60d 36.6% 35.1% 38.8% 35.6% 35.2% IV Rank 22.1% 10.1% 41.4% 10.1% 24.8% IV Percentile 18.4% 7.5% 63.0% 7.5% 22.9% Term Structure -2.3% -21.6% 12.0% 9.5% -10.5% VWIV 42.0% 42.0% 42.0% 42.0% 42.0% Bid-Ask Spread % 133.86 115.16 152.82 115.16 134.71 Gamma HHI 0.99 0.93 1.00 1.00 1.00 Net GEX 731 232 1.4K 1.3K 239 Net DEX -35.1K -50.9K -13.5K -47.2K -19.8K Net VEX -41 -67 -23 -59 -23 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.286 0 10 6 0 Total OI 121.952 70 154 154 70
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2011-05-02 $5.43 $5.00 37.9% 10.9% 35.0% 10.1% 42.0% 0.0% 9.5% 1.3K -47.2K -59 0.00 115.16 6 0 124 30 2011-05-03 $5.43 $5.00 68.0% 19.5% 34.9% 27.0% 0.0% 0.0% -17.8% 1.0K -39.7K -67 0.00 129.25 0 0 118 30 2011-05-04 $5.29 $5.00 51.9% 14.9% 35.7% 18.0% 0.0% 0.0% -18.8% 1.4K -36.8K -65 0.00 128.45 10 0 118 30 2011-05-05 $5.51 $5.00 58.2% 16.7% 37.0% 21.4% 0.0% 0.0% -21.6% 1.1K -44.4K -58 0.00 125.04 0 0 118 30 2011-05-06 $5.69 $5.00 54.0% 15.3% 38.6% 19.1% 0.0% 0.0% 9.4% 809 -50.9K -46 0.00 126.34 0 0 118 30 2011-05-09 $5.65 $5.00 70.0% 15.5% 38.7% 28.0% 0.0% 0.0% 1.3% 892 -48.8K -47 0.00 124.38 10 0 118 30 2011-05-10 $5.73 $5.00 70.2% 13.9% 37.9% 28.2% 0.0% 0.0% 8.7% 666 -50.6K -27 0.00 152.82 0 0 108 30 2011-05-11 $5.73 $5.00 93.8% 16.1% 36.9% 41.4% 0.0% 0.0% 4.6% 702 -44.9K -45 0.00 127.57 0 0 108 30 2011-05-12 $5.78 $5.00 54.0% 15.5% 34.4% 19.1% 0.0% 0.0% 1.3% 655 -47.6K -38 0.00 125.29 0 0 108 30 2011-05-13 $5.46 $5.00 49.3% 14.1% 39.4% 16.5% 0.0% 0.0% 7.1% 630 -47.8K -27 0.00 150.46 1 0 108 30 2011-05-16 $5.38 $5.00 55.1% 15.8% 37.6% 19.7% 0.0% 0.0% 4.6% 1.1K -35.5K -47 0.00 133.07 0 0 109 30 2011-05-17 $5.25 $5.00 49.0% 14.0% 38.8% 16.3% 0.0% 0.0% 12.0% 1.2K -31.5K -46 0.00 133.84 0 0 109 30 2011-05-18 $5.30 $5.00 55.7% 16.0% 38.8% 20.0% 0.0% 0.0% 3.2% 1.2K -33.1K -44 0.00 126.92 0 0 109 30 2011-05-19 $5.43 $5.00 57.1% 16.4% 38.6% 20.8% 0.0% 0.0% 2.9% 1.1K -38.5K -38 0.00 132.65 0 0 109 30 2011-05-20 $5.32 $5.00 57.4% 16.4% 39.5% 21.0% 0.0% 0.0% 0.3% 232 -42.4K -33 0.00 135.66 0 0 109 30 2011-05-23 $5.22 $5.00 61.7% 17.7% 35.9% 23.4% 0.0% 0.0% -16.1% 233 -14.6K -32 0.00 145.19 0 0 50 20 2011-05-24 $5.15 $5.00 61.3% 17.6% 36.0% 23.2% 0.0% 0.0% -13.4% 241 -13.5K -32 0.00 146.12 0 0 50 20 2011-05-25 $5.30 $5.00 56.0% 16.0% 37.5% 20.2% 0.0% 0.0% -6.4% 257 -16.4K -29 0.00 136.61 0 0 50 20 2011-05-26 $5.29 $5.00 57.3% 16.4% 37.0% 21.0% 0.0% 0.0% 4.1% 257 -16.2K -30 0.00 140.00 0 0 50 20 2011-05-27 $5.35 $5.00 62.8% 18.0% 37.2% 24.0% 0.0% 0.0% -13.5% 239 -17.0K -28 0.00 141.50 0 0 50 20 2011-05-31 $5.48 $5.00 64.2% 18.4% 38.1% 24.8% 0.0% 0.0% -10.5% 239 -19.8K -23 0.00 134.71 0 0 50 20
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