GPK Options History — March 2012 In March 2012, GPK traded between $5.25 and $5.75. ATM implied volatility averaged 68.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 39.0% (HV 20d: 30.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2012-03-15 : Highest Volume — 15 contracts2012-03-15 : Largest IV drop — 63.6% change2012-03-14 : Highest IV Rank — 76.7%2012-03-01 : Largest Expected Move — 19.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.52 $5.25 $5.75 $5.41 $5.52 Max Pain $7.12 $5.00 $7.50 $5.00 $7.50 ATM IV 68.9% 38.8% 157.8% 69.5% 54.6% Expected Move 15.3% 11.1% 19.9% 19.9% 15.7% HV 20d 30.0% 24.9% 34.9% 29.0% 25.1% HV 60d 33.8% 29.3% 39.5% 39.4% 29.5% IV Rank 27.3% 10.5% 76.7% 27.6% 19.3% IV Percentile 41.8% 3.8% 92.2% 56.3% 27.2% Term Structure -9.7% -15.6% 2.2% -15.6% -11.4% VWIV 43.3% 43.3% 43.3% 43.3% 43.3% Bid-Ask Spread % 120.29 110.47 181.97 123.22 113.81 Gamma HHI 0.84 0.66 0.97 0.96 0.76 Net GEX 867 52 2.7K 2.1K 65 Net DEX -40.8K -90.0K -1.7K -64.8K -1.8K Net VEX -30 -73 -13 -73 -14 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 1.045 0 15 0 0 Total OI 97.818 16 169 169 16
Daily Data (22 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 2012-03-01 $5.41 $5.00 69.5% 19.9% 29.0% 27.6% 0.0% 0.0% -15.6% 2.1K -64.8K -73 0.00 123.22 0 0 169 0 2012-03-02 $5.35 $5.00 66.8% 19.1% 29.4% 26.1% 0.0% 0.0% -10.4% 2.2K -62.5K -71 0.00 124.04 0 0 169 0 2012-03-05 $5.31 $0.00 68.5% 14.4% 29.6% 27.1% 0.0% 0.0% 0.6% 2.4K -61.5K -67 0.00 127.93 0 0 169 0 2012-03-06 $5.25 $0.00 65.3% 15.3% 29.9% 25.3% 0.0% 0.0% -2.6% 2.7K -58.8K -65 0.00 130.00 0 0 169 0 2012-03-07 $5.29 $0.00 71.7% 14.8% 29.6% 28.8% 0.0% 0.0% 2.2% 2.6K -60.9K -63 0.00 119.32 0 0 169 0 2012-03-08 $5.46 $0.00 65.8% 15.0% 31.4% 25.5% 0.0% 0.0% -6.6% 2.3K -74.4K -47 0.00 115.93 0 0 169 0 2012-03-09 $5.58 $0.00 83.7% 15.2% 31.9% 35.5% 0.0% 0.0% -9.9% 1.9K -77.6K -42 0.00 113.81 5 0 169 0 2012-03-12 $5.51 $0.00 115.1% 16.1% 31.9% 52.9% 0.0% 0.0% -12.4% 2.0K -70.4K -40 0.00 116.40 0 0 164 0 2012-03-13 $5.75 $0.00 140.6% 15.8% 34.7% 67.1% 0.0% 0.0% -10.9% 63 -90.0K -15 0.00 110.47 0 0 164 0 2012-03-14 $5.71 $0.00 157.8% 16.2% 34.9% 76.7% 0.0% 0.0% -12.2% 61 -89.4K -15 0.00 113.11 3 0 164 0 2012-03-15 $5.70 $0.00 57.4% 16.4% 34.8% 20.9% 43.3% 0.0% -10.4% 62 -87.6K -15 0.00 114.75 15 0 161 0 2012-03-16 $5.68 $7.50 58.5% 16.8% 33.0% 21.5% 0.0% 0.0% -13.9% 82 -81.7K -16 0.00 113.43 0 0 156 0 2012-03-19 $5.65 $7.50 48.7% 14.0% 33.0% 16.1% 0.0% 0.0% -9.0% 72 -2.0K -15 0.00 113.69 0 0 16 0 2012-03-20 $5.61 $7.50 48.0% 13.8% 32.0% 15.7% 0.0% 0.0% -8.9% 70 -2.0K -14 0.00 114.42 0 0 16 0 2012-03-21 $5.58 $7.50 49.4% 14.1% 32.0% 16.4% 0.0% 0.0% -10.0% 69 -1.9K -14 0.00 114.69 0 0 16 0 2012-03-22 $5.49 $7.50 47.3% 13.6% 27.8% 15.2% 0.0% 0.0% -9.6% 63 -1.8K -14 0.00 117.20 0 0 16 0 2012-03-23 $5.50 $7.50 38.8% 11.1% 26.7% 10.5% 0.0% 0.0% 0.0% 52 -2.4K -15 0.00 181.97 0 0 16 0 2012-03-26 $5.52 $7.50 50.2% 14.4% 26.6% 16.9% 0.0% 0.0% -11.5% 63 -1.7K -13 0.00 116.62 0 0 16 0 2012-03-27 $5.48 $7.50 51.9% 14.9% 26.4% 17.8% 0.0% 0.0% -13.1% 63 -1.7K -14 0.00 118.87 0 0 16 0 2012-03-28 $5.49 $7.50 52.8% 15.2% 25.3% 18.3% 0.0% 0.0% -13.7% 62 -1.7K -13 0.00 116.91 0 0 16 0 2012-03-29 $5.60 $7.50 54.4% 15.6% 24.9% 19.2% 0.0% 0.0% -13.6% 67 -1.8K -13 0.00 115.79 0 0 16 0 2012-03-30 $5.52 $7.50 54.6% 15.7% 25.1% 19.3% 0.0% 0.0% -11.4% 65 -1.8K -14 0.00 113.81 0 0 16 0
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