GPK Options History — July 2014

In July 2014, GPK traded between $11.43 and $12.33. ATM implied volatility averaged 54.2%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 36.9% (HV 20d: 17.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2014-07-21: Highest Volume — 1,263 contracts
  • 2014-07-03: Largest IV spike — 344.0% change
  • 2014-07-09: Highest IV Rank — 88.5%
  • 2014-07-03: Largest Expected Move — 34.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.79$11.43$12.33$11.80$12.00
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV54.2%17.9%159.0%29.7%35.3%
Expected Move8.8%5.2%34.4%8.5%7.6%
HV 20d17.4%9.8%30.0%11.5%30.0%
HV 60d20.2%18.4%23.0%20.1%23.0%
IV Rank24.2%1.8%88.5%9.1%12.5%
IV Percentile45.0%1.2%99.6%26.6%52.0%
Term Structure-3.1%-94.5%7.6%-5.0%-2.9%
VWIV29.6%26.4%35.1%26.4%26.8%
Skew 25d7.5%-8.3%37.8%16.0%17.1%
Skew 10d4.8%-24.3%23.1%-4.6%-5.6%
Call IV 25d32.5%20.1%60.9%30.1%46.7%
Put IV 25d40.0%23.8%93.2%46.1%63.8%
Bid-Ask Spread %110.0633.38144.50114.80115.86
Gamma HHI0.990.981.000.980.99
Net GEX48.8K26.2K100.2K28.8K85.4K
Net DEX-991.1K-1.8M-568.6K-693.4K-1.6M
Net VEX-5.1K-7.9K-3.3K-3.7K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.150.000.00
Total Volume93.40901,263104
Total OI2,035.9551,4563,1201,4563,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$11.80$10.0029.7%8.5%11.5%9.1%0.0%16.0%-5.0%28.8K-693.4K-3.7K0.00114.801001,306150
2014-07-02$11.71$10.0027.0%7.8%11.0%7.5%0.0%-0.6%3.3%29.4K-667.1K-3.7K0.0042.555601,306150
2014-07-03$11.71$10.00120.0%34.4%9.8%64.6%0.0%5.0%-94.5%28.5K-691.8K-3.8K0.00142.26501,336150
2014-07-07$11.50$10.00142.1%7.5%11.9%78.2%0.0%2.5%-4.0%28.5K-624.6K-3.6K0.00144.50101,331150
2014-07-08$11.43$10.00155.0%8.0%12.1%86.0%0.0%1.9%2.6%27.9K-568.6K-3.3K0.00138.16061,332150
2014-07-09$11.51$10.00159.0%8.3%12.3%88.5%0.0%-6.0%2.7%28.9K-618.3K-3.3K0.00127.620141,332150
2014-07-10$11.50$10.0027.3%7.8%12.2%7.6%26.4%6.6%6.1%26.2K-590.2K-3.5K0.00137.841001,332150
2014-07-11$11.69$10.0022.2%6.4%13.0%4.5%0.0%9.6%7.1%31.4K-622.2K-3.5K0.00108.866501,333150
2014-07-14$11.74$10.0025.4%7.3%12.8%6.5%0.0%11.9%0.4%29.6K-795.7K-3.8K0.00141.06701,394150
2014-07-15$11.77$10.0025.9%7.4%12.6%6.8%0.0%-0.1%1.3%32.4K-714.8K-3.8K0.0088.37001,394150
2014-07-16$11.73$10.0018.1%5.2%12.4%2.0%0.0%3.2%7.6%32.8K-701.8K-3.8K0.0035.63001,394150
2014-07-17$11.56$10.0032.4%9.3%13.4%10.8%35.1%-8.3%-9.4%32.1K-654.8K-3.6K0.0033.381101,392150
2014-07-18$11.80$10.0024.3%7.0%15.3%5.8%0.0%13.6%6.2%34.6K-681.8K-3.6K0.00116.95701,402150
2014-07-21$11.59$0.0056.6%7.6%16.3%25.6%30.0%-0.4%-2.3%30.4K-662.4K-3.6K0.00108.201,26301,391134
2014-07-22$11.48$10.0064.7%7.5%16.3%30.6%0.0%2.7%-4.4%61.6K-1.1M-6.7K0.15124.27110162,581134
2014-07-23$11.56$10.0040.5%7.7%16.5%15.7%0.0%10.7%5.7%59.2K-1.1M-7.0K0.00117.980122,685131
2014-07-24$12.33$10.0017.9%7.7%28.3%1.8%26.8%0.7%2.5%74.9K-1.7M-7.8K0.02115.9728552,685141
2014-07-25$12.29$10.0020.3%7.7%28.2%3.3%0.0%7.8%4.1%88.1K-1.7M-7.9K0.14111.284262,841146
2014-07-28$12.33$10.0020.8%7.7%28.2%3.6%0.0%9.1%6.1%100.2K-1.8M-7.8K0.0096.6012002,876152
2014-07-29$12.15$10.0062.8%7.6%28.8%29.4%0.0%24.7%-0.5%91.7K-1.7M-7.9K0.00128.07002,968152
2014-07-30$12.27$10.0065.8%7.6%28.9%31.3%0.0%37.8%-0.8%91.9K-1.8M-7.8K0.00131.18002,968152
2014-07-31$12.00$10.0035.3%7.6%30.0%12.5%0.0%17.1%-2.9%85.4K-1.6M-7.8K0.00115.86402,968152