GPK Options History — October 2014

In October 2014, GPK traded between $10.93 and $12.35. ATM implied volatility averaged 49.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 19.8% (HV 20d: 29.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.06.

Notable Days

  • 2014-10-22: Highest Volume — 1,006 contracts
  • 2014-10-07: Largest IV spike — 215.6% change
  • 2014-10-13: Highest IV Rank — 62.2%
  • 2014-10-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.69$10.93$12.35$12.22$12.13
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV49.4%18.7%116.2%69.0%31.9%
Expected Move7.8%6.3%8.8%7.9%7.9%
HV 20d29.6%16.1%42.5%16.1%42.5%
HV 60d23.7%20.2%27.5%20.8%27.5%
IV Rank21.2%2.4%62.2%33.2%10.5%
IV Percentile61.4%4.4%95.2%82.9%48.8%
Term Structure-3.5%-72.3%12.1%-14.0%-5.7%
VWIV27.8%22.9%35.4%26.5%26.0%
Skew 25d8.0%-10.9%48.6%48.6%4.9%
Skew 10d13.2%-25.8%41.6%30.1%2.2%
Call IV 25d32.7%20.0%64.3%51.2%36.8%
Put IV 25d40.6%24.8%99.9%99.9%41.8%
Bid-Ask Spread %99.8257.73121.43108.06103.09
Gamma HHI0.940.920.960.940.95
Net GEX101.5K50.1K139.9K128.7K125.8K
Net DEX-1.3M-1.9M-420.0K-1.8M-1.5M
Net VEX-5.7K-6.8K-2.7K-6.8K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.170.000.17
Total Volume330.1301,0060266
Total OI3,263.872,7713,4723,2713,331

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$12.22$10.0069.0%7.9%16.1%33.2%0.0%48.6%-14.0%128.7K-1.8M-6.8K0.00108.06003,23833
2014-10-02$12.11$10.0029.4%8.0%16.2%8.9%26.5%30.8%7.3%133.7K-1.5M-6.6K0.0057.73203,23833
2014-10-03$12.35$10.0071.4%7.6%18.0%34.7%0.0%-7.5%5.0%113.2K-1.9M-6.8K0.00115.23003,23933
2014-10-06$12.25$10.0018.7%7.7%18.1%2.4%0.0%0.8%-1.4%139.9K-1.8M-6.5K0.0072.20003,23933
2014-10-07$12.04$10.0059.0%7.6%18.9%27.1%0.0%0.5%-1.7%121.1K-1.7M-6.2K0.00115.66003,23933
2014-10-08$12.23$10.0079.5%8.1%19.8%39.7%23.9%8.7%-2.5%115.2K-1.7M-6.4K0.09100.95344313,23933
2014-10-09$11.74$10.0035.6%7.5%24.1%12.7%23.2%-0.7%-3.7%127.7K-1.1M-5.3K0.09109.06344313,23933
2014-10-10$11.68$10.0054.1%7.3%23.8%24.1%22.9%2.3%-0.4%97.2K-1.3M-5.7K0.0999.29344313,23933
2014-10-13$11.20$10.00116.2%8.5%26.6%62.2%31.2%-7.5%-72.3%67.0K-894.1K-4.6K0.00109.595003,23933
2014-10-14$11.31$10.0091.2%7.6%27.2%46.9%29.9%9.3%6.9%88.9K-915.7K-4.6K0.04101.14695313,26433
2014-10-15$11.40$10.0083.4%7.6%27.7%42.1%28.5%27.3%12.1%76.0K-934.8K-5.0K0.0596.92530273,43834
2014-10-16$11.59$10.0022.2%7.9%28.8%4.5%35.4%9.0%9.9%88.0K-962.1K-5.0K0.0066.391103,42534
2014-10-17$11.64$10.0028.8%7.8%28.8%8.6%0.0%1.9%-4.9%98.3K-1.1M-5.3K0.0078.52003,42634
2014-10-20$11.70$10.0029.6%7.9%28.8%9.1%25.8%-5.5%-0.2%92.2K-1.1M-5.3K0.0574.22419193,04634
2014-10-21$10.93$10.0029.7%8.7%36.6%9.1%29.0%-8.8%-13.8%50.1K-420.0K-2.7K0.10105.55419412,73536
2014-10-22$11.35$10.0035.4%6.3%38.9%12.6%26.4%26.2%5.8%88.1K-881.2K-4.4K0.04111.34965412,73546
2014-10-23$11.50$10.0041.5%7.9%38.9%16.3%31.0%17.6%4.5%103.3K-1.1M-6.3K0.08111.42546413,28746
2014-10-24$11.40$10.0060.3%7.1%38.5%27.9%30.3%15.4%3.5%109.4K-1.3M-6.4K0.08121.43546413,27551
2014-10-27$11.23$10.0038.9%8.8%38.7%14.7%28.1%-4.3%-17.9%69.5K-1.0M-5.8K0.07112.43547413,27551
2014-10-28$11.61$10.0037.6%7.8%41.1%14.0%0.0%15.6%9.0%96.7K-1.2M-6.3K0.00116.94063,27649
2014-10-29$11.51$10.0038.5%7.5%40.8%14.5%28.5%-10.9%-7.0%95.8K-1.2M-6.5K0.07117.51553393,27655
2014-10-30$11.77$10.0033.9%7.5%41.7%11.7%25.8%9.8%0.7%108.3K-1.3M-6.5K0.0791.26553393,27655
2014-10-31$12.13$10.0031.9%7.9%42.5%10.5%26.0%4.9%-5.7%125.8K-1.5M-6.8K0.17103.09227393,27655