GPK Options History — December 2014

In December 2014, GPK traded between $12.37 and $14.03. ATM implied volatility averaged 37.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 18.5% (HV 20d: 18.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-12-02: Highest Volume — 824 contracts
  • 2014-12-31: Largest IV spike — 142.1% change
  • 2014-12-29: Highest IV Rank — 46.5%
  • 2014-12-24: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$12.37$14.03$12.37$13.62
Max Pain$11.79$10.00$12.50$12.50$10.00
ATM IV37.0%18.6%91.3%32.2%60.0%
Expected Move8.0%6.6%17.7%6.8%8.8%
HV 20d18.5%15.4%21.8%20.3%17.4%
HV 60d29.1%28.7%29.5%28.7%28.8%
IV Rank12.9%1.5%46.5%10.0%27.2%
IV Percentile45.8%3.6%91.3%49.2%76.6%
Term Structure-3.2%-54.7%18.7%-6.1%-40.8%
VWIV31.0%18.6%77.5%23.7%45.6%
Skew 25d17.7%-2.0%79.8%1.4%9.0%
Skew 10d35.4%-16.5%119.3%0.4%31.2%
Call IV 25d30.1%19.6%77.4%32.1%34.4%
Put IV 25d47.8%20.1%103.3%33.5%43.4%
Bid-Ask Spread %117.6499.42137.47117.54114.03
Gamma HHI0.820.570.980.950.62
Net GEX166.3K27.1K500.6K198.7K34.9K
Net DEX-3.0M-5.0M-1.3M-2.1M-1.4M
Net VEX-5.3K-7.2K-3.7K-6.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.001.580.400.13
Total Volume325.9551082444685
Total OI3,553.7731,6574,4874,0581,717

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$12.37$12.5032.2%6.8%20.3%10.0%23.7%1.4%-6.1%198.7K-2.1M-6.7K0.40117.543191273,894164
2014-12-02$12.59$12.5035.2%6.9%21.1%11.8%24.3%-0.4%-4.9%202.2K-2.5M-6.6K0.20117.446861383,894164
2014-12-03$12.82$12.5030.0%6.9%21.8%8.6%24.4%4.0%-5.7%242.3K-3.3M-7.2K0.26117.085331384,284164
2014-12-04$12.74$12.5029.9%6.6%21.3%8.5%34.0%4.5%-2.7%246.0K-3.3M-7.2K0.00113.364004,322164
2014-12-05$12.87$12.5023.1%6.7%21.3%4.3%23.9%55.1%2.8%285.8K-3.8M-6.6K0.65111.852111384,322164
2014-12-08$12.72$12.5022.8%6.7%21.8%4.1%23.8%2.9%-0.9%349.0K-3.4M-6.6K0.6399.532181384,322164
2014-12-09$12.81$12.5027.7%7.3%21.3%7.1%25.5%51.7%4.9%240.7K-3.4M-6.6K0.63105.332181384,318164
2014-12-10$12.85$12.5034.7%7.8%20.5%11.5%28.3%8.1%-1.4%500.6K-3.7M-5.9K0.28110.104981384,318164
2014-12-11$13.09$12.5029.0%8.2%21.2%8.0%30.3%9.1%-0.8%216.5K-4.3M-5.7K0.52112.522661384,323164
2014-12-12$13.03$12.5027.3%8.0%20.6%6.9%29.8%5.2%2.3%236.9K-4.2M-5.4K1.19128.701081284,278164
2014-12-15$13.03$12.5027.7%7.2%15.4%7.2%27.6%39.0%-2.1%237.7K-4.1M-5.2K1.58122.82811284,288165
2014-12-16$12.97$12.5027.6%7.4%15.8%7.1%26.2%45.8%3.2%226.3K-3.8M-5.4K0.28120.224631284,287165
2014-12-17$13.20$12.5028.6%7.1%16.4%7.7%24.6%15.9%6.2%111.0K-4.7M-4.4K1.19122.311081284,285165
2014-12-18$13.49$12.5029.1%7.5%16.7%8.0%25.9%10.9%2.4%102.4K-4.9M-4.5K1.22103.991051284,285165
2014-12-19$13.47$12.5018.6%8.3%16.9%1.5%18.6%0.5%10.4%33.2K-5.0M-4.1K0.1499.4293134,294165
2014-12-22$13.64$0.0034.9%7.0%17.0%11.6%24.6%15.0%-12.5%35.9K-1.3M-3.9K0.83115.411251041,523134
2014-12-23$13.76$10.0053.7%8.7%15.8%23.3%24.1%21.8%13.7%34.7K-1.5M-4.1K1.02127.551181201,580134
2014-12-24$13.87$10.0059.5%17.7%15.8%26.9%30.4%9.2%18.7%30.7K-1.4M-4.3K0.75137.471591201,578150
2014-12-26$14.03$10.0066.5%9.4%15.7%31.2%57.4%3.7%-9.6%27.1K-1.6M-4.1K0.65136.061841201,578150
2014-12-29$13.93$10.0091.3%7.9%16.4%46.5%77.5%-2.0%-54.7%32.7K-1.5M-3.8K0.56130.772131201,583150
2014-12-30$13.83$10.0024.8%7.5%16.5%5.4%0.0%79.8%6.8%34.2K-1.5M-3.7K0.00124.691001,577150
2014-12-31$13.62$10.0060.0%8.8%17.4%27.2%45.6%9.0%-40.8%34.9K-1.4M-3.7K0.13114.0375101,567150