GPK Options History — March 2015

In March 2015, GPK traded between $14.29 and $15.24. ATM implied volatility averaged 27.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.9% (HV 20d: 22.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-03-04: Highest Volume — 664 contracts
  • 2015-03-10: Largest IV spike — 224.6% change
  • 2015-03-10: Highest IV Rank — 33.4%
  • 2015-03-31: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.68$14.29$15.24$15.24$14.51
Max Pain$14.66$12.50$15.00$12.50$15.00
ATM IV27.1%18.4%70.0%22.8%33.9%
Expected Move7.1%4.7%9.7%6.5%9.7%
HV 20d22.3%18.8%24.6%21.7%20.3%
HV 60d21.7%20.7%22.6%20.7%22.3%
IV Rank6.8%1.4%33.4%4.1%11.0%
IV Percentile30.8%3.2%81.0%16.3%61.5%
Term Structure1.9%-4.8%9.4%7.7%-3.9%
VWIV24.9%18.4%33.9%19.8%33.9%
Skew 25d2.4%-41.6%87.8%-41.6%6.2%
Skew 10d0.9%-66.7%120.1%-66.7%4.4%
Call IV 25d31.3%19.6%68.9%68.9%40.6%
Put IV 25d33.7%16.7%110.5%27.3%46.8%
Bid-Ask Spread %111.2258.72136.01124.06125.52
Gamma HHI0.590.450.770.630.46
Net GEX64.3K34.1K116.5K62.7K37.7K
Net DEX-1.5M-1.9M-1.2M-1.8M-1.2M
Net VEX-4.6K-5.6K-3.5K-3.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.006.670.970.62
Total Volume146.4090664342194
Total OI2,229.7271,7022,6802,1041,826

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$15.24$12.5022.8%6.5%21.7%4.1%19.8%-41.6%7.7%62.7K-1.8M-3.7K0.97124.061741681,798306
2015-03-03$14.88$12.5022.5%6.4%23.6%3.9%24.5%-20.1%3.3%60.9K-1.7M-3.8K1.29123.821301681,810306
2015-03-04$14.81$12.5018.4%5.3%23.6%1.4%18.9%-6.7%1.9%68.1K-1.6M-3.5K0.3470.924961681,828306
2015-03-05$14.63$15.0019.3%4.7%23.8%2.0%18.4%3.3%8.4%83.8K-1.9M-4.9K0.3494.884911682,162306
2015-03-06$14.66$15.0023.8%6.3%22.1%4.8%22.4%87.8%4.3%70.9K-1.8M-4.8K0.7458.722491842,177306
2015-03-09$14.64$15.0021.6%5.6%21.7%3.4%0.0%6.2%9.4%90.8K-1.8M-5.3K0.00123.87002,354326
2015-03-10$14.39$15.0070.0%7.8%22.4%33.4%0.0%2.1%-0.8%55.4K-1.7M-5.6K0.00120.012002,354326
2015-03-11$14.29$15.0027.4%7.8%20.8%7.0%0.0%3.5%-4.8%68.0K-1.4M-5.2K0.00122.954202,191326
2015-03-12$14.79$15.0025.2%7.2%24.6%5.6%0.0%3.7%1.8%82.8K-1.7M-5.1K0.00109.73302,176326
2015-03-13$14.77$15.0026.9%7.7%24.6%6.7%0.0%1.2%-0.0%116.1K-1.6M-5.1K0.00128.572502,176326
2015-03-16$14.75$15.0025.7%7.4%23.3%5.9%0.0%4.3%-0.4%116.5K-1.6M-4.8K0.00129.491902,136326
2015-03-17$14.73$15.0024.7%7.1%23.3%5.3%0.0%4.1%1.9%84.4K-1.7M-4.8K0.00136.011102,136326
2015-03-18$14.79$15.0023.2%6.7%22.2%4.4%0.0%0.8%0.8%69.4K-1.7M-4.7K0.00112.171002,137326
2015-03-19$14.73$15.0026.9%7.7%22.2%6.7%0.0%1.0%-0.1%79.7K-1.7M-4.7K0.40124.18522,137326
2015-03-20$14.78$15.0021.3%6.1%22.1%3.2%0.0%4.7%7.9%34.1K-1.3M-4.4K6.67103.523202,137328
2015-03-23$14.66$15.0024.2%6.9%18.8%5.0%24.6%-9.0%3.1%34.4K-1.3M-4.3K0.0799.576751,526176
2015-03-24$14.92$15.0027.3%7.8%19.9%6.9%27.1%-2.7%1.1%40.9K-1.4M-4.2K0.00113.362701,584181
2015-03-25$14.47$15.0022.6%6.5%22.6%4.0%0.0%-0.7%1.1%41.2K-1.3M-4.5K0.0078.402001,611181
2015-03-26$14.48$15.0026.3%7.5%22.2%6.3%26.6%-1.4%-0.1%39.4K-1.2M-4.6K0.76102.6098741,630181
2015-03-27$14.49$15.0030.9%8.9%22.1%9.2%0.0%4.0%1.3%40.1K-1.2M-4.5K0.00123.14501,630201
2015-03-30$14.58$15.0032.5%9.3%21.8%10.1%32.8%2.2%-2.4%38.2K-1.3M-4.5K0.73121.26101741,625201
2015-03-31$14.51$15.0033.9%9.7%20.3%11.0%33.9%6.2%-3.9%37.7K-1.2M-4.6K0.62125.52120741,625201