GPK Options History — May 2015

In May 2015, GPK traded between $14.25 and $14.87. ATM implied volatility averaged 28.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.4% (HV 20d: 22.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.25.

Notable Days

  • 2015-05-01: Highest Volume — 1,077 contracts
  • 2015-05-12: Largest IV spike — 38.0% change
  • 2015-05-12: Highest IV Rank — 14.6%
  • 2015-05-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.61$14.25$14.87$14.45$14.25
Max Pain$12.63$12.50$15.00$15.00$12.50
ATM IV28.9%23.7%42.0%26.8%28.7%
Expected Move8.0%6.8%9.1%7.7%8.2%
HV 20d22.5%16.0%25.5%24.9%16.0%
HV 60d21.2%19.6%22.6%22.6%19.8%
IV Rank7.2%4.2%14.6%6.0%7.1%
IV Percentile49.6%25.4%76.6%42.5%54.0%
Term Structure-0.9%-3.6%1.1%-0.1%-3.6%
VWIV29.1%24.8%33.0%30.3%29.6%
Skew 25d0.6%-3.6%6.2%0.2%-2.5%
Skew 10d2.4%-8.0%17.1%-8.0%8.6%
Call IV 25d27.8%23.7%31.5%31.5%29.9%
Put IV 25d28.4%24.9%36.7%31.7%27.4%
Bid-Ask Spread %97.3729.96124.87103.74110.83
Gamma HHI0.540.460.620.460.48
Net GEX240.7K141.6K330.8K141.6K227.4K
Net DEX-3.2M-3.9M-2.3M-2.5M-2.6M
Net VEX-15.7K-18.9K-11.9K-11.9K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.000.450.190.45
Total Volume638.51571,0771,077618
Total OI7,411.855,2789,2135,2789,213

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$14.45$15.0026.8%7.7%24.9%6.0%30.3%0.2%-0.1%141.6K-2.5M-11.9K0.19103.749071705,009269
2015-05-04$14.56$12.5030.0%8.4%25.0%7.8%29.5%-3.6%-0.5%190.1K-2.7M-12.8K0.15118.68137205,522349
2015-05-05$14.34$12.5032.1%9.1%25.5%9.0%31.4%5.2%-2.7%169.5K-2.3M-12.0K0.45115.583811705,598369
2015-05-06$14.33$12.5036.4%9.0%24.5%11.5%31.3%6.2%-3.0%173.3K-2.5M-12.3K0.12106.26748915,598369
2015-05-07$14.52$12.5033.9%8.1%25.0%10.0%28.4%-2.4%-0.0%220.6K-2.9M-13.7K0.14120.78661916,202370
2015-05-08$14.69$12.5025.9%8.0%25.4%5.5%33.0%-0.6%1.1%284.5K-3.6M-14.8K0.0099.5219306,521370
2015-05-11$14.73$12.5030.4%8.3%25.4%8.1%32.4%0.4%-0.7%298.8K-3.6M-14.7K0.00124.8730406,641370
2015-05-12$14.64$12.5042.0%8.7%24.9%14.6%30.4%-1.5%-2.3%267.7K-3.5M-14.8K0.25109.57370916,780370
2015-05-13$14.66$12.5028.6%8.2%24.8%7.0%29.6%-0.5%0.1%281.1K-3.5M-15.1K0.2580.07370916,857370
2015-05-14$14.87$12.5028.8%8.3%25.1%7.1%29.3%0.6%0.1%330.8K-3.9M-15.7K0.2698.06351916,965370
2015-05-15$14.78$12.5028.7%8.2%23.6%7.1%28.7%1.0%0.1%211.4K-3.4M-15.2K0.3029.96306917,138370
2015-05-18$14.87$12.5027.3%7.8%23.3%6.3%27.3%1.3%-1.6%229.3K-3.5M-15.3K0.3493.825691916,542350
2015-05-19$14.86$12.5024.8%7.1%22.4%4.9%24.8%2.4%-1.0%259.3K-3.8M-17.2K0.1095.86614617,098541
2015-05-20$14.76$12.5026.0%7.4%22.5%5.6%27.0%2.3%-0.3%256.8K-3.7M-18.8K0.20108.048891777,497600
2015-05-21$14.74$12.5025.8%7.4%18.7%5.5%28.4%-0.7%-2.3%256.8K-3.4M-18.2K0.4354.616322747,547704
2015-05-22$14.61$12.5024.4%7.0%19.0%4.7%29.1%0.5%-0.2%251.6K-3.2M-18.8K0.30117.886431917,621840
2015-05-26$14.51$12.5023.7%6.8%18.3%4.2%25.6%3.9%0.4%253.2K-2.9M-17.9K0.30107.986601957,852861
2015-05-27$14.59$12.5027.3%7.8%17.8%6.3%27.8%-0.6%-1.1%252.9K-3.1M-18.9K0.3891.725161958,114867
2015-05-28$14.47$12.5026.2%7.5%17.1%5.6%27.8%1.5%0.1%256.8K-3.0M-18.0K0.3859.645161958,346867
2015-05-29$14.25$12.5028.7%8.2%16.0%7.1%29.6%-2.5%-3.6%227.4K-2.6M-17.5K0.45110.834271918,346867