GPK Options History — June 2015

In June 2015, GPK traded between $13.60 and $14.38. ATM implied volatility averaged 33.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 17.8% (HV 20d: 15.3%). 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 6 of 22 days. Put/call ratio averaged 5.39.

Notable Days

  • 2015-06-09: Highest Volume — 27,135 contracts
  • 2015-06-30: Largest IV spike — 69.2% change
  • 2015-06-30: Highest IV Rank — 16.3%
  • 2015-06-30: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.96$13.60$14.38$14.23$13.95
Max Pain$14.66$12.50$15.00$12.50$15.00
ATM IV33.1%21.6%45.1%27.7%45.1%
Expected Move9.1%6.2%12.9%7.9%12.9%
HV 20d15.3%12.6%19.0%13.7%19.0%
HV 60d19.1%18.6%19.9%19.7%19.5%
IV Rank9.5%3.1%16.3%6.5%16.3%
IV Percentile62.6%11.5%82.1%50.0%82.1%
Term Structure-1.2%-11.7%12.3%-3.5%-11.7%
VWIV35.1%28.2%46.4%28.2%45.0%
Skew 25d-6.9%-15.8%2.0%-1.7%-11.7%
Skew 10d10.9%-8.7%52.4%22.2%19.7%
Call IV 25d35.8%29.8%50.0%32.8%46.2%
Put IV 25d28.9%22.6%35.5%31.1%34.5%
Bid-Ask Spread %103.7347.50121.7897.10103.68
Gamma HHI0.430.380.520.470.40
Net GEX267.0K182.0K355.6K225.8K268.8K
Net DEX-4.4M-6.9M-2.5M-2.9M-5.5M
Net VEX-83.1K-119.4K-17.3K-18.2K-112.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.390.0032.800.141.01
Total Volume5,549.63632827,1351,575891
Total OI29,924.2279,30839,7429,30839,742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$14.23$12.5027.7%7.9%13.7%6.5%28.2%-1.7%-3.5%225.8K-2.9M-18.2K0.1497.101,3811948,421887
2015-06-02$14.33$12.5033.9%9.7%13.7%10.0%0.0%0.6%-4.1%274.9K-3.5M-20.8K0.00105.8632809,533891
2015-06-03$14.38$12.5033.6%9.6%12.6%9.8%36.3%2.0%-4.0%281.5K-3.3M-18.8K0.28104.136921949,757891
2015-06-04$14.09$15.0031.9%9.3%14.6%8.9%32.7%-9.1%-1.8%260.8K-3.2M-20.5K0.34121.785691949,985891
2015-06-05$14.16$15.0040.0%8.5%13.8%13.4%29.6%-7.2%1.0%260.4K-3.1M-20.4K0.49105.973991949,978891
2015-06-08$13.94$15.0035.9%9.3%13.8%11.1%32.4%1.8%-3.8%253.8K-2.8M-17.9K0.5893.563321949,998891
2015-06-09$13.89$15.0045.0%9.2%13.7%16.3%33.1%1.1%-3.1%232.9K-2.5M-17.3K0.85102.8714,63812,49710,006891
2015-06-10$14.06$15.0031.7%9.1%14.6%8.8%31.8%-7.2%-1.4%282.7K-6.3M-110.3K5.51112.332,26912,49724,43913,194
2015-06-11$14.00$15.0032.0%9.2%14.6%8.9%32.1%-7.1%-1.7%355.6K-6.9M-117.1K5.58106.412,23912,49726,46413,194
2015-06-12$13.78$15.0025.4%7.3%14.0%5.2%30.0%-8.1%-0.4%308.4K-5.3M-116.3K6.31106.981,98512,52925,85113,194
2015-06-15$13.66$15.0027.4%7.9%14.0%6.4%33.7%-0.8%10.6%240.9K-3.3M-112.2K32.80115.2238212,52925,95013,228
2015-06-16$13.60$15.0024.7%7.1%13.5%4.8%37.1%-4.5%12.3%182.0K-3.1M-110.4K32.45114.1938212,39625,89513,238
2015-06-17$13.65$15.0021.6%6.2%13.8%3.1%39.2%-13.3%10.4%195.2K-3.5M-110.7K28.77110.0243112,40125,97513,267
2015-06-18$13.88$15.0036.3%10.4%15.6%11.3%36.0%-11.1%-5.1%217.3K-4.3M-113.4K0.32110.9742613626,08213,310
2015-06-19$14.15$15.0032.5%9.3%17.5%9.2%32.5%-4.6%0.1%268.0K-6.3M-119.4K0.14115.141,02013926,09913,365
2015-06-22$14.07$15.0033.5%9.6%17.4%9.8%34.2%-7.1%-1.7%307.8K-5.6M-115.4K0.08106.848446924,20213,289
2015-06-23$14.10$15.0034.2%9.8%17.3%10.2%34.4%-8.7%-3.1%317.1K-6.2M-112.8K0.0673.081,0766924,79013,306
2015-06-24$14.00$15.0036.6%10.5%17.2%11.5%36.6%-11.0%-4.6%305.7K-5.5M-113.0K0.25102.7884021425,14913,306
2015-06-25$13.86$15.0039.3%11.3%17.3%13.1%37.8%-15.6%-6.4%295.3K-5.0M-110.0K0.4247.5028712025,59213,474
2015-06-26$13.78$15.0032.9%9.4%16.7%9.4%37.2%-13.3%-7.1%287.2K-4.5M-110.8K1.36113.9231242525,68913,497
2015-06-29$13.63$15.0026.7%7.6%17.0%5.9%46.4%-15.8%3.8%252.8K-3.5M-109.7K0.88111.8046941225,82013,821
2015-06-30$13.95$15.0045.1%12.9%19.0%16.3%45.0%-11.7%-11.7%268.8K-5.5M-112.7K1.01103.6844344825,90113,841