GPK Options History — July 2015

In July 2015, GPK traded between $13.60 and $15.11. ATM implied volatility averaged 38.7%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 15.1% (HV 20d: 23.6%). Max pain ranged from $15.00 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 1.74.

Notable Days

  • 2015-07-27: Highest Volume — 2,709 contracts
  • 2015-07-08: Largest IV spike — 52.4% change
  • 2015-07-08: Highest IV Rank — 39.0%
  • 2015-07-02: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.43$13.60$15.11$13.77$15.11
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV38.7%26.2%85.4%38.9%29.3%
Expected Move9.3%7.5%14.0%11.1%8.4%
HV 20d23.6%17.3%26.9%19.4%25.8%
HV 60d20.5%19.2%22.6%19.6%20.2%
IV Rank12.7%5.7%39.0%12.8%7.5%
IV Percentile67.5%36.5%93.3%79.0%54.0%
Term Structure-2.0%-15.2%1.8%-13.4%-1.8%
VWIV35.4%29.6%48.9%45.5%32.8%
Skew 25d-3.1%-16.3%8.8%-16.3%3.3%
Skew 10d0.7%-13.1%22.7%8.8%6.4%
Call IV 25d36.5%24.3%49.7%47.0%31.5%
Put IV 25d33.4%29.0%42.7%30.7%34.9%
Bid-Ask Spread %103.7678.10128.79128.79113.62
Gamma HHI0.410.370.510.410.41
Net GEX409.6K213.7K891.0K289.3K504.4K
Net DEX-8.1M-12.3M-2.5M-3.8M-12.3M
Net VEX-107.6K-114.5K-102.5K-110.2K-102.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.076.191.123.52
Total Volume1,408.4553952,7098492,415
Total OI40,904.77338,78442,09139,80942,091

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$13.77$15.0038.9%11.1%19.4%12.8%45.5%-16.3%-13.4%289.3K-3.8M-110.2K1.12128.7940144825,90213,907
2015-07-02$13.78$15.0048.9%14.0%18.2%18.5%48.9%-13.5%-15.2%251.9K-4.3M-110.0K1.11114.6239443925,90213,907
2015-07-06$13.78$15.0057.0%10.2%18.0%23.0%35.7%-2.5%-1.1%272.7K-3.9M-108.4K0.4793.9927813225,90213,908
2015-07-07$13.86$15.0056.0%10.0%17.4%22.5%35.5%0.3%-2.7%262.1K-4.4M-108.9K0.33101.892979825,92113,918
2015-07-08$13.70$15.0085.4%9.1%17.8%39.0%34.9%-2.5%-1.3%252.2K-3.4M-106.0K2.6392.074171,09825,96113,903
2015-07-09$13.60$15.0052.2%8.5%17.3%20.3%35.7%-4.5%0.2%213.7K-2.5M-108.0K2.04105.815471,11426,11114,922
2015-07-10$14.35$15.0044.2%9.9%26.1%15.8%34.5%-2.1%-2.6%417.8K-7.2M-114.5K0.0778.101,1227526,16114,922
2015-07-13$14.66$15.0042.9%9.4%26.2%15.1%32.8%1.1%-1.5%566.1K-10.1M-108.4K0.1896.595139226,58814,914
2015-07-14$14.66$15.0032.2%9.0%25.9%9.1%31.5%-6.5%-0.9%696.5K-10.9M-108.1K0.7193.8031522426,75214,914
2015-07-15$14.67$15.0030.9%8.9%25.7%8.3%30.9%-8.7%0.7%639.8K-10.3M-108.7K0.77112.0831524426,80314,912
2015-07-16$14.75$15.0029.7%8.5%25.7%7.7%29.7%-7.6%0.5%891.0K-10.6M-107.8K1.0098.1125825926,80314,932
2015-07-17$14.72$15.0032.2%9.2%25.3%9.0%32.2%-7.5%-0.5%374.0K-8.2M-113.3K0.5798.2745325926,85714,912
2015-07-20$14.88$15.0029.6%8.5%24.8%7.6%29.6%-6.2%0.5%378.2K-11.4M-107.0K0.24102.8690622024,16314,621
2015-07-21$14.68$15.0031.9%9.2%25.3%8.9%32.0%-7.1%-0.9%369.9K-10.5M-105.5K0.7599.7129422024,78114,622
2015-07-22$14.71$15.0033.2%9.5%25.3%9.6%46.3%1.1%-0.3%389.8K-10.9M-105.3K6.19102.892911,80224,89614,622
2015-07-23$14.82$15.0029.4%8.4%25.1%7.5%42.8%1.5%0.0%406.4K-11.1M-103.3K3.4496.855261,80925,03616,219
2015-07-24$14.60$15.0028.9%8.3%25.5%7.2%31.1%0.6%-1.3%316.1K-8.8M-106.6K2.44109.267451,82025,38816,235
2015-07-27$14.30$15.0032.6%9.3%26.7%9.3%32.6%-1.4%-1.4%312.2K-7.3M-108.3K2.07114.348821,82725,58616,238
2015-07-28$14.57$15.0030.7%8.8%26.9%8.2%33.2%0.5%-1.4%358.7K-7.7M-107.9K2.63103.916881,81225,65916,262
2015-07-29$14.67$15.0029.3%8.4%25.9%7.4%33.3%1.6%-0.7%388.6K-8.6M-104.6K2.34124.547741,81225,65916,266
2015-07-30$14.88$15.0026.2%7.5%25.5%5.7%37.3%8.8%1.8%459.4K-10.4M-103.3K3.66100.565051,84625,66116,266
2015-07-31$15.11$15.0029.3%8.4%25.8%7.5%32.8%3.3%-1.8%504.4K-12.3M-102.5K3.52113.625341,88125,78516,306