GPK Options History — August 2015

In August 2015, GPK traded between $13.88 and $15.17. ATM implied volatility averaged 30.3%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.5% (HV 20d: 21.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2015-08-14: Highest Volume — 4,004 contracts
  • 2015-08-25: Largest IV drop — 28.1% change
  • 2015-08-24: Highest IV Rank — 13.4%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.67$13.88$15.17$14.87$14.11
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.3%27.4%39.9%29.8%30.3%
Expected Move8.7%8.0%11.4%8.6%8.7%
HV 20d21.8%18.4%26.8%26.8%20.9%
HV 60d21.2%20.2%22.6%20.3%22.3%
IV Rank8.0%6.3%13.4%7.7%8.0%
IV Percentile58.9%44.0%83.7%57.5%60.7%
Term Structure-0.0%-1.7%3.4%-1.5%0.6%
VWIV33.8%28.8%44.5%29.8%34.2%
Skew 25d-2.0%-8.3%18.6%3.1%-0.3%
Skew 10d-6.5%-26.6%8.5%3.7%-13.2%
Call IV 25d36.0%30.7%41.4%33.8%34.2%
Put IV 25d34.0%27.8%53.4%36.9%33.9%
Bid-Ask Spread %99.5392.05115.60115.60102.65
Gamma HHI0.440.390.500.420.43
Net GEX513.0K207.0K848.7K453.3K374.2K
Net DEX-9.4M-14.5M-2.6M-10.4M-4.7M
Net VEX-95.0K-102.4K-88.8K-102.1K-90.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.146.660.341.23
Total Volume2,050.95204,00478996
Total OI42,723.23840,77444,20242,35542,252

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$14.87$15.0029.8%8.6%26.8%7.7%29.8%3.1%-1.5%453.3K-10.4M-102.1K0.34115.60582025,99916,356
2015-08-04$14.99$15.0029.0%8.3%26.8%7.3%42.7%3.4%0.1%511.6K-11.7M-102.4K6.6697.812791,85726,09916,353
2015-08-05$15.00$15.0029.8%8.5%26.2%7.7%44.5%3.4%-1.0%516.8K-11.6M-101.9K6.3497.842931,85726,10216,359
2015-08-06$14.80$15.0033.3%8.8%26.7%9.7%29.7%-8.3%-1.0%431.6K-10.0M-101.0K3.7596.024951,85726,16316,359
2015-08-07$15.00$15.0027.7%8.6%19.7%6.5%29.7%-6.2%-1.3%552.4K-11.7M-99.1K3.21100.625791,85726,30016,359
2015-08-10$15.08$15.0029.8%8.4%18.4%7.7%30.1%-5.5%-0.4%605.6K-12.7M-95.3K2.69106.966901,85826,47516,359
2015-08-11$14.86$15.0027.4%8.5%19.3%6.3%0.0%-6.2%0.6%589.1K-11.3M-94.7K0.0095.810026,45816,379
2015-08-12$14.77$15.0029.2%8.4%19.4%7.4%30.4%-7.4%0.5%550.9K-10.1M-96.2K2.9498.306331,85826,45816,379
2015-08-13$14.75$15.0027.9%8.0%19.3%6.6%28.8%-7.3%0.5%544.9K-10.0M-92.9K2.9495.796331,85826,47816,379
2015-08-14$14.99$15.0031.0%8.9%20.1%8.4%31.1%-6.7%-1.7%617.6K-11.8M-95.7K1.0599.391,9512,05326,47816,379
2015-08-17$15.17$15.0030.6%8.8%20.2%8.2%30.7%-5.4%-1.6%848.7K-13.7M-92.7K1.6296.631,1261,82627,29316,628
2015-08-18$15.16$15.0029.4%8.4%19.5%7.5%35.7%-3.0%-1.2%795.9K-14.5M-91.8K1.3995.781,3201,83227,27216,633
2015-08-19$15.07$15.0029.7%8.5%19.7%7.7%29.7%-6.9%-1.0%826.2K-13.1M-93.4K0.1495.921191727,53316,638
2015-08-20$14.84$15.0030.1%8.6%20.4%7.9%37.2%-7.5%-0.1%781.5K-11.4M-92.3K2.1094.438671,81827,54716,655
2015-08-21$14.44$15.0031.2%9.0%22.0%8.5%36.3%-8.1%-1.4%338.4K-7.5M-92.1K2.1196.298711,83627,54716,655
2015-08-24$14.00$15.0039.9%11.4%23.5%13.4%43.1%11.9%2.3%207.0K-3.9M-94.5K0.79109.121,6501,31125,74215,032
2015-08-25$13.88$15.0028.7%8.2%22.4%7.1%31.9%18.6%3.4%302.8K-3.9M-89.7K0.33101.021,81659526,05914,929
2015-08-26$13.95$15.0031.7%9.1%22.3%8.8%34.2%-0.2%1.2%243.9K-2.6M-88.8K0.3398.251,67355427,04514,889
2015-08-27$14.11$15.0028.2%8.1%22.1%6.8%31.0%3.6%3.4%316.5K-4.3M-92.7K0.9092.0561155027,06014,889
2015-08-28$14.22$15.0031.5%9.0%21.4%8.6%34.4%-6.7%-1.0%364.0K-5.3M-94.6K1.23103.8644655027,33014,889
2015-08-31$14.11$15.0030.3%8.7%20.9%8.0%34.2%-0.3%0.6%374.2K-4.7M-90.4K1.23102.6544655027,36314,889