GPK Options History — September 2015

In September 2015, GPK traded between $12.69 and $14.14. ATM implied volatility averaged 37.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 18.2% (HV 20d: 19.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.26.

Notable Days

  • 2015-09-08: Highest Volume — 25,534 contracts
  • 2015-09-17: Largest IV spike — 77.2% change
  • 2015-09-17: Highest IV Rank — 22.0%
  • 2015-09-17: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.72$12.69$14.14$13.89$12.79
Max Pain$13.00$12.50$15.00$15.00$12.50
ATM IV37.6%28.9%56.9%37.3%40.2%
Expected Move10.7%8.3%16.3%10.7%11.5%
HV 20d19.4%16.4%21.4%21.0%20.1%
HV 60d22.2%21.6%23.2%22.3%23.2%
IV Rank11.5%6.0%22.0%11.9%12.4%
IV Percentile75.4%44.8%89.7%81.3%82.1%
Term Structure-2.1%-13.6%11.1%-1.6%-3.0%
VWIV38.5%33.3%53.5%42.4%40.8%
Skew 25d2.9%-8.2%15.6%0.3%-4.7%
Skew 10d8.1%-7.1%26.7%2.1%-7.1%
Call IV 25d38.4%31.4%59.4%40.7%45.5%
Put IV 25d41.3%35.9%52.7%41.0%40.8%
Bid-Ask Spread %101.8491.52123.99101.87102.58
Gamma HHI0.390.330.520.400.52
Net GEX165.2K-133.1K349.4K258.2K-133.1K
Net DEX-1.4M-4.9M1.7M-3.9M1.7M
Net VEX-38.8K-90.4K-16.6K-88.9K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.260.0827.881.0314.29
Total Volume3,449.52420225,5341,0873,424
Total OI23,622.8113,54342,26642,25216,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$13.89$15.0037.3%10.7%21.0%11.9%42.4%0.3%-1.6%258.2K-3.9M-88.9K1.03101.8753655127,36314,889
2015-09-02$14.01$15.0035.6%10.2%21.4%10.9%42.6%4.9%-6.0%290.4K-4.5M-90.4K0.45101.481,22955127,36314,887
2015-09-03$14.03$0.0035.0%10.3%21.2%10.6%35.8%2.1%-2.4%268.8K-4.3M-88.5K0.46106.081,20555127,16414,887
2015-09-04$13.98$15.0044.7%11.0%20.3%16.1%36.3%0.8%-1.5%261.4K-4.7M-90.1K0.4796.471,19255727,26214,887
2015-09-08$14.14$15.0038.5%10.3%20.7%12.6%53.5%15.6%-1.8%349.4K-4.9M-85.7K0.9898.5012,90912,62527,37914,887
2015-09-09$14.06$12.5035.1%10.1%20.3%10.7%35.5%13.2%-2.6%337.2K-2.4M-31.5K24.4996.7551812,68717,2504,353
2015-09-10$14.01$12.5035.1%10.1%20.3%10.7%34.6%4.0%-1.5%277.4K-1.7M-29.8K27.8891.5245512,68717,2504,353
2015-09-11$13.98$12.5034.1%9.8%20.3%10.1%33.5%5.1%-1.1%243.2K-890.7K-28.3K0.2192.384278917,2434,348
2015-09-14$13.90$12.5033.1%9.5%19.0%9.5%34.0%5.6%-1.8%211.1K-528.8K-26.1K0.1991.534598917,2604,358
2015-09-15$14.08$12.5030.0%8.6%19.1%7.8%34.6%-2.4%-1.5%266.5K-1.7M-27.1K0.08104.621871517,3094,358
2015-09-16$14.13$12.5032.1%9.2%19.3%7.8%35.5%1.6%-2.8%283.4K-2.0M-27.0K0.2899.2147913417,4964,343
2015-09-17$14.06$12.5056.9%16.3%19.3%22.0%41.6%-6.5%-13.6%130.6K-558.7K-27.1K0.26123.9947912617,5084,268
2015-09-18$13.70$12.5033.2%9.5%20.5%8.5%33.5%6.3%11.1%88.0K646.7K-20.3K0.19101.874899517,5084,268
2015-09-21$13.82$12.5028.9%8.3%19.0%6.0%35.0%9.3%-0.6%92.6K-720.4K-22.0K1.36101.5842257610,2913,252
2015-09-22$13.54$12.5034.1%9.8%17.1%9.0%34.9%7.4%8.3%48.1K220.9K-17.1K1.3697.4742357610,3063,250
2015-09-23$13.41$12.5033.3%9.6%17.2%8.5%45.3%-5.4%8.6%58.4K-156.2K-20.4K1.3698.5142357610,3063,327
2015-09-24$13.35$12.5045.5%13.1%17.0%15.5%34.8%8.3%-12.2%29.7K583.2K-16.6K0.08111.284233210,3063,327
2015-09-25$13.40$12.5042.0%12.0%16.4%13.5%33.3%4.2%-11.9%62.9K-308.7K-21.0K0.12109.962683210,3063,327
2015-09-28$13.11$12.5044.0%12.6%17.3%14.7%50.8%-0.5%-3.7%33.0K392.8K-17.6K0.16105.751963110,3173,327
2015-09-29$12.69$12.5039.9%11.5%20.0%12.3%41.2%-8.2%-2.6%12.4K710.2K-17.2K13.81105.142513,46610,3173,327
2015-09-30$12.79$12.5040.2%11.5%20.1%12.4%40.8%-4.7%-3.0%-133.1K1.7M-22.7K14.29102.582243,20010,3266,026