GPK Options History — October 2015

In October 2015, GPK traded between $12.88 and $14.35. ATM implied volatility averaged 41.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 16.9% (HV 20d: 24.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 6.93.

Notable Days

  • 2015-10-22: Highest Volume — 4,170 contracts
  • 2015-10-22: Largest IV spike — 73.3% change
  • 2015-10-13: Highest IV Rank — 35.0%
  • 2015-10-22: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.70$12.88$14.35$12.88$14.16
Max Pain$13.64$12.50$15.00$12.50$15.00
ATM IV41.6%23.7%79.8%48.1%26.7%
Expected Move10.6%6.8%19.5%13.8%7.6%
HV 20d24.7%20.0%28.5%20.0%22.0%
HV 60d22.0%20.9%24.1%23.2%22.3%
IV Rank13.2%3.0%35.0%17.0%4.7%
IV Percentile73.8%14.3%94.4%87.7%27.8%
Term Structure-1.2%-26.9%10.4%-13.5%-0.1%
VWIV38.0%31.2%48.0%48.0%34.7%
Skew 25d1.2%-10.9%21.9%1.8%2.5%
Skew 10d4.8%-8.0%24.1%20.1%4.1%
Call IV 25d37.2%25.8%47.8%47.8%30.9%
Put IV 25d38.4%31.0%49.5%49.5%33.4%
Bid-Ask Spread %100.7690.90117.36112.34103.71
Gamma HHI0.410.340.610.610.42
Net GEX34.2K-144.8K213.1K-144.8K193.3K
Net DEX-574.9K-4.0M2.3M2.3M-3.0M
Net VEX-22.2K-38.7K-16.0K-16.0K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.930.3522.7714.262.07
Total Volume2,585.636354,1703,4191,591
Total OI17,336.40914,41121,54016,35320,690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$12.88$12.5048.1%13.8%20.0%17.0%48.0%1.8%-13.5%-144.8K2.3M-16.0K14.26112.342243,19510,3276,026
2015-10-02$13.29$12.5038.0%10.9%23.6%11.2%41.8%6.3%4.9%-75.3K483.6K-24.2K14.48111.932203,18610,3276,019
2015-10-05$13.37$12.5043.6%10.3%23.8%14.4%36.4%0.1%-0.4%-87.4K1.2M-17.6K6.0091.8053010,3316,019
2015-10-06$13.08$12.5040.8%10.4%24.2%12.8%37.2%-1.9%-1.4%-100.8K549.7K-23.3K22.7792.251393,16510,3366,049
2015-10-07$13.17$12.5043.0%10.6%24.5%14.1%37.0%1.1%-1.8%-123.2K1.1M-19.1K18.0693.781773,19610,3396,049
2015-10-08$13.29$12.5050.3%11.1%24.9%18.2%38.9%1.8%-4.7%-98.6K799.7K-19.3K13.5493.212363,19610,3596,075
2015-10-09$13.56$12.5039.9%9.0%26.2%12.3%40.3%-0.5%10.4%8.0K-478.9K-21.9K7.3990.904273,15510,4236,075
2015-10-12$13.59$12.5054.8%10.5%26.2%20.8%37.2%-1.5%-0.6%23.9K-286.0K-20.3K7.5392.224373,29010,4396,075
2015-10-13$13.68$12.5079.8%9.1%25.8%35.0%37.7%-0.2%4.7%6.2K-153.7K-19.1K6.4094.125143,29010,4106,205
2015-10-14$13.63$12.5032.9%9.4%25.7%8.3%38.7%3.1%10.1%-6.3K285.3K-17.6K6.6399.904963,29010,5606,205
2015-10-15$13.75$12.5033.2%9.5%26.0%8.4%38.0%3.0%8.7%44.8K183.8K-16.9K8.30102.223963,28510,5916,205
2015-10-16$13.63$12.5038.2%10.9%24.5%11.3%36.9%2.9%0.2%49.1K113.2K-16.6K8.3298.663963,29510,6116,210
2015-10-19$13.71$15.0042.9%12.3%24.4%14.0%36.8%-4.3%-26.9%61.5K110.8K-18.0K0.60104.8930318310,5733,838
2015-10-20$13.65$15.0032.6%9.4%23.2%8.1%38.1%2.5%8.5%47.2K-127.1K-17.7K3.5593.763031,07510,6133,838
2015-10-21$13.48$15.0039.3%11.3%23.4%11.9%41.7%3.6%-2.0%7.1K115.1K-18.8K3.4793.753081,07010,6134,838
2015-10-22$14.10$15.0068.0%19.5%28.2%28.3%33.6%-10.9%-12.3%96.3K-513.7K-17.3K0.35100.893,1001,07010,6975,848
2015-10-23$14.29$15.0023.7%6.8%28.5%3.0%44.7%21.9%5.7%213.1K-4.0M-38.7K1.4594.987571,09615,6925,848
2015-10-26$14.31$15.0029.9%8.6%26.9%6.6%31.2%-1.9%1.1%170.6K-2.5M-29.6K1.60110.666861,09613,6745,848
2015-10-27$14.25$15.0034.8%10.0%23.4%9.4%31.4%-5.5%-6.0%161.3K-2.7M-28.8K1.54110.487081,08714,0035,848
2015-10-28$14.35$15.0038.2%11.0%23.4%11.3%38.7%-0.2%-7.6%168.2K-3.1M-29.2K2.17117.365031,08914,4235,849
2015-10-29$14.23$15.0035.7%10.2%23.9%9.9%38.0%3.4%-3.4%137.4K-3.0M-28.4K1.96112.885471,07214,5515,852
2015-10-30$14.16$15.0026.7%7.6%22.0%4.7%34.7%2.5%-0.1%193.3K-3.0M-29.4K2.07103.715191,07214,8295,861