GPK Options History — November 2015

In November 2015, GPK traded between $13.11 and $14.33. ATM implied volatility averaged 31.5%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.7% (HV 20d: 22.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2015-11-10: Highest Volume — 4,210 contracts
  • 2015-11-25: Largest IV spike — 43.8% change
  • 2015-11-10: Highest IV Rank — 13.7%
  • 2015-11-25: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$13.11$14.33$14.33$13.67
Max Pain$14.88$12.50$15.00$15.00$15.00
ATM IV31.5%25.3%42.4%32.1%25.3%
Expected Move8.9%7.3%11.5%9.2%7.3%
HV 20d22.8%20.8%26.6%22.2%20.8%
HV 60d22.6%22.0%23.0%22.3%22.2%
IV Rank7.5%4.0%13.7%7.9%4.0%
IV Percentile53.6%19.0%85.3%61.1%19.0%
Term Structure0.9%-10.6%8.2%-1.0%-3.9%
VWIV31.8%17.3%38.3%33.7%35.9%
Skew 25d1.3%-13.6%14.4%-0.2%-9.2%
Skew 10d6.9%-12.8%21.8%-2.1%-12.8%
Call IV 25d31.2%19.9%39.2%33.9%34.3%
Put IV 25d32.5%21.9%38.2%33.7%25.2%
Bid-Ask Spread %99.7491.75116.57103.19107.31
Gamma HHI0.490.420.560.420.55
Net GEX102.4K-149.4K233.6K233.6K144.1K
Net DEX-1.6M-3.5M631.1K-3.5M-1.7M
Net VEX-24.6K-29.5K-19.7K-29.5K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.003.592.070.00
Total Volume1,569.45104,2101,591107
Total OI21,825.2520,00624,47420,71720,295

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$14.33$15.0032.1%9.2%22.2%7.9%33.7%-0.2%-1.0%233.6K-3.5M-29.5K2.07103.195191,07214,8565,861
2015-11-03$13.98$15.0029.5%8.5%22.6%6.4%32.0%-0.5%-1.5%144.0K-1.8M-27.5K1.9697.985571,09014,8565,861
2015-11-04$13.83$12.5026.3%7.6%23.1%4.6%30.6%-8.8%2.7%113.0K-1.5M-25.8K2.11116.575161,09114,9175,879
2015-11-05$13.93$15.0028.5%9.4%23.1%5.8%32.8%2.4%-2.2%146.0K-1.8M-26.7K1.5592.697041,09114,9175,880
2015-11-06$14.04$15.0029.3%9.0%22.2%6.3%0.0%2.3%-0.8%179.9K-2.2M-27.5K0.0099.0510015,1675,880
2015-11-09$13.79$15.0034.4%7.8%23.3%9.2%29.7%6.5%0.8%119.4K-1.2M-22.9K0.0091.7510015,1775,880
2015-11-10$13.65$15.0042.4%10.0%23.5%13.7%29.8%3.9%1.6%80.2K-404.2K-21.8K0.4292.712,9711,23915,1675,880
2015-11-11$13.70$15.0031.2%9.0%23.5%7.3%29.0%6.2%8.2%134.2K-2.1M-29.4K0.42100.262,9711,23917,6286,020
2015-11-12$13.44$15.0029.7%8.5%24.2%6.5%29.7%-1.0%8.0%60.4K-1.7M-29.3K2.6397.154701,23717,6286,020
2015-11-13$13.54$15.0029.6%8.5%24.2%6.4%38.3%14.4%5.5%51.4K-1.6M-26.3K2.76107.064501,24317,6286,020
2015-11-16$13.21$15.0036.5%10.5%25.6%10.4%36.1%2.5%-1.5%-51.8K-650.4K-23.8K3.5096.314001,40017,6436,020
2015-11-17$13.11$15.0034.8%10.0%25.6%9.4%35.4%-1.1%-3.6%-149.4K631.1K-19.7K1.9093.068451,60517,6436,831
2015-11-18$13.39$15.0030.1%8.6%26.6%6.7%34.5%-2.1%7.9%-21.2K-517.3K-22.0K2.8793.205601,60517,6435,831
2015-11-19$13.55$15.0031.8%9.1%21.1%7.6%33.5%11.1%4.5%108.9K-1.7M-24.0K2.9696.365461,61417,6635,831
2015-11-20$13.73$15.0032.8%9.4%21.1%8.2%35.7%4.1%0.2%175.5K-2.1M-25.0K3.5995.494491,61417,6695,831
2015-11-23$13.70$15.0026.8%7.7%21.1%4.8%17.3%1.0%-1.4%138.7K-1.9M-21.7K0.0099.0633016,6913,315
2015-11-24$13.66$15.0027.9%8.0%21.1%5.4%0.0%-1.0%-0.6%122.0K-2.2M-22.5K0.71105.081057516,7243,315
2015-11-25$13.65$15.0040.1%11.5%20.8%12.4%26.1%-13.6%-10.6%166.3K-2.2M-24.5K2.59109.8826267916,8293,390
2015-11-27$13.72$15.0031.4%9.0%20.8%7.4%35.9%10.1%5.5%152.9K-2.3M-22.5K2.05100.5933167916,8293,390
2015-11-30$13.67$15.0025.3%7.3%20.8%4.0%0.0%-9.2%-3.9%144.1K-1.7M-20.1K0.00107.31107016,9053,390