GPK Options History — December 2015

In December 2015, GPK traded between $12.25 and $13.78. ATM implied volatility averaged 32.4%, 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 14.1% (HV 20d: 18.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2015-12-18: Highest Volume — 2,941 contracts
  • 2015-12-03: Largest IV spike — 44.7% change
  • 2015-12-03: Highest IV Rank — 20.4%
  • 2015-12-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.95$12.25$13.78$13.78$12.85
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV32.4%26.4%54.1%30.0%29.1%
Expected Move8.7%7.6%10.7%8.6%8.3%
HV 20d18.3%14.8%20.5%20.5%18.9%
HV 60d22.1%20.5%23.0%22.2%20.5%
IV Rank8.0%4.6%20.4%6.6%6.1%
IV Percentile54.3%23.8%91.7%48.8%37.7%
Term Structure2.3%-14.8%33.9%9.9%2.2%
VWIV30.6%26.4%34.9%34.9%29.1%
Skew 25d6.1%-13.0%21.1%21.1%9.4%
Skew 10d14.8%-17.6%33.5%31.3%33.5%
Call IV 25d30.8%21.5%43.7%23.6%27.2%
Put IV 25d36.9%29.7%44.7%44.7%36.7%
Bid-Ask Spread %104.2695.33118.12108.47101.42
Gamma HHI0.570.490.860.590.56
Net GEX85.1K-170.5K245.4K197.8K245.4K
Net DEX-971.8K-3.0M2.9M-1.9M-3.0M
Net VEX-15.2K-22.4K-7.0K-21.5K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.850.000.06
Total Volume1,936.091452,941532,873
Total OI18,258.510,72023,07220,35613,466

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$13.78$15.0030.0%8.6%20.5%6.6%0.0%21.1%9.9%197.8K-1.9M-21.5K0.00108.4753016,9663,390
2015-12-02$13.54$15.0037.4%10.7%19.6%10.9%34.9%4.0%-14.8%91.2K-2.1M-22.4K1.8597.7325947917,0393,390
2015-12-03$13.54$12.5054.1%8.0%19.3%20.4%31.0%-2.6%5.5%135.9K-2.0M-21.4K0.39114.292248717,1423,415
2015-12-04$13.46$12.5033.6%9.3%19.1%8.7%28.9%9.5%-2.3%106.8K-842.0K-17.6K0.42107.6825710917,1853,415
2015-12-07$13.35$12.5038.0%8.3%18.9%11.2%0.0%11.3%8.0%40.3K-871.4K-18.0K0.00103.4445017,2473,385
2015-12-08$13.19$12.5035.6%8.8%18.4%9.8%31.0%2.0%0.1%25.6K-254.0K-14.7K0.4197.1926310917,3123,385
2015-12-09$13.15$12.5031.3%9.0%18.1%7.4%31.5%-1.0%-0.6%5.9K-50.0K-15.0K0.40104.3527310917,3373,385
2015-12-10$13.03$12.5030.3%8.7%18.2%6.8%30.6%2.0%0.2%-24.2K170.0K-13.0K0.4099.5627310917,3473,385
2015-12-11$12.92$12.5031.3%9.0%17.3%7.4%31.5%3.8%1.7%-50.6K136.9K-14.0K0.04101.502,70612117,3373,385
2015-12-14$12.78$12.5032.1%9.2%17.2%7.9%32.2%3.2%0.6%-76.9K353.5K-13.8K0.04105.172,70612118,5823,404
2015-12-15$12.80$12.5031.2%8.9%15.1%7.3%31.5%3.8%2.4%-79.8K57.1K-15.2K0.04100.162,70212119,5823,404
2015-12-16$12.94$12.5031.3%9.0%15.6%7.4%31.9%-3.2%-1.9%-39.0K42.0K-12.4K0.05118.122,70612919,6233,404
2015-12-17$12.68$12.5029.5%8.5%14.8%6.3%30.0%2.4%2.2%-170.5K431.5K-13.6K0.05104.852,70612919,6683,404
2015-12-18$12.25$12.5032.7%9.4%17.6%8.2%33.0%4.5%-1.9%122.6K2.9M-9.3K0.09102.992,70623519,6683,404
2015-12-21$12.38$12.5031.1%8.9%17.3%7.3%31.1%14.8%33.9%85.1K-359.8K-7.0K0.04102.102,69410410,349371
2015-12-22$12.46$12.5026.4%7.6%17.8%4.6%26.4%15.9%1.7%104.6K-523.3K-8.0K0.04114.352,7889810,392371
2015-12-23$12.69$12.5027.0%7.7%19.6%4.9%27.0%14.4%1.4%223.7K-2.6M-16.5K0.04107.372,7399812,988415
2015-12-24$12.72$12.5029.2%8.4%19.6%6.2%29.3%1.6%1.1%232.5K-2.8M-16.6K0.04100.102,73910512,988415
2015-12-28$12.69$12.5030.5%8.7%19.4%6.9%30.5%16.3%0.6%221.4K-2.6M-16.1K0.0695.332,72315012,988422
2015-12-29$12.77$12.5030.1%8.6%19.7%6.7%30.1%13.9%0.1%229.6K-2.7M-15.2K0.06105.172,72315012,992474
2015-12-30$12.84$12.5030.8%8.8%19.6%7.1%30.9%-13.0%-0.0%244.2K-2.9M-16.3K0.06102.442,72315012,992474
2015-12-31$12.85$12.5029.1%8.3%18.9%6.1%29.1%9.4%2.2%245.4K-3.0M-16.2K0.06101.422,72315012,992474