GPK Options History — January 2016

In January 2016, GPK traded between $10.73 and $12.92. ATM implied volatility averaged 41.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 14.5% (HV 20d: 26.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.89.

Notable Days

2016-01-28: Highest Volume — 3,834 contracts
2016-01-25: Largest IV spike — 46.9% change
2016-01-27: Highest IV Rank — 20.3%
2016-01-27: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.90	$10.73	$12.92	$12.84	$10.96
Max Pain	$13.29	$12.50	$15.00	$12.50	$12.50
ATM IV	41.2%	32.0%	53.9%	38.4%	40.6%
Expected Move	11.0%	9.5%	15.5%	9.6%	11.6%
HV 20d	26.7%	18.9%	42.2%	18.9%	42.2%
HV 60d	22.9%	19.0%	29.1%	20.5%	29.1%
IV Rank	13.0%	7.8%	20.3%	11.4%	12.7%
IV Percentile	83.5%	59.5%	95.6%	81.3%	84.9%
Term Structure	6.7%	-11.1%	116.5%	-1.9%	8.0%
VWIV	40.8%	33.0%	67.0%	33.3%	46.8%
Skew 25d	1.9%	-63.1%	30.5%	4.8%	4.3%
Skew 10d	10.5%	-7.3%	34.4%	9.2%	3.4%
Call IV 25d	40.8%	29.8%	106.7%	32.4%	41.6%
Put IV 25d	42.6%	34.1%	61.8%	37.1%	45.9%
Bid-Ask Spread %	103.55	92.95	135.61	100.32	102.21
Gamma HHI	0.51	0.34	0.64	0.58	0.43
Net GEX	141.4K	3.3K	260.7K	244.0K	3.3K
Net DEX	-1.5M	-5.0M	690.9K	-3.0M	616.0K
Net VEX	-13.2K	-25.1K	-6.5K	-16.6K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	0.29	2.90	0.31	2.48
Total Volume	1,451.737	570	3,834	640	3,834
Total OI	14,584.579	13,466	16,995	13,466	16,995

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$12.84	$12.50	38.4%	9.6%	18.9%	11.4%	33.3%	4.8%	-1.9%	244.0K	-3.0M	-16.6K	0.31	100.32	490	150	12,992	474
2016-01-05	$12.92	$12.50	32.0%	9.5%	19.1%	7.8%	33.0%	4.9%	-1.8%	260.7K	-3.3M	-17.1K	0.29	97.41	513	150	13,114	474
2016-01-06	$12.62	$12.50	40.4%	9.8%	20.5%	12.6%	34.3%	5.0%	-1.8%	209.6K	-2.5M	-14.6K	1.12	104.36	563	630	13,159	474
2016-01-07	$12.39	$12.50	40.9%	9.6%	20.9%	12.9%	33.6%	3.6%	-1.1%	186.4K	-2.0M	-15.9K	2.12	97.11	297	630	13,254	931
2016-01-08	$12.11	$12.50	45.6%	10.0%	22.1%	15.5%	34.9%	1.8%	-2.8%	168.3K	-1.8M	-14.6K	1.82	100.60	202	368	13,255	931
2016-01-11	$12.29	$12.50	51.3%	10.1%	23.0%	18.8%	35.2%	3.1%	-2.6%	167.6K	-1.7M	-14.1K	1.60	98.70	230	368	13,260	942
2016-01-12	$12.17	$12.50	45.4%	9.9%	23.0%	15.4%	34.4%	2.6%	-1.7%	167.0K	-1.6M	-13.9K	1.60	96.23	230	368	13,291	932
2016-01-13	$12.03	$15.00	34.3%	9.8%	23.1%	9.1%	34.0%	-0.3%	-0.4%	154.6K	-1.5M	-14.0K	1.62	100.87	230	373	13,291	936
2016-01-14	$12.08	$15.00	36.0%	10.3%	23.1%	10.0%	35.8%	4.1%	-2.1%	152.5K	-1.4M	-13.2K	1.62	98.54	230	373	13,291	932
2016-01-15	$12.13	$15.00	43.4%	12.4%	22.7%	14.3%	67.0%	-63.1%	40.3%	209.6K	-5.0M	-25.1K	1.87	132.34	230	431	13,291	932
2016-01-19	$11.94	$15.00	35.3%	10.1%	22.3%	9.7%	37.2%	2.9%	-1.0%	149.6K	-1.4M	-12.3K	2.90	102.62	182	527	13,092	854
2016-01-20	$11.91	$15.00	37.2%	10.7%	19.0%	10.8%	39.5%	2.8%	-1.6%	158.1K	-1.4M	-13.8K	2.83	100.25	186	527	13,094	1,019
2016-01-21	$11.75	$15.00	34.8%	10.0%	18.9%	9.4%	35.4%	8.2%	-0.7%	135.0K	-1.2M	-12.1K	2.83	92.95	186	527	13,099	1,019
2016-01-22	$12.19	$12.50	33.6%	9.6%	23.4%	8.7%	33.8%	5.7%	-0.8%	147.7K	-1.4M	-11.9K	2.40	99.49	220	527	13,101	1,019
2016-01-25	$11.04	$12.50	49.4%	14.2%	41.0%	17.7%	52.5%	7.8%	-11.1%	67.7K	-836	-6.6K	2.10	102.67	1,053	2,206	13,140	1,019
2016-01-26	$11.12	$12.50	43.6%	12.5%	41.2%	14.4%	48.9%	-3.9%	-6.1%	76.8K	-483.5K	-13.0K	1.98	101.47	1,128	2,231	13,884	2,626
2016-01-27	$10.89	$12.50	53.9%	15.5%	41.4%	20.3%	53.9%	30.5%	116.5%	16.8K	439.6K	-7.7K	1.98	135.61	1,128	2,231	13,854	2,641
2016-01-28	$10.73	$12.50	46.5%	13.3%	41.1%	16.1%	52.5%	11.2%	0.7%	10.6K	690.9K	-6.5K	2.48	103.72	1,103	2,731	13,854	2,641
2016-01-29	$10.96	$12.50	40.6%	11.6%	42.2%	12.7%	46.8%	4.3%	8.0%	3.3K	616.0K	-8.2K	2.48	102.21	1,103	2,731	13,854	3,141