GPK Options History — February 2016

In February 2016, GPK traded between $11.16 and $12.34. ATM implied volatility averaged 43.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 2.3% (HV 20d: 46.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.14.

Notable Days

  • 2016-02-18: Highest Volume — 1,720 contracts
  • 2016-02-08: Largest IV spike — 56.0% change
  • 2016-02-08: Highest IV Rank — 32.2%
  • 2016-02-02: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.65$11.16$12.34$11.34$12.34
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV43.8%36.5%74.8%41.3%37.8%
Expected Move11.8%10.0%15.4%11.8%10.8%
HV 20d46.0%36.5%52.6%44.7%36.5%
HV 60d32.6%29.8%34.9%29.9%34.8%
IV Rank14.5%10.4%32.2%13.1%11.1%
IV Percentile82.4%70.2%98.4%85.7%72.2%
Term Structure2.1%-9.5%119.3%-5.6%-2.6%
VWIV43.7%37.3%50.6%48.0%44.2%
Skew 25d10.9%-0.8%27.5%10.2%7.4%
Skew 10d26.6%1.2%93.5%23.1%10.9%
Call IV 25d41.6%36.8%52.1%48.6%38.4%
Put IV 25d52.6%38.3%68.2%58.8%45.8%
Bid-Ask Spread %95.1884.41108.51108.5193.42
Gamma HHI0.460.330.690.350.69
Net GEX106.0K36.1K210.7K76.5K210.7K
Net DEX-701.1K-2.2M427.6K-205.2K-2.2M
Net VEX-11.5K-14.7K-8.2K-12.8K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.563.463.462.70
Total Volume982.66971,7201,386778
Total OI17,814.9517,00319,50317,00317,985

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$11.34$12.5041.3%11.8%44.7%13.1%48.0%10.2%-5.6%76.5K-205.2K-12.8K3.46108.513111,07513,8623,141
2016-02-02$11.23$12.5053.6%15.4%44.7%20.1%50.6%8.8%-4.2%36.1K390.7K-9.7K3.35101.673211,07513,8573,152
2016-02-03$11.30$12.5037.3%10.7%44.7%10.8%40.8%23.3%4.7%40.3K113.8K-10.6K1.82103.3032158413,8573,152
2016-02-04$11.43$12.5039.8%11.8%44.7%12.2%42.4%8.1%-6.5%54.0K-97.3K-11.0K1.8291.7632158413,8573,164
2016-02-05$11.30$12.5047.9%10.0%44.5%16.9%42.8%8.0%-3.4%46.1K202.0K-9.6K2.4190.2124258413,8573,164
2016-02-08$11.16$12.5074.8%14.1%44.0%32.2%47.6%4.8%-4.7%67.4K-343.9K-12.4K2.6090.8222558413,8593,164
2016-02-09$11.97$12.5062.4%13.5%51.0%25.1%46.8%17.6%-9.5%118.2K-1.4M-14.6K0.5688.4173441313,8593,164
2016-02-10$11.90$12.5040.4%11.6%50.9%12.6%42.3%8.5%-3.3%152.8K-1.6M-13.4K1.4591.6328441314,2703,157
2016-02-11$11.55$12.5041.1%11.8%51.8%13.0%43.6%3.2%-5.7%101.0K-854.7K-12.4K1.3095.6131941414,2933,157
2016-02-12$11.62$12.5042.4%12.1%51.9%13.7%47.6%7.7%-2.6%98.9K-735.6K-14.7K3.2494.5427589114,3384,415
2016-02-16$11.72$12.5042.3%12.1%52.0%13.6%48.1%13.1%-4.4%97.0K-685.0K-13.1K2.3991.4327565614,3704,434
2016-02-17$11.67$12.5038.7%11.1%51.7%11.6%49.8%15.9%-2.6%105.8K-579.5K-11.2K2.7684.4124467314,3704,434
2016-02-18$11.49$12.5039.6%11.4%52.0%12.1%41.6%6.9%-4.4%83.6K-206.7K-10.4K0.67105.831,02969114,3664,451
2016-02-19$11.18$12.5046.2%13.2%52.6%15.9%37.4%-0.8%-7.1%49.5K427.6K-8.2K2.6094.0723460815,0344,469
2016-02-22$11.50$12.5036.9%10.6%51.8%10.6%37.3%14.6%119.3%104.4K-394.5K-10.9K2.7996.3121058614,9942,888
2016-02-23$11.75$12.5036.5%10.5%38.0%10.4%39.7%21.1%-1.7%144.1K-910.2K-10.9K1.4298.4940056815,0132,888
2016-02-24$12.01$12.5040.5%11.6%38.6%12.6%41.4%27.5%-4.7%154.6K-1.3M-11.7K1.3890.1741156815,0362,887
2016-02-25$12.14$12.5039.1%11.2%37.5%11.8%39.9%11.0%-4.8%176.8K-1.6M-11.0K1.4093.4040556815,0742,887
2016-02-26$12.33$12.5036.8%10.6%36.9%10.5%42.6%1.5%-4.2%202.2K-2.0M-11.3K2.7099.6021056815,0932,887
2016-02-29$12.34$12.5037.8%10.8%36.5%11.1%44.2%7.4%-2.6%210.7K-2.2M-10.9K2.7093.4221056815,0982,887