GPK Options History — March 2016

In March 2016, GPK traded between $12.33 and $13.12. ATM implied volatility averaged 34.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.7% (HV 20d: 29.1%). 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 6 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2016-03-18: Highest Volume — 6,565 contracts
  • 2016-03-09: Largest IV drop — 32.6% change
  • 2016-03-08: Highest IV Rank — 16.6%
  • 2016-03-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$12.33$13.12$12.35$12.91
Max Pain$13.30$12.50$15.00$12.50$12.50
ATM IV34.8%28.8%47.8%39.0%36.3%
Expected Move9.5%8.3%11.2%11.2%10.4%
HV 20d29.1%21.6%38.2%35.0%21.6%
HV 60d35.9%34.7%36.5%34.7%35.9%
IV Rank9.2%5.8%16.6%11.7%10.1%
IV Percentile57.3%24.2%91.3%75.4%65.9%
Term Structure-0.7%-4.8%2.7%-4.8%-2.4%
VWIV36.5%28.8%52.4%52.2%36.3%
Skew 25d5.9%-5.5%21.2%7.6%10.9%
Skew 10d13.8%-7.7%33.8%11.2%31.7%
Call IV 25d33.4%22.2%44.3%39.5%32.8%
Put IV 25d39.4%31.6%52.9%47.1%43.8%
Bid-Ask Spread %104.6288.67130.12104.4298.73
Gamma HHI0.650.460.920.690.48
Net GEX162.7K-18.3K532.6K210.0K-16.9K
Net DEX-2.3M-5.0M123.6K-2.2M-21.0K
Net VEX-7.2K-10.7K-4.1K-10.7K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.253.153.072.03
Total Volume2,927.5917516,5657533,988
Total OI15,216.6827,30221,00517,9859,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$12.35$12.5039.0%11.2%35.0%11.7%52.2%7.6%-4.8%210.0K-2.2M-10.7K3.07104.4218556815,0982,887
2016-03-02$12.79$12.5038.0%10.9%36.2%11.2%38.1%13.2%-2.7%254.0K-3.3M-9.9K3.1596.1018157015,0982,887
2016-03-03$12.95$15.0037.0%9.6%36.3%10.6%41.1%-0.1%1.9%259.6K-3.7M-9.5K2.59108.4822057015,1202,887
2016-03-04$12.76$15.0036.4%9.7%37.0%10.1%50.8%-5.3%-3.2%265.0K-3.4M-9.8K0.3197.121,89058515,1202,887
2016-03-07$12.68$15.0042.4%9.3%36.7%13.5%46.3%-0.5%-1.1%267.6K-3.1M-9.6K0.5197.281,17460016,3082,902
2016-03-08$12.33$15.0047.8%8.9%38.2%16.6%52.4%12.9%2.7%223.5K-2.1M-8.8K0.50130.121,16158216,3332,922
2016-03-09$12.53$15.0032.2%9.2%29.8%7.7%31.4%21.2%-0.2%327.7K-2.3M-8.9K0.3996.261,13844516,3852,923
2016-03-10$12.61$15.0031.0%8.9%29.7%7.0%30.8%7.5%1.1%337.4K-2.8M-9.1K0.3997.531,13744516,3952,925
2016-03-11$12.87$15.0031.5%9.0%27.7%7.3%31.3%2.0%-0.3%437.6K-4.0M-8.0K0.3797.761,16943216,3962,925
2016-03-14$12.88$12.5032.1%9.2%27.7%7.7%31.8%9.3%-2.0%356.5K-4.3M-7.2K0.2588.671,79544016,3932,915
2016-03-15$12.62$12.5030.7%8.8%29.1%6.8%30.7%14.5%0.2%532.6K-2.8M-6.0K0.25115.691,78544015,9772,923
2016-03-16$12.90$12.5028.8%8.3%29.6%5.8%28.8%13.1%1.4%30.2K-5.0M-4.1K0.25120.531,78544015,9772,923
2016-03-17$13.03$12.5029.0%8.3%28.7%5.9%28.9%8.6%-0.5%112.9K-5.0M-4.1K0.2592.761,78544015,9772,923
2016-03-18$13.12$12.5032.6%9.4%25.8%8.0%31.7%7.6%-3.1%-4.8K-4.9M-5.6K0.69112.803,8912,67417,0973,908
2016-03-21$13.10$12.5034.6%9.9%24.8%9.1%33.7%11.2%-0.0%11.1K-181.6K-5.9K0.97121.322,7192,6485,3921,910
2016-03-22$13.11$12.5035.1%10.1%24.2%9.4%35.5%-4.2%-1.7%16.8K-235.3K-6.9K1.0297.472,5952,6536,0351,910
2016-03-23$12.97$12.5033.5%9.6%24.1%8.5%33.7%-2.0%-1.0%2.9K-116.8K-6.1K1.33111.001,9882,6537,0371,915
2016-03-24$12.86$12.5034.4%9.8%24.3%8.9%34.2%13.2%-0.4%-1.5K-49.4K-6.3K1.3491.871,9882,6737,0911,915
2016-03-28$12.77$12.5034.5%9.9%24.1%9.0%34.6%-5.5%-0.3%-18.3K123.6K-5.7K2.00117.841,3362,6737,0911,935
2016-03-29$12.99$12.5033.8%9.7%24.7%8.6%34.1%-2.6%2.1%-7.1K-104.2K-5.6K2.05107.391,3052,6737,0911,940
2016-03-30$12.91$12.5034.4%9.8%24.8%8.9%34.4%-2.2%-0.4%-17.9K-18.8K-5.6K2.03100.561,3152,6737,1071,940
2016-03-31$12.91$12.5036.3%10.4%21.6%10.1%36.3%10.9%-2.4%-16.9K-21.0K-5.5K2.0398.731,3152,6737,1021,945