GPK Options History — April 2016

In April 2016, GPK traded between $12.63 and $13.67. ATM implied volatility averaged 35.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 16.4% (HV 20d: 19.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-04-21: Highest Volume — 6,065 contracts
  • 2016-04-28: Largest IV drop — 29.8% change
  • 2016-04-11: Highest IV Rank — 37.0%
  • 2016-04-27: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.10$12.63$13.67$12.97$13.28
Max Pain$13.81$12.50$15.00$12.50$15.00
ATM IV35.6%29.1%43.4%36.2%29.1%
Expected Move9.9%8.3%12.3%10.4%8.3%
HV 20d19.2%15.6%22.4%21.2%22.3%
HV 60d32.4%27.4%35.9%35.9%27.4%
IV Rank24.0%10.0%37.0%10.0%11.8%
IV Percentile58.4%16.3%87.3%65.1%16.3%
Term Structure-2.3%-17.9%11.5%-1.0%11.5%
VWIV37.7%31.5%53.5%36.3%39.4%
Skew 25d0.9%-9.7%12.5%8.2%12.5%
Skew 10d5.5%-12.9%32.3%32.3%26.3%
Call IV 25d36.8%27.4%45.0%33.0%27.5%
Put IV 25d37.8%33.1%41.7%41.2%39.9%
Bid-Ask Spread %105.2194.45139.40105.78114.08
Gamma HHI0.560.440.850.480.65
Net GEX47.9K-47.5K223.4K-17.1K89.6K
Net DEX-721.2K-2.1M133.1K-74.1K-363.8K
Net VEX-5.9K-11.0K-4.1K-5.3K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.063.072.043.07
Total Volume2,948.4764366,0653,985436
Total OI9,744.0956,39711,5859,04711,569

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$12.97$12.5036.2%10.4%21.2%10.0%36.3%8.2%-1.0%-17.1K-74.1K-5.3K2.04105.781,3122,6737,1021,945
2016-04-04$12.97$12.5036.3%10.5%20.5%26.4%36.7%-1.4%-6.9%-15.5K-192.8K-5.1K2.02120.001,3252,6737,1041,945
2016-04-05$12.68$12.5037.0%9.8%22.0%27.4%35.2%-2.5%-2.0%-41.6K133.1K-4.9K1.9894.451,3472,6737,1041,945
2016-04-06$12.75$12.5037.3%9.5%19.4%27.9%33.9%-2.1%-0.9%-47.5K131.4K-4.7K0.63103.212,3141,4507,1171,945
2016-04-07$12.63$12.5033.7%9.5%19.0%22.5%34.1%-0.7%-1.5%-8.7K-377.7K-5.6K0.6396.862,3141,4508,1172,433
2016-04-08$12.79$12.5039.4%9.7%19.4%31.0%34.2%0.7%-0.7%42.3K-881.4K-5.2K0.6395.002,3141,4508,1171,933
2016-04-11$12.82$12.5043.4%9.8%18.0%37.0%34.9%1.0%-1.5%42.9K-981.2K-4.8K0.5095.232,3281,1538,1171,933
2016-04-12$12.94$12.5035.6%9.9%18.3%25.4%34.0%4.9%-1.3%44.5K-1.5M-4.2K0.50101.342,3281,1538,1181,932
2016-04-13$13.09$12.5031.9%9.1%17.0%19.8%31.5%7.8%-0.8%45.6K-1.6M-4.1K0.65117.891,7951,1678,1181,932
2016-04-14$12.98$12.5033.6%9.6%15.6%22.4%33.7%9.0%-2.1%82.3K-1.9M-4.1K1.15101.011,8022,0788,5601,950
2016-04-15$13.20$15.0035.4%10.2%16.3%25.1%46.0%-9.7%-4.4%6.3K-2.1M-5.2K0.36111.313,8111,3698,5702,870
2016-04-18$13.34$15.0030.1%8.6%16.5%17.0%40.3%-1.5%7.4%28.4K-283.8K-5.5K0.1595.642,1573344,5091,888
2016-04-19$13.48$15.0031.2%8.9%16.8%18.7%39.1%-0.4%-0.6%52.4K-590.3K-7.1K0.1598.682,1673344,6201,888
2016-04-20$13.45$15.0036.3%10.4%16.9%26.4%37.9%1.4%-2.1%76.9K-683.2K-6.5K0.12120.972,8133344,6261,888
2016-04-21$13.31$15.0040.0%11.5%16.9%31.9%40.4%-1.3%-5.6%135.7K-900.4K-8.4K0.0698.805,7313346,9661,888
2016-04-22$13.67$15.0033.6%9.6%18.7%22.4%42.1%-2.3%-4.7%223.4K-1.6M-11.0K0.2096.371,7133348,1751,888
2016-04-25$13.23$15.0040.7%11.7%22.4%31.7%41.6%-1.7%-8.1%125.2K-652.6K-7.9K0.4898.136953349,5811,888
2016-04-26$13.06$15.0034.9%10.0%22.2%22.8%35.3%-6.3%-6.0%24.1K-160.3K-5.1K0.77102.584253299,2901,888
2016-04-27$13.18$15.0042.8%12.3%22.3%33.2%53.5%1.4%-17.9%77.8K-324.4K-6.8K0.81139.404043299,4982,087
2016-04-28$13.20$15.0030.0%8.6%22.3%13.2%32.5%2.6%1.5%38.3K-208.1K-5.8K3.07102.611073299,4952,087
2016-04-29$13.28$15.0029.1%8.3%22.3%11.8%39.4%12.5%11.5%89.6K-363.8K-6.3K3.07114.081073299,4972,072