GPK Options History — May 2016

In May 2016, GPK traded between $12.67 and $13.59. ATM implied volatility averaged 30.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.0% (HV 20d: 23.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 6.42.

Notable Days

  • 2016-05-27: Highest Volume — 2,265 contracts
  • 2016-05-23: Largest IV spike — 27.2% change
  • 2016-05-25: Highest IV Rank — 21.0%
  • 2016-05-25: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.16$12.67$13.59$13.21$13.43
Max Pain$12.86$12.50$15.00$15.00$12.50
ATM IV30.0%24.1%35.0%31.4%30.0%
Expected Move8.6%6.9%10.0%9.0%8.6%
HV 20d23.0%21.9%24.2%22.4%23.7%
HV 60d23.4%21.6%27.7%27.4%21.8%
IV Rank13.3%4.1%21.0%15.4%13.3%
IV Percentile26.3%1.2%57.9%34.9%22.2%
Term Structure4.5%-15.1%93.3%-1.9%-7.6%
VWIV32.4%25.6%45.7%31.4%31.2%
Skew 25d3.3%-18.4%78.3%-17.1%-2.8%
Skew 10d16.5%-22.6%145.4%-22.6%-7.0%
Call IV 25d35.0%21.3%55.0%48.9%38.9%
Put IV 25d38.3%29.6%102.2%31.8%36.1%
Bid-Ask Spread %105.0289.58127.27110.77105.84
Gamma HHI0.640.480.930.520.86
Net GEX29.4K-56.4K144.3K30.0K96.8K
Net DEX-353.0K-1.7M394.6K-280.8K-897.2K
Net VEX-4.2K-8.9K-2.5K-5.5K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.420.1112.992.320.22
Total Volume981.9052742,2653551,290
Total OI10,407.8577,28811,64811,5699,322

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$13.21$15.0031.4%9.0%22.4%15.4%31.4%-17.1%-1.9%30.0K-280.8K-5.5K2.32110.771072489,4972,072
2016-05-03$12.97$15.0030.2%8.7%21.9%13.5%30.5%-18.4%0.1%-2.7K-11.1K-5.0K2.5397.16982489,4972,075
2016-05-04$12.75$15.0030.1%8.6%22.7%13.4%30.0%13.3%0.0%-21.1K162.6K-5.2K4.32113.90763289,4982,075
2016-05-05$12.76$12.5031.1%8.6%22.4%14.9%31.2%78.3%-0.2%-31.6K240.4K-4.8K4.26127.27773289,4982,150
2016-05-06$12.67$12.5029.8%8.6%22.1%12.9%30.1%14.5%0.1%-56.4K394.6K-4.5K4.3297.08763289,4982,147
2016-05-09$12.82$12.5032.0%8.7%22.5%16.4%31.2%-0.8%0.1%-49.6K210.0K-4.2K10.3589.581091,1289,4982,147
2016-05-10$13.11$12.5029.2%9.0%23.7%12.0%30.4%11.8%-1.3%22.5K-240.0K-4.2K10.4993.741091,1439,4641,783
2016-05-11$13.18$12.5031.1%8.9%23.4%15.0%32.2%0.7%-0.3%19.0K-312.5K-3.8K10.9993.621041,1439,5141,783
2016-05-12$13.38$12.5030.4%8.7%23.7%13.9%32.6%0.2%2.8%61.0K-561.2K-4.1K12.9990.99881,1439,5741,783
2016-05-13$13.21$12.5030.0%8.6%23.5%13.2%31.3%-4.4%2.0%14.8K-283.3K-3.5K11.78110.92971,1439,5771,783
2016-05-16$13.35$12.5025.4%7.3%23.5%6.1%25.6%8.3%9.9%28.8K-409.1K-3.2K11.78112.50971,1439,5771,783
2016-05-17$13.37$12.5025.2%7.2%23.2%5.6%45.7%-8.4%12.1%109.2K-1.7M-8.9K11.78101.63971,1439,5771,783
2016-05-18$13.11$12.5031.2%8.9%24.2%15.1%32.4%-0.1%0.1%-3.2K-258.2K-2.9K11.99110.21971,1639,5771,783
2016-05-19$12.98$12.5030.5%8.8%24.2%14.1%30.1%12.4%-0.3%-20.4K-159.6K-2.7K12.0191.32971,1659,5771,803
2016-05-20$13.33$12.5024.1%6.9%24.2%4.1%36.4%-1.7%12.5%52.6K-427.0K-2.9K1.11101.861,0521,1659,5771,814
2016-05-23$13.11$12.5030.7%8.8%22.0%14.4%30.9%-8.6%-2.2%28.2K-321.6K-2.5K8.4594.09292456,1611,127
2016-05-24$13.33$12.5033.4%9.6%22.2%18.5%34.0%-2.5%-15.1%64.0K-488.7K-2.8K1.01119.732432456,1611,127
2016-05-25$13.37$12.5035.0%10.0%22.0%21.0%35.3%-3.5%-10.5%86.1K-627.7K-3.7K1.01121.732432456,3761,127
2016-05-26$13.30$12.5028.1%8.1%22.1%10.3%29.9%-7.4%1.8%44.4K-501.8K-3.1K0.95108.332432326,5761,127
2016-05-27$13.59$12.5031.6%9.1%23.3%15.7%38.6%5.3%93.3%144.3K-941.0K-5.0K0.11113.122,0332326,5691,128
2016-05-31$13.43$12.5030.0%8.6%23.7%13.3%31.2%-2.8%-7.6%96.8K-897.2K-5.2K0.22105.841,0582328,1941,128