GPK Options History — June 2016

In June 2016, GPK traded between $12.07 and $13.49. ATM implied volatility averaged 29.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.5% (HV 20d: 22.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.39.

Notable Days

  • 2016-06-03: Highest Volume — 1,280 contracts
  • 2016-06-06: Largest IV spike — 45.3% change
  • 2016-06-27: Highest IV Rank — 26.7%
  • 2016-06-07: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.94$12.07$13.49$13.40$12.54
Max Pain$14.77$12.50$15.00$12.50$12.50
ATM IV29.4%23.3%39.9%31.2%25.9%
Expected Move8.8%7.1%17.6%8.9%7.4%
HV 20d22.9%19.8%29.3%22.6%29.3%
HV 60d21.7%19.7%24.6%21.8%24.6%
IV Rank11.2%2.8%26.7%15.1%4.1%
IV Percentile22.1%0.4%77.4%31.3%3.2%
Term Structure1.3%-57.7%42.1%42.1%3.9%
VWIV33.7%20.0%55.6%31.7%25.9%
Skew 25d1.5%-11.5%10.3%-6.4%-11.5%
Skew 10d7.0%-22.0%25.8%-10.1%-17.7%
Call IV 25d33.2%21.6%43.4%41.6%37.3%
Put IV 25d34.7%25.9%53.4%35.3%25.9%
Bid-Ask Spread %108.7497.93127.53114.20108.35
Gamma HHI0.780.501.000.820.74
Net GEX50.3K-17.9K228.2K79.7K108.4K
Net DEX-514.2K-2.0M45.1K-1.3M-664.3K
Net VEX-3.5K-8.6K-1.7K-5.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.097.520.223.07
Total Volume443.2271201,2801,275122
Total OI6,594.5912,6149,3949,3023,797

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$13.40$12.5031.2%8.9%22.6%15.1%31.7%-6.4%42.1%79.7K-1.3M-5.9K0.22114.201,0432328,1741,128
2016-06-02$13.42$15.0024.4%7.6%21.5%4.4%22.0%4.2%5.8%206.4K-1.8M-8.2K0.22106.531,0432328,1741,128
2016-06-03$13.49$15.0023.3%8.1%21.5%2.8%20.7%9.3%3.5%228.2K-2.0M-8.6K0.22113.841,0482328,1741,128
2016-06-06$13.39$15.0033.9%7.5%21.5%19.3%21.7%7.7%8.4%66.4K-873.2K-3.9K0.14105.701,0531528,1741,128
2016-06-07$13.45$15.0029.2%17.6%21.3%12.0%20.0%-0.6%-57.7%74.9K-1.1M-4.5K2.62116.50581528,1791,148
2016-06-08$13.49$15.0024.8%7.1%19.9%5.0%22.1%7.2%10.7%61.5K-920.3K-3.8K2.6798.88571528,1851,148
2016-06-09$13.38$15.0027.3%7.8%20.2%9.0%21.4%4.6%3.5%53.1K-880.0K-3.7K1.3899.101101528,1891,148
2016-06-10$13.25$15.0026.3%7.5%19.8%7.5%24.5%6.3%7.2%55.7K-749.4K-3.6K1.38117.161101528,2461,148
2016-06-13$12.73$15.0030.1%8.6%23.9%13.3%38.7%2.3%-0.7%4.2K-38.5K-2.8K1.21102.531261527,8201,148
2016-06-14$12.73$15.0031.6%9.1%23.5%15.7%37.5%4.1%0.1%-3.2K-10.5K-2.7K1.08100.541261367,8101,148
2016-06-15$12.75$15.0031.7%9.1%23.5%15.8%31.0%7.8%-1.2%-7.8K-34.5K-2.8K1.07127.531261357,8101,144
2016-06-16$12.71$15.0030.4%8.7%22.6%13.9%39.6%-5.3%0.3%-17.9K44.4K-2.3K1.07104.591261357,8101,147
2016-06-17$12.64$15.0028.4%8.2%22.4%8.2%33.6%7.5%0.9%21.7K-110.1K-2.1K0.9097.931501357,8101,147
2016-06-20$12.97$15.0031.4%9.0%22.3%13.0%39.1%4.3%-0.6%33.5K-243.4K-2.7K3.00110.84461382,440174
2016-06-21$13.00$15.0029.3%8.4%21.6%9.5%41.2%-5.1%2.5%27.7K-162.7K-2.6K1.6099.25861382,444260
2016-06-22$13.04$15.0028.5%8.2%20.7%8.4%42.7%-9.1%3.7%29.2K-194.7K-2.8K6.57117.78211382,488260
2016-06-23$13.08$15.0028.0%8.0%20.7%7.6%43.0%-9.4%1.9%30.2K-209.8K-2.7K6.57124.58211382,492260
2016-06-24$12.69$15.0032.4%9.3%23.1%14.7%51.2%4.1%-2.9%19.7K-81.1K-2.3K6.57114.02211382,492260
2016-06-27$12.07$15.0039.9%11.4%27.0%26.7%55.6%10.3%-4.7%15.2K-34.5K-2.2K7.52109.35211582,492260
2016-06-28$12.10$15.0030.5%8.7%27.0%11.6%50.4%-7.1%-0.3%9.6K45.1K-1.7K3.29101.4828922,492280
2016-06-29$12.34$15.0028.2%8.1%28.4%7.9%28.2%7.0%1.9%10.5K21.3K-1.9K0.09101.631,028922,497300
2016-06-30$12.54$12.5025.9%7.4%29.3%4.1%25.9%-11.5%3.9%108.4K-664.3K-3.0K3.07108.3530923,497300