GPK Options History — August 2016

In August 2016, GPK traded between $13.54 and $14.48. ATM implied volatility averaged 34.5%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 16.3% (HV 20d: 18.1%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.25.

Notable Days

  • 2016-08-29: Highest Volume — 2,185 contracts
  • 2016-08-31: Largest IV spike — 327.8% change
  • 2016-08-31: Highest IV Rank — 100.0%
  • 2016-08-31: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.03$13.54$14.48$13.60$14.38
Max Pain$9.89$7.50$12.50$12.50$7.50
ATM IV34.5%20.7%88.5%40.0%88.5%
Expected Move9.1%5.9%25.4%11.5%25.4%
HV 20d18.1%13.0%23.1%23.1%13.3%
HV 60d23.8%22.9%24.9%24.9%23.0%
IV Rank19.3%0.0%100.0%29.5%100.0%
IV Percentile32.0%0.0%100.0%81.7%100.0%
Term Structure4.8%-10.0%89.5%-8.3%-10.0%
VWIV30.3%20.2%44.5%37.9%35.4%
Skew 25d7.9%-5.6%26.4%11.9%6.7%
Skew 10d-1.4%-63.1%26.1%26.1%-14.1%
Call IV 25d28.9%21.9%35.7%26.2%35.7%
Put IV 25d36.8%22.6%55.0%38.1%42.5%
Bid-Ask Spread %103.7593.12121.93114.2993.91
Gamma HHI0.970.931.000.930.99
Net GEX243.2K135.8K377.6K140.5K270.3K
Net DEX-2.7M-4.3M-1.2M-1.2M-3.2M
Net VEX-12.0K-16.0K-8.6K-8.7K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.000.930.130.04
Total Volume1,104.34822,1851,7422,185
Total OI7,004.6096,1328,6746,1326,410

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$13.60$12.5040.0%11.5%23.1%29.5%37.9%11.9%-8.3%140.5K-1.2M-8.7K0.13114.291,5372055,722410
2016-08-02$13.56$12.5024.0%6.9%21.3%1.1%20.2%-1.0%-6.0%138.3K-1.3M-9.4K0.1599.021,3342055,872410
2016-08-03$13.64$12.5031.9%9.1%20.8%15.2%39.7%22.5%-0.1%135.8K-1.2M-8.8K0.15121.441,4022055,873410
2016-08-04$13.54$12.5048.2%7.7%20.8%44.1%24.0%3.9%5.2%172.6K-1.4M-9.9K0.15104.901,4022055,942410
2016-08-05$13.76$12.5037.0%6.6%20.0%24.2%22.2%6.0%0.0%185.3K-1.5M-10.1K0.9395.652212055,942410
2016-08-08$13.78$12.5030.9%7.1%19.7%13.5%21.3%3.1%-3.9%176.4K-1.4M-9.5K0.9393.122212055,932410
2016-08-09$13.73$12.5049.9%9.0%19.4%47.1%34.5%-5.6%-3.5%154.8K-1.2M-8.6K0.9396.572212055,932410
2016-08-10$13.98$12.5025.4%7.3%20.1%3.7%25.0%3.4%0.3%220.6K-1.7M-10.0K0.47102.284322055,932410
2016-08-11$13.94$12.5023.3%6.7%20.0%0.0%29.1%11.4%67.3%219.9K-1.9M-11.2K0.47103.424322056,224410
2016-08-12$13.81$12.5074.8%21.4%20.4%91.1%36.5%4.2%-1.4%154.5K-1.4M-9.0K0.28121.937222056,224410
2016-08-15$13.98$12.5026.9%7.7%20.3%6.4%34.7%5.3%-0.9%281.1K-2.5M-13.1K0.1398.071,5992056,722410
2016-08-16$13.99$7.5023.4%6.7%19.8%0.2%35.3%6.0%0.3%294.3K-3.8M-14.1K0.1397.361,5772058,252410
2016-08-17$13.90$7.5030.9%8.9%19.7%13.5%0.0%11.4%-4.5%223.3K-3.6M-13.7K0.00110.28908,252410
2016-08-18$14.01$7.5028.7%8.2%19.5%9.6%0.0%2.5%-3.6%234.2K-3.4M-13.1K0.00104.07808,256410
2016-08-19$14.13$7.5026.8%7.7%19.3%6.2%44.5%26.4%-0.3%260.7K-4.1M-14.6K0.21104.199652058,264410
2016-08-22$14.25$7.5026.5%7.6%19.4%5.7%27.2%-0.6%89.5%281.3K-3.4M-14.2K0.18107.87479856,782207
2016-08-23$14.46$7.5025.5%7.3%13.8%3.9%26.1%9.8%0.1%332.5K-3.9M-15.0K0.14100.18596856,797207
2016-08-24$14.38$7.5024.6%7.0%13.9%2.2%0.0%5.2%-1.8%314.8K-3.8M-14.7K0.00103.10206,852207
2016-08-25$14.48$7.5028.6%8.2%13.3%9.5%29.7%18.2%-3.5%328.1K-4.0M-14.8K0.1498.32593856,854207
2016-08-26$14.47$7.5027.8%8.0%13.2%8.0%28.7%4.7%-1.8%345.6K-4.1M-14.9K0.04114.462,088856,854207
2016-08-29$14.47$7.5028.1%8.0%13.1%8.4%28.7%11.9%-3.2%377.6K-4.3M-16.0K0.0498.062,100857,414207
2016-08-30$14.46$7.5020.7%5.9%13.0%0.0%24.7%15.5%0.4%351.9K-3.4M-11.6K0.04103.882,100856,203207
2016-08-31$14.38$7.5088.5%25.4%13.3%100.0%35.4%6.7%-10.0%270.3K-3.2M-11.5K0.0493.912,100856,203207