GPK Options History — September 2016

In September 2016, GPK traded between $13.64 and $14.61. ATM implied volatility averaged 30.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 14.5% (HV 20d: 16.2%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-09-08: Highest Volume — 834 contracts
  • 2016-09-09: Largest IV spike — 65.0% change
  • 2016-09-13: Highest IV Rank — 63.7%
  • 2016-09-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.09$13.64$14.61$14.55$13.98
Max Pain$14.29$7.50$15.00$7.50$15.00
ATM IV30.7%20.7%63.9%24.4%33.0%
Expected Move7.6%5.9%9.5%7.0%9.5%
HV 20d16.2%12.1%20.7%13.1%20.7%
HV 60d20.8%18.1%23.1%23.1%18.8%
IV Rank14.7%0.0%63.7%5.4%18.1%
IV Percentile28.7%0.0%98.0%2.8%54.0%
Term Structure-1.2%-19.4%7.1%1.3%6.6%
VWIV27.0%20.6%32.4%25.0%20.6%
Skew 25d-1.8%-20.2%11.3%3.0%4.1%
Skew 10d21.6%-9.8%81.9%-4.2%14.4%
Call IV 25d28.5%22.9%53.8%25.3%23.9%
Put IV 25d26.6%17.6%36.6%28.3%28.1%
Bid-Ask Spread %59.9521.25112.2231.6653.64
Gamma HHI0.960.911.001.000.95
Net GEX179.7K73.7K409.5K372.2K88.0K
Net DEX-1.9M-3.6M-893.7K-3.4M-1.2M
Net VEX-8.9K-11.7K-7.3K-11.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.131.410.130.32
Total Volume588.81178834735427
Total OI4,776.9052,6886,6856,4103,002

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$14.55$7.5024.4%7.0%13.1%5.4%25.0%3.0%1.3%372.2K-3.4M-11.5K0.1331.66650856,203207
2016-09-02$14.57$7.5020.7%5.9%12.3%0.0%24.2%11.3%0.9%404.4K-3.5M-11.7K0.1340.78641856,253207
2016-09-06$14.58$15.0028.4%7.2%12.3%11.3%25.1%1.5%1.4%380.7K-3.6M-11.1K0.2584.726231556,291207
2016-09-07$14.61$15.0025.9%7.2%12.1%7.6%25.3%-1.9%1.9%409.5K-3.6M-11.2K0.2679.856071556,291277
2016-09-08$14.39$15.0027.9%7.4%12.4%10.7%25.7%-3.7%0.7%402.9K-3.5M-10.9K0.3321.256292056,291277
2016-09-09$14.04$15.0046.1%6.8%15.4%37.5%24.4%-7.1%2.6%264.6K-2.9M-10.2K0.4328.655682476,313327
2016-09-12$14.08$15.0043.0%7.8%15.0%32.9%27.4%6.2%1.1%211.9K-2.1M-8.8K0.4338.035682476,313372
2016-09-13$13.94$15.0063.9%6.9%14.8%63.7%28.7%7.4%-1.9%212.4K-2.0M-8.8K0.4599.955482476,168372
2016-09-14$13.78$15.0026.1%7.5%15.4%7.9%30.4%6.6%-4.7%99.1K-1.1M-8.0K0.45104.855482475,902372
2016-09-15$14.10$15.0025.3%7.3%17.4%6.8%27.4%-5.8%0.2%76.2K-1.3M-8.4K0.45104.495482475,902355
2016-09-16$13.95$15.0027.0%7.8%17.6%9.4%26.8%-0.6%-0.4%74.4K-1.2M-8.0K0.45112.225502475,902355
2016-09-19$13.77$15.0026.2%7.5%17.8%8.1%27.3%-3.8%0.0%73.7K-893.7K-7.4K1.4150.53741042,437251
2016-09-20$13.82$15.0023.6%6.8%17.6%4.3%27.7%4.8%-1.1%73.9K-931.1K-7.5K0.4323.282421042,437251
2016-09-21$14.03$15.0032.3%9.3%17.6%17.1%31.9%-20.2%-3.7%84.7K-1.1M-7.9K0.32103.793251042,627251
2016-09-22$14.12$15.0031.7%9.1%17.8%16.2%31.7%-10.8%-5.7%93.1K-1.3M-8.5K0.3734.992781042,742251
2016-09-23$14.11$15.0026.6%7.6%17.5%8.7%30.0%-8.2%-4.3%94.9K-1.2M-8.4K0.3929.932701042,702251
2016-09-26$14.09$15.0027.1%7.8%17.5%9.4%30.1%-7.4%-3.2%95.2K-1.2M-8.3K0.3435.983101042,704251
2016-09-27$13.89$15.0029.4%8.4%18.1%12.8%32.4%-10.2%-4.5%91.3K-1.2M-8.1K0.3497.613101042,746251
2016-09-28$13.89$15.0023.7%6.8%18.1%4.4%20.7%0.9%7.1%89.4K-1.0M-7.5K0.3829.802731042,751251
2016-09-29$13.64$15.0032.1%9.2%19.0%16.8%24.0%-4.6%-19.4%80.9K-911.3K-7.3K0.3852.852731042,751251
2016-09-30$13.98$15.0033.0%9.5%20.7%18.1%20.6%4.1%6.6%88.0K-1.2M-7.9K0.3253.643231042,751251