GPK Options History — October 2016

In October 2016, GPK traded between $12.40 and $13.82. ATM implied volatility averaged 30.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.2% (HV 20d: 24.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2016-10-26: Highest Volume — 2,036 contracts
  • 2016-10-06: Largest IV drop — 28.0% change
  • 2016-10-05: Highest IV Rank — 29.2%
  • 2016-10-05: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.37$12.40$13.82$13.79$12.54
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.7%23.9%40.5%30.6%25.7%
Expected Move8.7%6.9%11.6%8.8%7.4%
HV 20d24.5%18.6%38.4%21.1%37.4%
HV 60d20.1%16.8%26.0%18.5%25.9%
IV Rank14.8%4.8%29.2%14.6%7.3%
IV Percentile38.0%2.8%83.3%34.9%9.9%
Term Structure0.2%-9.8%8.8%0.8%1.0%
VWIV27.2%20.7%31.5%29.7%25.6%
Skew 25d3.2%-10.4%10.5%2.2%3.3%
Skew 10d15.4%-14.1%93.8%1.4%7.9%
Call IV 25d30.3%21.6%44.1%28.8%33.3%
Put IV 25d33.4%24.3%37.7%30.9%36.6%
Bid-Ask Spread %95.2327.47106.73106.7397.80
Gamma HHI0.830.490.930.920.50
Net GEX59.2K3.0K83.7K79.0K7.5K
Net DEX-502.9K-937.8K128.7K-937.8K113.9K
Net VEX-5.3K-7.0K-2.9K-6.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.070.320.320.15
Total Volume800.813352,0364271,876
Total OI3,3412,7984,5572,9814,557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$13.79$15.0030.6%8.8%21.1%14.6%29.7%2.2%0.8%79.0K-937.8K-6.9K0.32106.733231042,730251
2016-10-04$13.65$15.0032.3%9.3%21.2%17.1%27.1%-5.1%2.4%83.7K-836.7K-6.8K0.2427.47323792,730271
2016-10-05$13.54$15.0040.5%11.6%21.2%29.2%26.3%-0.7%-9.8%73.1K-671.3K-6.2K0.29100.78270792,730271
2016-10-06$13.82$15.0029.2%9.0%22.4%12.5%31.1%2.9%-3.1%81.3K-919.1K-7.0K0.2994.33270792,730271
2016-10-07$13.71$15.0033.6%10.0%20.9%19.0%31.5%2.7%-8.7%81.7K-801.4K-6.7K0.2996.79270792,730271
2016-10-10$13.74$15.0037.3%9.5%20.9%24.6%27.0%2.8%-0.8%82.8K-819.6K-6.6K0.2993.28270792,730271
2016-10-11$13.59$15.0038.5%8.3%20.9%26.3%27.8%4.3%6.4%70.1K-600.9K-5.7K0.2996.40270792,730271
2016-10-12$13.67$15.0032.4%9.3%20.7%17.3%28.8%4.3%-1.3%76.6K-668.3K-5.9K0.2997.94270792,730271
2016-10-13$13.45$15.0027.1%7.8%19.5%9.4%21.3%9.6%8.8%67.1K-555.8K-5.6K0.29102.58270792,730271
2016-10-14$13.60$15.0032.8%9.4%19.8%17.8%20.7%10.5%-3.4%69.7K-563.1K-5.6K0.29100.10270792,730271
2016-10-17$13.61$15.0032.0%9.2%19.3%16.7%28.2%8.0%6.3%72.4K-619.6K-5.6K0.2797.87293792,730271
2016-10-18$13.72$15.0028.8%8.3%19.5%12.0%29.4%1.1%3.7%74.6K-620.8K-5.5K0.2798.77293792,735271
2016-10-19$13.69$15.0029.3%8.4%18.6%12.6%29.8%1.6%6.8%77.6K-662.9K-5.8K0.3198.49256792,735271
2016-10-20$13.43$15.0032.6%9.3%19.4%17.5%28.8%6.4%-4.1%58.2K-442.9K-4.9K0.3098.73261792,735271
2016-10-21$13.51$15.0030.4%8.7%19.6%14.3%26.2%8.9%6.5%64.1K-497.0K-5.0K0.30100.68261792,740271
2016-10-24$13.70$15.0031.3%9.0%20.5%15.6%29.8%3.7%-1.6%79.5K-732.3K-5.9K0.0796.901,6251162,527271
2016-10-25$12.48$15.0025.1%7.2%38.4%6.4%25.6%-10.4%0.9%25.7K-72.0K-2.9K0.2597.311,6034013,887305
2016-10-26$12.48$15.0023.9%6.9%38.4%4.8%23.5%3.3%-1.9%9.9K109.7K-3.5K0.2798.271,6034333,892611
2016-10-27$12.59$15.0024.2%6.9%38.4%5.1%24.2%2.9%-0.8%3.0K128.7K-3.5K0.1598.461,6582463,892642
2016-10-28$12.40$15.0028.1%8.1%37.0%11.0%28.1%4.2%-3.7%5.6K107.6K-3.5K0.15100.121,6302463,949608
2016-10-31$12.54$15.0025.7%7.4%37.4%7.3%25.6%3.3%1.0%7.5K113.9K-3.2K0.1597.801,6302463,949608