GPK Options History — November 2016

In November 2016, GPK traded between $12.36 and $13.00. ATM implied volatility averaged 28.0%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.8% (HV 20d: 30.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2016-11-16: Highest Volume — 4,160 contracts
  • 2016-11-09: Largest IV drop — 18.2% change
  • 2016-11-14: Highest IV Rank — 14.8%
  • 2016-11-14: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.76$12.36$13.00$12.66$12.61
Max Pain$12.74$12.50$15.00$15.00$12.50
ATM IV28.0%24.5%30.7%28.3%28.5%
Expected Move7.8%7.0%8.8%8.1%8.2%
HV 20d30.7%13.4%37.7%37.7%15.9%
HV 60d25.9%25.8%26.3%26.0%26.3%
IV Rank10.7%5.6%14.8%11.3%11.5%
IV Percentile21.1%5.2%40.1%20.2%25.0%
Term Structure-0.6%-4.9%3.3%-2.2%-4.9%
VWIV26.1%22.9%29.8%28.3%27.2%
Skew 25d4.1%-12.6%9.8%-4.7%8.3%
Skew 10d10.8%-10.4%21.2%-6.8%17.9%
Call IV 25d27.1%21.9%43.7%33.0%30.0%
Put IV 25d31.1%26.6%40.1%28.3%38.3%
Bid-Ask Spread %77.6633.32100.2733.3292.85
Gamma HHI0.560.490.680.510.58
Net GEX23.3K-1.8K50.8K9.5K31.2K
Net DEX-197.3K-781.5K159.2K44.5K-294.4K
Net VEX-4.6K-7.2K-2.9K-3.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.051.080.150.72
Total Volume1,505.5711814,1601,889304
Total OI5,254.0954,5576,1894,5576,039

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$12.66$15.0028.3%8.1%37.7%11.3%28.3%-4.7%-2.2%9.5K44.5K-3.6K0.1533.321,6432463,949608
2016-11-02$12.52$15.0029.7%8.5%37.7%13.2%29.1%5.4%-4.5%6.2K119.1K-3.2K0.1574.471,6432463,986608
2016-11-03$12.36$12.5028.1%7.4%36.7%10.9%25.4%3.4%1.0%4.2K123.4K-3.4K0.1544.421,6532463,986608
2016-11-04$12.36$12.5029.0%7.7%36.8%12.3%26.1%1.5%-1.0%4.3K135.7K-3.3K0.1543.201,6532463,971608
2016-11-07$12.49$12.5030.3%7.7%37.1%14.1%26.7%3.7%-0.2%558159.2K-3.0K0.1354.091,6532113,971608
2016-11-08$12.58$12.5029.9%7.3%37.3%13.6%24.3%4.1%1.0%-1.5K123.8K-3.1K0.1251.351,6531983,971605
2016-11-09$12.60$12.5024.5%7.0%37.1%5.6%23.3%9.4%2.1%-1.8K92.4K-2.9K0.1293.361,6531983,971605
2016-11-10$12.73$12.5026.3%7.5%37.2%8.2%23.4%6.8%1.7%4.9K-41.3K-3.7K0.1252.931,6401983,971605
2016-11-11$12.72$12.5027.6%7.9%36.8%10.2%23.6%7.0%0.1%6.3K415-3.6K0.1293.911,6401983,973605
2016-11-14$12.95$12.5030.7%8.8%37.6%14.8%23.0%6.3%-3.1%17.1K-150.1K-4.0K0.1272.641,6221983,973605
2016-11-15$12.99$12.5027.6%7.9%37.4%10.2%22.9%6.9%-0.7%13.9K-58.0K-2.9K0.1094.311,9331983,973605
2016-11-16$12.85$12.5028.0%8.0%37.5%10.7%24.9%8.4%0.7%35.4K-235.4K-5.1K0.0593.653,9621985,584605
2016-11-17$12.93$12.5027.3%7.8%37.2%9.8%27.2%9.8%0.9%39.0K-273.6K-5.0K0.1294.811,6021985,567605
2016-11-18$13.00$12.5028.4%8.1%37.2%11.4%28.4%9.4%0.3%50.8K-412.6K-6.0K0.1292.801,6031985,563587
2016-11-21$12.97$12.5026.5%7.6%36.7%8.5%26.4%7.9%3.3%45.1K-379.4K-5.3K0.0594.241,597875,441450
2016-11-22$12.88$12.5025.6%7.3%14.6%7.2%26.0%-12.6%0.3%43.6K-527.6K-6.3K0.9395.0394875,456450
2016-11-23$13.00$12.5026.3%7.5%14.8%8.3%26.5%-0.7%-0.4%50.6K-665.3K-6.9K0.93100.1594875,440450
2016-11-25$12.93$12.5026.5%7.6%14.8%8.6%26.8%-2.9%-0.0%46.0K-781.5K-7.2K1.00100.2794945,440450
2016-11-28$12.85$12.5028.3%8.1%13.8%11.2%28.1%4.6%-4.0%40.4K-549.3K-6.0K1.0864.311181275,440457
2016-11-29$12.92$12.5029.6%8.5%13.4%13.2%29.8%3.2%-2.7%44.3K-572.9K-6.1K0.7294.651771275,473474
2016-11-30$12.61$12.5028.5%8.2%15.9%11.5%27.2%8.3%-4.9%31.2K-294.4K-5.5K0.7292.851771275,565474