GPK Options History — December 2016

In December 2016, GPK traded between $12.40 and $13.21. ATM implied volatility averaged 28.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.7% (HV 20d: 20.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2016-12-09: Highest Volume — 1,415 contracts
  • 2016-12-14: Largest IV drop — 39.2% change
  • 2016-12-12: Highest IV Rank — 37.4%
  • 2016-12-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.69$12.40$13.21$12.53$12.46
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV28.2%22.9%46.1%27.0%22.9%
Expected Move7.2%6.6%8.0%7.7%6.6%
HV 20d20.5%14.5%22.9%15.5%21.6%
HV 60d26.6%25.7%27.2%26.3%26.4%
IV Rank11.1%3.3%37.4%9.3%3.3%
IV Percentile25.0%0.8%93.3%16.7%0.8%
Term Structure3.0%-2.0%5.8%-2.0%5.8%
VWIV25.3%23.0%27.9%27.0%23.0%
Skew 25d2.7%-8.8%11.1%-1.7%-8.8%
Skew 10d5.9%-14.5%20.5%-2.8%-14.5%
Call IV 25d26.7%23.7%31.7%28.7%31.7%
Put IV 25d29.4%22.9%39.7%27.0%22.9%
Bid-Ask Spread %69.3612.7199.3993.1492.63
Gamma HHI0.630.510.770.550.54
Net GEX52.9K-20.1K81.3K25.0K60.5K
Net DEX-459.2K-791.4K-220.3K-220.3K-341.7K
Net VEX-4.7K-6.1K-2.9K-4.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.080.860.720.11
Total Volume1,044.192741,4153041,281
Total OI5,536.6674,2377,0326,0394,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$12.53$12.5027.0%7.7%15.5%9.3%27.0%-1.7%-2.0%25.0K-220.3K-4.9K0.7293.141771275,565474
2016-12-02$12.61$12.5026.4%7.6%14.9%8.4%26.4%11.1%-0.6%27.9K-354.2K-5.7K0.8692.981471275,565474
2016-12-05$12.59$12.5028.7%6.9%14.9%11.8%24.0%3.0%4.0%23.7K-243.7K-5.0K0.5198.322471275,565474
2016-12-06$12.58$12.5027.0%6.7%14.5%9.2%23.5%3.0%4.0%27.4K-321.9K-5.3K0.4998.642591275,665474
2016-12-07$13.12$12.5032.1%7.5%20.6%16.8%25.9%3.4%1.7%61.3K-588.6K-5.3K0.6399.392021275,685474
2016-12-08$13.03$12.5032.8%7.9%20.9%17.9%27.2%6.6%1.6%51.4K-514.2K-5.0K0.6399.232021275,712474
2016-12-09$13.21$12.5036.1%7.9%21.1%22.7%27.3%4.3%0.8%66.0K-657.5K-5.7K0.1099.031,2881275,712474
2016-12-12$13.03$12.5046.1%8.0%21.8%37.4%27.9%4.3%1.8%67.7K-685.3K-6.1K0.1098.681,2711276,510474
2016-12-13$12.92$12.5043.6%7.2%21.1%33.8%25.6%2.2%3.1%57.6K-478.8K-5.2K0.1033.281,2761276,450474
2016-12-14$12.92$12.5026.5%7.6%21.1%8.6%26.6%4.7%3.2%57.7K-571.6K-5.3K0.1015.081,2621276,450474
2016-12-15$12.62$12.5025.1%7.2%22.4%6.5%25.2%3.5%3.9%-20.1K-428.2K-4.5K0.1015.121,2621276,558474
2016-12-16$12.67$12.5025.4%7.3%22.3%7.0%25.5%3.5%4.3%71.3K-524.7K-4.6K0.1012.711,2621276,558474
2016-12-19$12.65$12.5024.6%7.0%22.2%5.7%24.6%3.3%3.9%69.0K-472.2K-4.3K0.0816.901,2321014,084153
2016-12-20$12.54$12.5024.7%7.1%22.3%6.0%24.9%3.2%3.2%65.8K-428.6K-3.8K0.0914.251,2281104,114154
2016-12-21$12.48$12.5023.5%6.7%22.3%4.1%24.0%3.1%4.8%61.0K-365.7K-3.4K0.1013.881,1581104,118164
2016-12-22$12.44$12.5024.0%6.9%21.9%4.8%24.3%3.4%4.6%75.9K-603.1K-5.3K0.1092.041,1581104,143164
2016-12-23$12.54$12.5026.2%7.5%22.2%8.1%26.3%3.4%2.5%81.3K-791.4K-6.1K0.1092.741,1581104,143164
2016-12-27$12.62$12.5023.1%6.6%22.3%3.5%23.1%-6.1%5.2%65.8K-398.9K-3.3K0.0892.231,158984,143164
2016-12-28$12.40$12.5023.8%6.8%22.9%4.6%24.5%4.4%3.7%55.4K-318.4K-2.9K0.0893.241,158984,143140
2016-12-29$12.52$12.5023.4%6.7%21.6%4.0%23.7%3.5%4.3%59.0K-334.9K-2.9K0.1193.011,1581234,143140
2016-12-30$12.46$12.5022.9%6.6%21.6%3.3%23.0%-8.8%5.8%60.5K-341.7K-3.2K0.1192.631,1581234,143170