GPK Options History — March 2017

In March 2017, GPK traded between $12.56 and $13.50. ATM implied volatility averaged 28.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.7% (HV 20d: 26.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-03-20: Highest Volume — 1,638 contracts
  • 2017-03-15: Largest IV drop — 39.6% change
  • 2017-03-14: Highest IV Rank — 29.8%
  • 2017-03-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.01$12.56$13.50$13.50$12.91
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV28.9%24.4%40.9%34.0%25.9%
Expected Move7.7%7.0%9.7%9.7%7.4%
HV 20d26.2%23.5%31.3%23.6%25.9%
HV 60d23.3%22.2%24.2%22.2%22.9%
IV Rank12.1%5.4%29.8%19.6%7.8%
IV Percentile37.6%7.9%94.8%78.6%19.8%
Term Structure2.6%-6.2%8.9%-6.2%2.9%
VWIV28.0%24.4%38.8%33.1%26.0%
Skew 25d2.5%-8.6%19.4%-0.8%3.2%
Skew 10d11.4%-6.1%101.2%7.4%15.7%
Call IV 25d27.7%21.9%36.9%34.0%26.0%
Put IV 25d30.2%24.9%43.1%33.2%29.2%
Bid-Ask Spread %90.4420.80102.9996.2993.29
Gamma HHI0.770.670.840.670.80
Net GEX187.8K158.1K208.1K162.9K207.4K
Net DEX-4.6M-5.5M-3.5M-5.3M-4.6M
Net VEX-18.6K-19.7K-17.4K-17.7K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.154.160.560.16
Total Volume941.5223301,6387621,325
Total OI10,433.3917,82711,77810,9869,290

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$13.50$12.5034.0%9.7%23.6%19.6%33.1%-0.8%-6.2%162.9K-5.3M-17.7K0.5696.294882749,997989
2017-03-02$13.35$12.5028.8%8.3%23.7%12.0%31.6%1.1%3.2%166.9K-5.2M-18.3K0.3483.4357419510,215997
2017-03-03$13.32$12.5029.3%8.4%23.5%12.7%30.2%-2.3%-2.4%164.3K-5.0M-18.3K0.3496.9056819510,2251,028
2017-03-06$13.15$12.5035.1%8.2%24.1%21.3%27.9%5.6%-0.3%181.2K-5.0M-17.4K0.30100.8756817010,2371,028
2017-03-07$12.56$12.5028.0%7.6%29.5%10.8%26.4%1.0%3.7%179.2K-3.5M-17.6K0.7299.6326819410,2371,033
2017-03-08$12.93$12.5031.7%7.8%31.3%16.3%27.1%4.5%1.3%187.7K-4.5M-18.5K0.6193.6631919410,4401,070
2017-03-09$12.82$12.5030.4%7.7%29.1%14.3%26.8%4.3%1.9%192.5K-4.1M-18.4K0.7897.3926020210,5011,070
2017-03-10$12.95$12.5030.1%7.7%29.0%13.9%26.9%5.5%3.5%185.8K-4.4M-18.3K0.7491.6627220210,5011,080
2017-03-13$13.07$12.5037.2%8.2%28.8%24.4%28.7%5.8%2.8%158.1K-4.4M-17.7K0.3692.5356620210,1711,080
2017-03-14$13.08$12.5040.9%7.1%28.6%29.8%25.0%19.4%4.6%183.8K-5.1M-19.4K0.40100.0256722410,676991
2017-03-15$13.23$12.5024.7%7.1%24.4%5.9%25.8%5.8%8.9%182.5K-5.5M-18.8K0.55102.9958231910,6781,013
2017-03-16$13.06$12.5025.4%7.3%24.1%7.0%26.6%5.4%5.4%181.8K-5.1M-19.1K4.16100.026426610,6531,058
2017-03-17$12.98$12.5027.5%7.9%24.1%10.0%27.5%1.8%0.6%204.1K-4.8M-18.7K3.17100.168426610,6531,125
2017-03-20$13.24$12.5028.2%8.1%25.1%11.0%38.8%-8.6%1.6%192.5K-5.0M-18.9K0.5320.801,0705687,076751
2017-03-21$12.99$12.5027.1%7.8%25.5%9.5%27.0%1.6%2.2%193.9K-4.6M-19.5K0.1531.671,1381708,1331,051
2017-03-22$12.99$12.5025.6%7.4%25.5%7.3%27.2%-0.6%3.9%187.8K-4.5M-19.5K0.1797.921,1211858,1571,054
2017-03-23$13.09$12.5026.3%7.5%25.7%8.3%27.9%1.1%6.2%189.4K-4.7M-19.7K0.16101.581,1501858,1861,074
2017-03-24$12.80$12.5024.6%7.1%26.8%5.8%26.7%0.8%3.3%204.4K-4.2M-19.2K0.1699.731,1471858,2161,074
2017-03-27$12.78$12.5027.2%7.8%26.7%9.6%29.6%-4.3%2.3%193.5K-4.1M-19.1K0.1698.781,1471858,2161,074
2017-03-28$12.83$12.5027.4%7.8%26.4%9.8%27.7%3.9%2.5%204.5K-4.4M-19.1K0.1692.531,1471858,2161,074
2017-03-29$12.79$12.5024.4%7.0%25.9%5.4%24.4%4.4%4.0%206.5K-4.3M-18.9K0.1693.301,1471858,2161,074
2017-03-30$12.84$12.5024.8%7.1%25.8%6.0%24.9%-1.0%3.2%208.1K-4.4M-18.4K0.1694.891,1471858,2161,074
2017-03-31$12.91$12.5025.9%7.4%25.9%7.8%26.0%3.2%2.9%207.4K-4.6M-18.3K0.1693.291,1471788,2161,074