GPK Options History — May 2017

In May 2017, GPK traded between $12.96 and $14.15. ATM implied volatility averaged 24.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.8% (HV 20d: 17.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.85.

Notable Days

  • 2017-05-01: Highest Volume — 1,292 contracts
  • 2017-05-10: Largest IV spike — 37.8% change
  • 2017-05-19: Highest IV Rank — 19.3%
  • 2017-05-19: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.72$12.96$14.15$13.77$13.51
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV24.8%17.0%30.9%23.8%30.4%
Expected Move7.4%6.1%8.8%6.8%8.7%
HV 20d17.0%13.1%23.1%14.0%22.2%
HV 60d20.6%18.8%21.9%21.7%21.1%
IV Rank10.2%0.0%19.3%5.7%18.7%
IV Percentile24.1%0.0%64.7%7.1%63.9%
Term Structure-0.3%-17.4%6.9%6.2%-17.4%
VWIV25.2%18.3%30.2%23.0%21.9%
Skew 25d1.1%-8.8%21.8%16.3%-7.0%
Skew 10d8.0%0.6%27.5%21.0%8.6%
Call IV 25d23.7%20.3%27.0%20.9%26.3%
Put IV 25d24.8%17.0%42.2%37.2%19.4%
Bid-Ask Spread %15.396.2935.019.697.54
Gamma HHI0.620.500.860.560.71
Net GEX246.9K223.2K310.2K246.4K228.6K
Net DEX-6.8M-7.7M-5.1M-7.1M-6.1M
Net VEX-12.5K-15.2K-9.2K-13.9K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.850.249.820.249.82
Total Volume673.4553251,2921,292790
Total OI9,789.2279,3239,9889,7959,988

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$13.77$12.5023.8%6.8%14.0%5.7%23.0%16.3%6.2%246.4K-7.1M-13.9K0.249.691,0462468,6221,173
2017-05-02$13.85$12.5023.0%6.6%13.7%4.5%22.5%21.8%5.8%249.8K-7.2M-14.0K0.2417.501,0402478,6241,173
2017-05-03$13.80$12.5021.6%6.2%13.2%2.4%22.7%4.4%6.0%240.7K-6.9M-14.6K0.248.641,0402478,6231,174
2017-05-04$14.04$12.5019.0%6.9%14.1%0.0%22.8%5.7%1.5%238.8K-7.4M-15.2K3.1035.01922858,6231,174
2017-05-05$14.09$12.5017.0%7.0%13.7%0.0%23.3%-6.0%0.7%240.7K-7.5M-14.7K2.7413.551042858,6191,172
2017-05-08$14.12$12.5020.3%7.5%13.1%4.5%29.6%-8.8%-1.0%240.7K-7.5M-15.1K2.7429.941042858,6291,172
2017-05-09$14.03$12.5018.8%7.2%13.7%2.4%26.7%-8.3%-0.8%239.8K-7.4M-14.4K2.7414.551042858,6281,172
2017-05-10$14.15$12.5025.9%7.4%13.5%12.4%22.9%-7.6%-0.8%244.0K-7.7M-14.1K2.9115.32982858,6281,172
2017-05-11$14.06$12.5024.7%7.1%13.4%10.7%25.3%-7.2%0.5%244.4K-7.4M-13.8K2.8619.101002868,6441,172
2017-05-12$13.88$12.5021.3%6.1%14.8%5.9%28.1%-7.6%0.6%235.7K-7.0M-13.7K1.8917.781512868,6381,176
2017-05-15$14.04$12.5025.8%7.4%14.9%12.3%24.1%-7.3%-0.5%244.3K-7.4M-13.0K1.8832.851512848,6731,176
2017-05-16$14.03$12.5024.1%6.9%13.9%9.8%23.5%-6.5%0.7%242.3K-7.5M-12.9K1.8815.091512848,6731,176
2017-05-17$13.63$12.5027.8%8.0%17.6%15.0%24.8%5.1%6.9%237.8K-6.7M-12.0K1.7618.061652908,6731,176
2017-05-18$13.40$12.5030.6%8.8%18.1%18.9%30.1%8.4%-1.2%259.9K-6.3M-11.3K1.9912.211452898,7181,176
2017-05-19$13.35$12.5030.9%8.8%18.0%19.3%30.1%7.9%-2.3%261.7K-6.3M-11.5K2.7011.351072898,7351,177
2017-05-22$12.96$12.5029.3%8.4%20.7%17.1%29.2%6.8%-2.9%310.2K-5.1M-11.4K2.2211.201012248,2701,053
2017-05-23$13.07$12.5027.7%8.0%20.4%15.0%27.7%6.0%-0.9%302.2K-5.4M-10.7K0.3011.945961808,2701,157
2017-05-24$13.45$12.5030.2%8.7%23.1%18.4%30.2%7.3%-3.5%247.1K-6.4M-9.9K1.2115.805797018,2481,156
2017-05-25$13.54$12.5025.0%7.2%23.1%11.2%28.0%8.5%4.4%223.2K-6.4M-10.3K1.218.495797018,2671,673
2017-05-26$13.52$12.5023.2%6.7%23.0%8.6%18.3%-3.9%-3.3%225.8K-6.4M-10.2K8.246.29877178,2671,673
2017-05-30$13.51$12.5025.6%7.3%22.3%11.9%20.2%-4.0%-5.4%226.7K-6.4M-9.2K9.826.68737178,2911,689
2017-05-31$13.51$12.5030.4%8.7%22.2%18.7%21.9%-7.0%-17.4%228.6K-6.1M-9.9K9.827.54737178,2991,689