GPK Options History — November 2017

In November 2017, GPK traded between $14.86 and $15.82. ATM implied volatility averaged 25.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.8% (HV 20d: 24.2%). 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 13 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-11-20: Highest Volume — 2,732 contracts
  • 2017-11-02: Largest IV drop — 24.0% change
  • 2017-11-01: Highest IV Rank — 55.9%
  • 2017-11-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.32$14.86$15.82$15.82$15.30
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.1%22.9%32.5%32.5%25.8%
Expected Move7.2%6.6%9.3%9.3%7.4%
HV 20d24.2%16.9%30.4%25.6%16.9%
HV 60d21.1%19.9%22.6%22.1%20.3%
IV Rank33.5%26.9%55.9%55.9%35.7%
IV Percentile39.6%15.1%88.1%88.1%53.2%
Term Structure0.0%-6.8%2.5%-6.8%-2.3%
VWIV25.2%22.9%32.4%32.4%25.7%
Skew 25d3.8%0.1%7.1%4.2%3.7%
Skew 10d5.0%0.6%9.4%6.3%7.1%
Call IV 25d21.3%17.0%27.5%27.5%24.1%
Put IV 25d25.0%23.1%31.7%31.7%27.7%
Bid-Ask Spread %14.897.0982.2982.2915.27
Gamma HHI0.990.980.990.980.99
Net GEX803.4K619.6K1.0M619.6K942.6K
Net DEX-11.3M-13.9M-6.8M-13.6M-11.7M
Net VEX-24.2K-27.9K-20.3K-24.6K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.030.890.330.07
Total Volume498.2382222,732369979
Total OI13,124.8110,86913,42213,13813,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$15.82$15.0032.5%9.3%25.6%55.9%32.4%4.2%-6.8%619.6K-13.6M-24.6K0.3382.292789112,0871,051
2017-11-02$15.72$15.0024.7%7.2%25.5%32.4%24.7%7.1%0.5%651.6K-13.4M-25.0K0.3310.052739112,0871,066
2017-11-03$15.74$15.0025.8%7.2%25.5%35.7%25.0%7.1%0.8%638.4K-13.4M-25.0K0.317.592929112,0871,066
2017-11-06$15.47$15.0025.3%7.1%26.7%34.3%24.8%6.0%0.5%769.5K-12.2M-24.9K0.697.591319112,1071,066
2017-11-07$15.50$15.0026.2%7.2%26.7%36.8%24.7%6.1%0.9%780.5K-12.2M-24.6K0.698.391319112,1111,066
2017-11-08$15.50$15.0023.4%6.7%26.4%28.7%23.3%6.0%2.1%789.4K-12.6M-23.9K0.898.4913111712,1111,066
2017-11-09$15.41$15.0024.7%7.1%26.5%32.5%23.6%2.4%1.1%823.5K-11.9M-24.3K0.877.4113411712,1101,036
2017-11-10$15.25$15.0024.1%6.9%27.0%30.8%24.9%3.5%1.5%913.0K-10.9M-24.5K0.749.2315811712,1101,036
2017-11-13$15.52$15.0024.7%7.1%27.5%32.5%24.7%6.1%2.1%816.0K-12.7M-22.4K0.629.9820712812,1311,036
2017-11-14$15.60$15.0024.3%7.0%27.2%31.3%24.0%4.8%1.8%680.6K-13.9M-20.6K0.629.5416510312,1511,032
2017-11-15$15.49$15.0026.9%7.7%27.5%39.1%26.4%6.4%-0.7%783.1K-13.2M-20.9K0.6215.7116510312,1581,032
2017-11-16$15.47$15.0024.7%7.1%27.4%32.5%24.4%4.4%2.5%759.8K-13.4M-20.4K0.6214.1016510312,1581,032
2017-11-17$15.42$15.0024.8%7.1%27.5%32.7%24.6%3.4%1.7%638.8K-13.1M-20.3K0.5711.4218210312,1581,032
2017-11-20$14.93$15.0024.5%7.0%30.4%31.8%25.1%0.7%-1.3%719.1K-6.8M-20.4K0.0311.592,662709,973896
2017-11-21$14.93$15.0023.3%6.7%19.8%28.4%24.8%0.9%-0.5%857.1K-8.5M-27.6K0.188.893887012,232898
2017-11-22$14.89$15.0024.6%7.0%19.6%32.1%25.8%0.6%-1.1%850.0K-8.5M-27.9K0.188.023887012,494898
2017-11-24$14.86$15.0025.5%7.3%18.9%34.8%27.5%0.1%-2.2%841.5K-8.3M-27.2K0.1738.734037012,494898
2017-11-27$14.87$15.0022.9%6.6%18.9%26.9%22.9%1.1%0.0%979.3K-8.3M-26.1K0.127.095877012,509898
2017-11-28$14.97$15.0024.0%6.9%18.5%30.2%25.6%1.8%-0.8%991.2K-9.1M-26.1K0.177.294007012,524898
2017-11-29$15.13$15.0023.4%6.7%18.4%28.7%23.5%2.6%0.4%1.0M-10.4M-25.8K0.1613.974136512,524898
2017-11-30$15.30$15.0025.8%7.4%16.9%35.7%25.7%3.7%-2.3%942.6K-11.7M-25.0K0.0715.279146512,505899