GPK Options History — January 2018

In January 2018, GPK traded between $15.79 and $16.67. ATM implied volatility averaged 32.0%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 15.6% (HV 20d: 16.4%). 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 4 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-01-16: Highest Volume — 7,465 contracts
  • 2018-01-08: Largest IV spike — 67.4% change
  • 2018-01-25: Highest IV Rank — 87.0%
  • 2018-01-25: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.22$15.79$16.67$15.79$16.18
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV32.0%13.3%42.7%26.5%36.5%
Expected Move9.3%6.7%12.2%7.6%10.5%
HV 20d16.4%13.1%18.5%13.5%17.6%
HV 60d18.7%15.6%20.9%19.5%16.0%
IV Rank55.2%0.0%87.0%37.9%68.8%
IV Percentile75.2%0.0%99.2%61.1%94.0%
Term Structure-3.0%-13.0%4.0%-0.2%4.0%
VWIV33.0%23.6%51.7%26.6%41.2%
Skew 25d3.5%-2.1%9.4%6.7%-2.1%
Skew 10d5.4%-2.3%12.2%8.6%5.2%
Call IV 25d30.6%19.6%43.9%19.9%43.9%
Put IV 25d34.1%24.4%50.9%26.6%41.7%
Bid-Ask Spread %67.0714.05103.2825.53103.28
Gamma HHI0.760.510.960.960.63
Net GEX379.4K139.0K600.2K175.8K575.2K
Net DEX-7.0M-9.6M-4.2M-4.2M-8.4M
Net VEX-17.0K-26.6K-6.2K-9.8K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.022.140.421.45
Total Volume8891937,465241485
Total OI9,082.194,21713,5564,21713,549

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$15.79$15.0026.5%7.6%13.5%37.9%26.6%6.7%-0.2%175.8K-4.2M-9.8K0.4225.53170713,924293
2018-01-03$15.86$15.0026.7%7.7%13.5%38.5%26.9%7.9%-1.6%182.1K-4.5M-9.2K0.5414.05170923,975313
2018-01-04$15.79$15.0013.3%7.0%13.4%0.0%24.5%-1.0%0.9%180.8K-4.3M-9.8K0.5621.62163923,975373
2018-01-05$15.83$15.0016.0%7.1%13.1%8.0%24.7%-0.9%-0.2%184.1K-4.4M-9.8K0.6618.64140923,982373
2018-01-08$16.17$15.0026.8%7.7%14.8%39.9%27.0%2.2%0.7%165.2K-4.8M-8.7K0.6377.02147923,980373
2018-01-09$16.24$15.0036.5%8.2%14.8%68.9%28.0%1.2%-2.3%159.8K-5.0M-8.1K0.5387.17164873,985373
2018-01-10$16.24$15.0028.2%8.1%14.9%44.2%27.4%3.6%-0.7%160.0K-5.0M-8.0K0.5284.82167873,993378
2018-01-11$16.67$15.0023.3%6.7%16.4%29.6%23.6%5.4%0.1%145.2K-5.6M-6.2K0.8271.78106874,011378
2018-01-12$16.60$15.0024.8%7.1%16.6%33.9%24.9%4.1%-2.1%139.0K-5.5M-6.8K0.0582.501,882873,997378
2018-01-16$16.27$15.0034.9%10.0%18.1%64.0%33.8%2.6%-2.0%236.2K-5.6M-11.2K0.0261.777,3131525,783378
2018-01-17$16.39$15.0034.1%9.8%18.2%61.7%33.5%6.0%-3.9%531.1K-9.1M-25.4K0.0754.581,98213312,031455
2018-01-18$16.25$15.0036.0%10.3%18.5%67.3%34.0%0.6%-4.9%553.7K-8.9M-25.7K0.1354.961,09314012,667535
2018-01-19$16.36$15.0034.5%9.9%17.4%62.8%36.1%2.7%-2.7%575.4K-8.6M-26.6K0.5864.7625214612,725535
2018-01-22$16.21$15.0038.1%10.9%17.9%73.3%36.4%4.7%-4.5%552.6K-8.5M-24.3K0.6616.5821314012,664489
2018-01-23$16.19$15.0037.6%10.8%17.8%72.1%35.7%2.8%-4.8%554.1K-8.4M-24.0K0.6286.6822714012,664489
2018-01-24$16.29$15.0035.0%10.0%17.9%64.2%39.6%9.2%-3.2%555.7K-9.0M-25.3K0.5198.8524712712,735489
2018-01-25$16.24$15.0042.7%12.2%17.8%87.0%36.5%4.1%-13.0%581.8K-8.8M-24.4K1.2896.3723229612,758489
2018-01-26$16.24$15.0041.0%11.8%17.3%82.1%41.1%3.2%-5.7%573.3K-8.7M-24.1K1.0988.7927129612,722583
2018-01-29$16.45$15.0038.5%11.0%17.7%74.7%39.8%1.0%-8.5%600.2K-9.3M-23.8K1.5297.1018728412,793583
2018-01-30$16.45$15.0040.5%11.6%17.7%80.5%51.7%9.4%-9.2%585.5K-9.6M-24.3K2.14101.5413328412,791765
2018-01-31$16.18$15.0036.5%10.5%17.6%68.8%41.2%-2.1%4.0%575.2K-8.4M-22.5K1.45103.2819828712,784765