GPK Options History — March 2018

In March 2018, GPK traded between $14.60 and $15.72. ATM implied volatility averaged 26.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.2% (HV 20d: 22.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2018-03-16: Highest Volume — 5,041 contracts
  • 2018-03-12: Largest IV spike — 33.0% change
  • 2018-03-12: Highest IV Rank — 60.9%
  • 2018-03-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.30$14.60$15.72$15.06$15.35
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV26.4%22.9%34.7%28.7%26.3%
Expected Move7.2%6.6%8.4%8.2%7.5%
HV 20d22.3%18.8%26.6%26.2%23.2%
HV 60d20.9%19.8%22.9%19.8%22.5%
IV Rank37.4%27.4%60.9%43.8%36.9%
IV Percentile55.6%21.0%90.1%75.0%63.1%
Term Structure1.2%-2.1%4.0%-2.1%1.8%
VWIV25.3%22.9%29.5%28.8%26.3%
Skew 25d6.7%-3.6%59.4%2.4%2.5%
Skew 10d11.5%-5.5%119.3%3.8%5.8%
Call IV 25d21.5%15.5%27.5%27.0%25.3%
Put IV 25d28.2%22.3%80.6%29.4%27.8%
Bid-Ask Spread %46.168.0183.5877.4555.05
Gamma HHI0.690.500.940.890.54
Net GEX298.5K-5.4K613.0K541.6K152.0K
Net DEX-4.2M-8.5M-1.3M-5.2M-2.4M
Net VEX-12.8K-15.4K-5.9K-15.3K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.020.980.470.71
Total Volume1,193.2861705,041274173
Total OI9,024.3814,78213,50513,3084,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$15.06$15.0028.7%8.2%26.2%43.8%28.8%2.4%-2.1%541.6K-5.2M-15.3K0.4777.451878712,379929
2018-03-02$15.12$15.0029.3%8.4%26.2%45.6%29.5%3.4%-2.1%545.5K-5.6M-15.3K0.6863.281157812,426946
2018-03-05$15.26$15.0028.3%7.2%26.6%42.8%25.2%4.7%-0.4%600.8K-6.3M-14.3K0.7549.9615811912,428970
2018-03-06$15.58$15.0029.3%7.3%25.3%45.5%25.6%7.5%0.0%529.2K-8.1M-13.3K0.9849.1611611412,4781,020
2018-03-07$15.44$15.0026.6%7.3%25.4%37.9%25.5%-2.5%1.5%597.6K-7.6M-13.2K0.068.792,10711712,4851,020
2018-03-08$15.38$15.0025.7%7.0%24.9%35.3%24.6%-3.6%3.2%613.0K-6.4M-9.8K0.748.0115811711,4641,024
2018-03-09$15.63$15.0026.1%7.4%20.2%36.4%25.8%-2.4%0.4%498.0K-7.3M-9.1K0.7359.9016011711,5141,024
2018-03-12$15.72$15.0034.7%7.3%20.0%60.9%24.5%7.4%1.4%473.6K-7.4M-8.8K0.7736.8115211711,5021,024
2018-03-13$15.68$15.0030.3%7.1%19.2%48.3%24.9%10.5%2.4%342.5K-8.5M-6.6K0.0379.484,10111711,5041,022
2018-03-14$15.43$15.0023.6%6.8%19.9%29.2%23.6%7.4%2.2%-5.4K-1.3M-5.9K0.0211.394,8511146,8041,022
2018-03-15$15.33$15.0024.7%7.1%20.0%32.5%24.8%8.6%1.4%76.7K-2.3M-15.0K0.0268.234,8531149,5341,023
2018-03-16$15.38$15.0024.1%6.9%19.9%30.8%24.1%4.3%-0.0%148.5K-2.5M-15.4K0.0283.584,9271149,5341,023
2018-03-19$15.30$15.0024.7%7.1%19.6%32.5%24.7%5.2%1.1%145.8K-2.2M-15.0K0.9280.361111024,585197
2018-03-20$15.25$15.0023.5%6.7%19.3%29.0%23.5%5.6%3.0%148.2K-2.2M-15.0K0.9223.731111024,615199
2018-03-21$15.16$15.0024.1%6.9%18.8%30.8%24.3%9.8%1.5%145.7K-2.0M-14.2K0.9273.401111024,615199
2018-03-22$14.95$15.0022.9%6.6%19.4%27.4%22.9%1.6%4.0%134.1K-1.8M-12.9K0.7138.391431024,615199
2018-03-23$14.60$15.0025.0%7.2%20.7%33.2%25.0%0.5%1.8%125.1K-1.6M-12.8K0.7148.991431024,649199
2018-03-26$15.26$15.0026.2%7.5%24.8%36.5%26.1%59.4%1.2%153.4K-2.1M-14.1K0.4315.26143614,649199
2018-03-27$15.24$15.0026.7%7.6%24.6%38.0%26.7%4.6%0.9%150.0K-2.2M-14.6K0.7327.8098724,649199
2018-03-28$15.25$15.0024.5%7.0%23.9%31.8%24.5%4.1%2.9%152.7K-2.3M-14.6K0.7110.33101724,647178
2018-03-29$15.35$15.0026.3%7.5%23.2%36.9%26.3%2.5%1.8%152.0K-2.4M-14.4K0.7155.05101724,642178