GPK Options History — March 2020

In March 2020, GPK traded between $10.59 and $14.65. ATM implied volatility averaged 66.5%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 5.1% (HV 20d: 61.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 19.16.

Notable Days

  • 2020-03-03: Highest Volume — 1,878 contracts
  • 2020-03-06: Largest IV spike — 61.0% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-12: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.59$10.59$14.65$13.69$12.16
Max Pain$14.66$12.50$15.00$15.00$12.50
ATM IV66.5%32.0%103.5%46.1%52.8%
Expected Move18.1%9.2%27.8%13.2%15.2%
HV 20d61.4%52.7%68.2%52.7%66.8%
HV 60d41.5%33.6%50.2%33.6%50.2%
IV Rank67.9%43.2%100.0%71.9%45.3%
IV Percentile96.6%82.5%100.0%97.6%92.9%
Term Structure-3.4%-23.6%42.3%-2.4%-23.6%
VWIV62.4%25.9%116.4%25.9%52.9%
Skew 25d20.1%-6.9%44.8%24.9%-0.7%
Skew 10d23.6%-11.2%60.5%23.5%0.4%
Call IV 25d53.2%25.6%92.8%25.6%47.6%
Put IV 25d73.3%38.2%117.1%50.5%46.8%
Bid-Ask Spread %95.8577.59119.7691.5582.83
Gamma HHI0.540.380.920.870.38
Net GEX-26.8K-87.8K1.1K-82.0K-8.5K
Net DEX3.3M1.4M4.5M3.6M4.5M
Net VEX-12.5K-18.9K-5.2K-13.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.160.00237.500.100.00
Total Volume197.90911,8786431
Total OI8,7917,13710,1187,1378,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$13.69$15.0046.1%13.2%52.7%71.9%25.9%24.9%-2.4%-82.0K3.6M-13.4K0.1091.555862,4874,650
2020-03-03$14.02$15.0032.0%9.2%53.4%43.2%39.2%11.2%-1.4%-87.8K3.4M-13.6K0.0094.671,87622,5454,645
2020-03-04$14.65$15.0038.2%11.0%56.3%55.8%38.2%3.6%-5.2%-2.7K1.4M-18.9K0.1585.87327504,2654,647
2020-03-05$14.31$15.0044.4%11.5%56.2%68.4%0.0%9.3%-4.2%-7.4K1.8M-18.8K0.0093.77104,5204,697
2020-03-06$13.72$15.0071.4%18.7%57.5%100.0%66.8%26.7%-14.9%-13.0K2.5M-17.2K2.5095.958204,5204,697
2020-03-09$13.49$15.0081.7%17.7%57.5%100.0%0.0%15.2%-15.8%-10.5K2.5M-16.7K0.1291.741724,5224,716
2020-03-10$13.73$15.00103.5%17.9%58.2%100.0%48.5%16.1%-18.9%-13.7K2.4M-17.0K74.0096.551744,5274,718
2020-03-11$13.12$15.0063.9%18.3%58.6%57.2%0.0%23.4%-13.6%-18.7K3.0M-15.0K0.0092.05024,5274,792
2020-03-12$12.53$15.0097.0%27.8%59.4%93.0%0.0%31.4%-5.7%1.1K2.2M-15.9K0.14110.252944,5274,792
2020-03-13$12.68$15.0069.9%20.0%59.8%63.7%82.9%17.3%14.7%-11.6K2.8M-15.0K3.67104.67491804,5274,790
2020-03-16$11.89$15.0077.1%22.1%62.5%71.5%87.0%-6.9%-9.7%-12.1K3.2M-12.5K237.5095.7524754,5754,934
2020-03-17$12.19$15.0074.5%21.3%63.4%68.6%39.1%41.3%-17.4%-28.5K3.7M-12.2K12.4098.035624,5755,471
2020-03-18$11.41$15.0092.2%26.4%66.0%87.8%116.4%39.4%-3.8%-21.5K3.8M-11.6K0.00119.760184,5765,526
2020-03-19$11.56$15.0074.4%21.3%66.3%68.6%0.0%44.8%8.0%-28.4K4.0M-11.8K1.00102.58664,5765,533
2020-03-20$10.94$15.0076.4%21.9%67.2%70.7%62.3%39.9%-9.2%-31.8K4.5M-7.5K1.93106.0828544,5825,536
2020-03-23$10.59$15.0072.1%20.7%53.9%66.1%80.9%2.6%42.3%-37.4K4.2M-5.4K43.0092.462862,5374,996
2020-03-24$11.57$15.0053.9%15.4%64.5%46.4%0.0%17.3%10.8%-43.1K4.2M-7.3K0.0085.07202,5375,070
2020-03-25$12.14$15.0063.1%18.1%67.5%56.3%79.7%22.9%-5.0%-40.2K3.8M-10.4K4.5099.354182,5395,070
2020-03-26$12.36$15.0062.5%17.9%68.0%55.8%62.5%24.9%3.1%-42.4K3.9M-10.2K0.0097.3467502,5415,088
2020-03-27$11.94$12.5058.1%16.7%68.2%51.0%58.1%15.0%-0.9%-25.9K3.7M-9.3K0.8094.691083,2085,088
2020-03-30$12.19$12.5058.6%16.8%67.7%51.5%57.4%21.8%-2.3%-23.3K3.8M-9.3K1.4077.5965913,2115,088
2020-03-31$12.16$12.5052.8%15.2%66.8%45.3%52.9%-0.7%-23.6%-8.5K4.5M-5.2K0.0082.833103,2555,179