GROY Options History — August 2021

In August 2021, GROY traded between $4.13 and $5.12. ATM implied volatility averaged 55.5%. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 11.3% (HV 20d: 44.2%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.04.

Notable Days

  • 2021-08-18: Highest Volume — 796 contracts
  • 2021-08-19: Largest IV spike — 65.5% change
  • 2021-08-19: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.64$4.13$5.12$5.07$4.29
Max Pain$6.36$2.50$7.50$5.00$7.50
ATM IV55.5%39.1%77.4%39.3%42.3%
Expected Move16.0%11.3%22.2%11.3%12.1%
HV 20d44.2%38.9%52.5%38.9%50.9%
Term Structure10.2%-16.1%37.8%14.0%17.0%
VWIV58.8%27.6%92.9%38.6%41.4%
Bid-Ask Spread %78.0647.78127.3485.7847.78
Gamma HHI0.860.680.960.940.68
Net GEX-9.8K-32.5K-3.1K-19.0K-3.1K
Net DEX308.5K-244.3K922.3K5.0K280.0K
Net VEX-2.0K-2.3K-1.7K-2.0K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.040.0112.450.618.02
Total Volume3453779637406
Total OI5,673.4094,2377,4564,2375,361

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$5.07$5.0039.3%11.3%0.0%0.0%38.6%0.0%14.0%-19.0K5.0K-2.0K0.6185.78N/AN/A23142,2551,982
2021-08-03$4.81$5.0061.9%17.7%0.0%0.0%61.4%0.0%-4.1%-9.8K44.4K-1.9K0.2072.02N/AN/A332662,3671,998
2021-08-04$4.74$5.0069.0%19.8%0.0%0.0%0.0%0.0%19.8%-9.6K39.2K-1.9K0.2193.58N/AN/A53112,3852,012
2021-08-05$4.90$2.5060.3%19.6%38.9%0.0%62.8%0.0%-8.9%-9.5K-108.3K-2.1K0.0198.61N/AN/A29832,7002,078
2021-08-06$5.12$2.5039.1%14.0%41.7%0.0%71.2%0.0%9.2%-32.5K-238.4K-2.1K3.8478.60N/AN/A622382,7532,089
2021-08-09$5.01$2.5052.4%14.3%41.3%0.0%48.8%0.0%15.8%-14.6K-244.3K-2.1K4.22127.34N/AN/A321352,9872,087
2021-08-10$4.94$5.0052.7%13.8%40.4%0.0%92.9%0.0%16.7%-12.9K-63.8K-2.0K0.91112.22N/AN/A1881722,9242,315
2021-08-11$4.83$7.5057.6%16.5%40.1%0.0%60.1%0.0%2.9%-7.6K17.7K-2.1K0.6383.99N/AN/A2871802,9552,455
2021-08-12$4.87$7.5050.6%14.5%39.2%0.0%75.2%0.0%11.1%-13.0K69.5K-2.0K3.5896.07N/AN/A1184233,0022,527
2021-08-13$4.82$7.5066.4%19.0%39.3%0.0%68.3%0.0%-2.5%-11.9K123.7K-2.1K12.4568.58N/AN/A293613,0502,657
2021-08-16$4.69$7.5045.6%13.1%40.2%0.0%49.9%0.0%22.5%-10.8K396.4K-1.8K7.09110.14N/AN/A453193,1203,060
2021-08-17$4.55$7.5061.4%17.6%40.6%0.0%0.0%0.0%6.4%-3.3K539.0K-2.0K11.90101.39N/AN/A425003,1243,388
2021-08-18$4.47$7.5046.8%13.4%40.0%0.0%55.4%0.0%29.8%-6.0K700.4K-1.8K0.1699.43N/AN/A6881083,1583,713
2021-08-19$4.27$7.5077.4%22.2%42.5%0.0%76.9%0.0%-16.1%-5.6K922.3K-1.9K1.4268.48N/AN/A1351922,9134,127
2021-08-20$4.23$7.5069.5%19.9%42.1%0.0%71.3%0.0%-7.3%-5.5K841.4K-1.9K5.3658.06N/AN/A583113,2484,208
2021-08-23$4.38$7.5054.3%15.6%44.6%0.0%54.3%0.0%27.2%-7.1K577.7K-1.9K0.0152.09N/AN/A16322,6293,273
2021-08-24$4.68$7.5054.3%15.6%51.1%0.0%56.2%0.0%12.6%-10.2K541.4K-2.3K0.1551.50N/AN/A137212,5623,271
2021-08-25$4.56$7.5050.9%14.6%51.6%0.0%27.6%0.0%37.8%-8.3K540.7K-2.3K0.0654.64N/AN/A324202,5823,272
2021-08-26$4.48$7.5053.8%15.4%51.5%0.0%54.0%0.0%3.8%-7.3K582.7K-2.1K0.2955.74N/AN/A51152,6743,264
2021-08-27$4.33$7.5063.2%18.1%52.5%0.0%55.5%0.0%-4.1%-4.6K588.0K-2.0K4.0452.21N/AN/A1014082,8783,284
2021-08-30$4.13$7.5051.1%14.7%50.7%0.0%53.8%0.0%21.7%-3.1K632.1K-1.7K1.7549.05N/AN/A1893302,8893,239
2021-08-31$4.29$7.5042.3%12.1%50.9%0.0%41.4%0.0%17.0%-3.1K280.0K-1.8K8.0247.78N/AN/A453612,9452,416