GROY Options History — September 2021 In September 2021, GROY traded between $4.10 and $5.36. ATM implied volatility averaged 63.0%. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 19.3% (HV 20d: 82.3%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.40.
Notable Days 2021-09-09 : Highest Volume — 4,190 contracts2021-09-07 : Largest IV spike — 47.4% change2021-09-10 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.95 $4.10 $5.36 $4.24 $4.99 Max Pain $4.88 $2.50 $7.50 $7.50 $5.00 ATM IV 63.0% 37.6% 83.8% 53.1% 57.7% Expected Move 18.4% 12.7% 24.0% 15.2% 16.6% HV 20d 82.3% 47.0% 96.3% 50.8% 88.4% HV 60d 66.7% 64.6% 68.5% 68.5% 64.6% Term Structure 11.0% -27.5% 79.5% 26.0% -10.0% VWIV 65.9% 44.4% 94.8% 69.9% 58.7% Bid-Ask Spread % 44.94 19.41 85.86 53.68 37.73 Gamma HHI 0.51 0.33 0.76 0.68 0.43 Net GEX 1.0K -8.5K 5.8K -3.2K 4.9K Net DEX -382.5K -935.7K 354.6K 264.4K -460.4K Net VEX -5.0K -6.9K -2.0K -2.0K -6.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.12 7.41 1.35 0.22 Total Volume 654.19 47 4,190 47 368 Total OI 8,326.381 5,667 10,280 5,667 10,035
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-09-01 $4.24 $7.50 53.1% 15.2% 50.8% 0.0% 69.9% 0.0% 26.0% -3.2K 264.4K -2.0K 1.35 53.68 N/A N/A 20 27 3,127 2,540 2021-09-02 $4.34 $2.50 46.4% 16.5% 50.0% 0.0% 57.8% 0.0% 1.2% -3.8K 270.6K -2.0K 0.23 67.18 N/A N/A 625 141 3,144 2,583 2021-09-03 $4.40 $2.50 37.6% 16.1% 47.0% 0.0% 56.7% 0.0% 4.2% -3.7K 275.8K -2.1K 0.71 85.86 N/A N/A 210 149 3,150 2,610 2021-09-07 $4.13 $5.00 55.5% 14.5% 50.8% 0.0% 45.8% 0.0% -0.7% 279 293.9K -2.2K 2.39 47.68 N/A N/A 100 239 3,674 2,704 2021-09-08 $4.10 $5.00 56.5% 16.2% 50.8% 0.0% 52.3% 0.0% -4.8% 679 354.6K -2.1K 7.41 50.12 N/A N/A 22 163 3,821 2,831 2021-09-09 $5.12 $5.00 76.8% 22.0% 96.3% 0.0% 78.9% 0.0% 7.0% -5.2K -348.8K -4.2K 0.35 33.94 N/A N/A 3,097 1,093 3,907 3,034 2021-09-10 $5.13 $5.00 83.8% 24.0% 96.3% 0.0% 94.8% 0.0% -1.5% -8.5K -316.1K -4.2K 0.14 55.22 N/A N/A 628 90 3,921 3,192 2021-09-13 $5.09 $5.00 73.2% 21.0% 96.2% 0.0% 76.2% 0.0% 11.5% 4.2K -436.1K -5.6K 0.34 51.06 N/A N/A 565 190 6,014 4,051 2021-09-14 $5.09 $5.00 68.1% 19.5% 95.6% 0.0% 69.5% 0.0% 16.6% 702 -266.3K -5.4K 0.44 57.65 N/A N/A 214 94 5,681 4,087 2021-09-15 $5.10 $5.00 71.4% 20.5% 94.7% 0.0% 71.3% 0.0% 8.0% -510 -365.4K -6.0K 1.29 47.81 N/A N/A 136 175 5,852 4,213 2021-09-16 $5.08 $5.00 79.4% 22.8% 94.4% 0.0% 79.4% 0.0% 79.5% -653 -312.7K -5.9K 0.37 60.35 N/A N/A 513 191 5,913 4,251 2021-09-17 $5.15 $5.00 73.2% 21.0% 92.4% 0.0% 73.8% 0.0% 21.8% 5.2K -676.1K -5.6K 0.77 54.59 N/A N/A 123 95 5,953 4,327 2021-09-20 $5.02 $5.00 76.6% 21.9% 93.0% 0.0% 76.5% 0.0% 45.1% 5.0K -531.4K -5.4K 1.64 45.05 N/A N/A 140 230 5,005 2,707 2021-09-21 $5.31 $5.00 75.3% 21.6% 94.1% 0.0% 77.4% 0.0% 6.5% 5.8K -797.6K -5.8K 0.68 19.41 N/A N/A 821 560 5,046 2,732 2021-09-22 $5.30 $5.00 70.3% 20.1% 91.7% 0.0% 72.9% 0.0% -27.5% 5.2K -895.9K -6.1K 0.35 28.05 N/A N/A 474 167 5,114 2,873 2021-09-23 $5.35 $5.00 57.5% 16.5% 90.9% 0.0% 57.9% 0.0% 9.2% 4.0K -929.8K -6.4K 2.78 26.11 N/A N/A 65 181 5,574 3,340 2021-09-24 $5.36 $5.00 57.6% 16.5% 90.5% 0.0% 58.7% 0.0% 2.3% 3.2K -935.7K -6.6K 0.19 23.20 N/A N/A 482 92 5,755 3,488 2021-09-27 $5.24 $5.00 53.9% 15.5% 89.8% 0.0% 54.6% 0.0% 4.0% 1.7K -858.5K -6.7K 0.12 34.67 N/A N/A 770 93 5,791 3,660 2021-09-28 $5.21 $5.00 55.7% 16.0% 87.5% 0.0% 55.8% 0.0% 12.2% 1.6K -637.9K -6.6K 1.08 36.80 N/A N/A 132 142 5,560 3,734 2021-09-29 $5.18 $5.00 44.5% 12.7% 87.2% 0.0% 44.4% 0.0% 19.8% 4.7K -722.8K -6.9K 6.56 27.53 N/A N/A 16 105 6,050 3,810 2021-09-30 $4.99 $5.00 57.7% 16.6% 88.4% 0.0% 58.7% 0.0% -10.0% 4.9K -460.4K -6.9K 0.22 37.73 N/A N/A 301 67 6,098 3,937
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