GROY Options History — October 2021

In October 2021, GROY traded between $5.01 and $5.54. ATM implied volatility averaged 52.2%. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 11.6% (HV 20d: 40.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2021-10-29: Highest Volume — 1,279 contracts
  • 2021-10-11: Largest IV spike — 70.4% change
  • 2021-10-04: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.23$5.01$5.54$5.01$5.06
Max Pain$6.43$5.00$7.50$5.00$7.50
ATM IV52.2%30.0%61.6%50.8%61.6%
Expected Move16.2%14.1%19.2%14.6%17.7%
HV 20d40.6%27.3%88.3%88.3%27.6%
HV 60d61.9%60.3%64.0%64.0%60.3%
Term Structure6.3%-15.1%21.4%12.0%1.3%
VWIV59.0%40.4%75.7%51.6%61.7%
Bid-Ask Spread %54.6139.3879.4839.3851.49
Gamma HHI0.570.420.750.720.57
Net GEX-2.5K-10.7K5.7K2.6K-7.7K
Net DEX-229.3K-1.2M542.6K-449.6K542.6K
Net VEX-7.3K-8.4K-6.7K-6.8K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.236.181.072.51
Total Volume801.6672601,2793161,279
Total OI12,360.28610,10314,28010,10314,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$5.01$5.0050.8%14.6%88.3%0.0%51.6%0.0%12.0%2.6K-449.6K-6.8K1.0739.38N/AN/A1531636,1014,002
2021-10-04$5.05$5.0060.3%19.2%88.2%0.0%72.5%0.0%-0.4%2.7K-515.8K-6.8K3.7750.31N/AN/A1505666,3154,051
2021-10-05$5.07$5.0044.4%16.4%84.3%0.0%66.0%0.0%8.1%633-441.8K-6.7K0.4267.79N/AN/A3111326,4144,215
2021-10-06$5.10$5.0040.3%16.3%84.0%0.0%67.1%0.0%17.8%-7.5K-431.3K-7.1K1.2356.30N/AN/A3233966,5364,680
2021-10-07$5.09$5.0044.2%17.0%28.9%0.0%75.7%0.0%14.5%-4.9K-454.3K-7.3K0.2365.98N/AN/A5211186,7354,798
2021-10-08$5.05$5.0030.0%15.7%29.0%0.0%55.0%0.0%14.0%-10.7K-222.8K-7.2K0.4960.94N/AN/A4011966,9765,138
2021-10-11$5.19$5.0051.1%16.0%30.5%0.0%56.6%0.0%18.5%-2.0K-535.0K-7.0K0.4269.85N/AN/A183777,2665,195
2021-10-12$5.21$5.0040.9%14.8%30.5%0.0%71.8%0.0%21.4%-7.0K-895.7K-7.2K0.7154.69N/AN/A4212997,4525,385
2021-10-13$5.37$5.0057.8%16.6%32.2%0.0%40.4%0.0%10.4%457-1.1M-6.8K1.5349.40N/AN/A2083197,5195,442
2021-10-14$5.48$7.5059.1%16.9%32.7%0.0%57.1%0.0%-1.8%5.4K-1.2M-7.1K0.8979.48N/AN/A4534027,8545,608
2021-10-15$5.54$7.5054.4%15.6%32.6%0.0%57.1%0.0%5.2%5.0K-969.6K-7.0K0.5255.46N/AN/A4972607,7745,864
2021-10-18$5.33$7.5051.7%14.8%34.4%0.0%51.4%0.0%6.0%4.4K-76.8K-7.0K3.6851.66N/AN/A2198066,2544,414
2021-10-19$5.40$7.5056.6%16.2%28.5%0.0%59.4%0.0%5.4%5.7K-66.6K-7.2K1.5249.67N/AN/A1352056,7074,568
2021-10-20$5.39$7.5060.5%17.4%28.5%0.0%59.2%0.0%-2.2%-1.2K27.3K-7.8K5.9952.91N/AN/A1589466,8575,414
2021-10-21$5.35$7.5049.3%14.1%28.5%0.0%49.0%0.0%5.8%-5.3K148.5K-7.8K6.1844.18N/AN/A1761,0876,9325,768
2021-10-22$5.28$7.5057.8%16.6%28.8%0.0%62.3%0.0%-15.1%-3.2K185.8K-8.0K5.8447.67N/AN/A1388066,9905,942
2021-10-25$5.38$7.5059.0%16.9%28.4%0.0%59.1%0.0%1.0%-6.3K228.1K-7.7K4.3450.67N/AN/A1556737,0216,154
2021-10-26$5.26$7.5054.5%15.6%29.6%0.0%54.5%0.0%3.1%-6.9K376.3K-7.6K2.4948.55N/AN/A3037547,0706,232
2021-10-27$5.15$7.5054.7%15.7%30.5%0.0%55.0%0.0%4.1%-7.8K426.2K-7.7K3.7950.64N/AN/A2651,0047,1306,415
2021-10-28$5.12$7.5057.0%16.3%27.3%0.0%57.4%0.0%3.1%-8.8K528.9K-8.0K3.5649.86N/AN/A2589197,3386,760
2021-10-29$5.06$7.5061.6%17.7%27.6%0.0%61.7%0.0%1.3%-7.7K542.6K-8.4K2.5151.49N/AN/A3649157,3506,930