GROY Options History — November 2021 In November 2021, GROY traded between $4.81 and $5.26. ATM implied volatility averaged 57.4%. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 27.0% (HV 20d: 30.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.56.
Notable Days 2021-11-03 : Highest Volume — 2,227 contracts2021-11-11 : Largest IV spike — 21.5% change2021-11-09 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $5.03 $4.81 $5.26 $4.92 $5.07 Max Pain $5.36 $5.00 $7.50 $7.50 $5.00 ATM IV 57.4% 47.4% 66.1% 59.3% 57.4% Expected Move 16.5% 13.6% 19.1% 17.0% 16.4% HV 20d 30.3% 26.1% 33.5% 29.3% 30.8% HV 60d 58.2% 55.8% 60.1% 59.9% 55.8% Term Structure 3.0% -3.8% 15.1% -0.6% 0.1% VWIV 62.9% 49.3% 96.2% 59.4% 58.7% Bid-Ask Spread % 53.94 18.41 87.98 53.71 20.45 Gamma HHI 0.58 0.45 0.71 0.62 0.48 Net GEX -9.1K -25.7K 4.5K -10.4K -1.5K Net DEX 105.0K -892.6K 962.5K 719.1K -265.5K Net VEX -8.6K -9.6K -7.6K -7.9K -7.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.15 3.44 1.78 0.15 Total Volume 720.238 316 2,227 1,079 1,366 Total OI 14,875.333 11,545 17,068 14,522 12,306
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 2021-11-01 $4.92 $7.50 59.3% 17.0% 29.3% 0.0% 59.4% 0.0% -0.6% -10.4K 719.1K -7.9K 1.78 53.71 N/A N/A 388 691 7,444 7,078 2021-11-02 $4.89 $7.50 54.4% 15.6% 29.2% 0.0% 54.5% 0.0% -1.6% -13.3K 898.6K -7.6K 2.42 47.93 N/A N/A 283 686 7,413 7,166 2021-11-03 $4.89 $7.50 53.5% 15.3% 29.1% 0.0% 53.5% 0.0% 4.7% -13.4K 780.0K -8.0K 1.16 44.41 N/A N/A 1,029 1,198 7,530 7,271 2021-11-04 $4.85 $5.00 54.2% 17.8% 29.2% 0.0% 63.2% 0.0% 1.4% -10.9K 780.5K -9.2K 1.22 87.98 N/A N/A 703 855 8,411 7,756 2021-11-05 $4.84 $5.00 61.4% 18.0% 29.1% 0.0% 83.9% 0.0% -0.5% -9.6K 858.0K -9.5K 1.98 77.80 N/A N/A 133 263 8,652 7,969 2021-11-08 $4.85 $5.00 63.4% 17.5% 27.0% 0.0% 62.4% 0.0% 1.3% -11.6K 856.8K -9.2K 0.77 79.45 N/A N/A 323 249 8,707 8,118 2021-11-09 $4.81 $5.00 66.1% 19.1% 26.9% 0.0% 96.2% 0.0% -3.8% -11.8K 962.5K -9.0K 0.81 78.72 N/A N/A 310 252 8,705 8,134 2021-11-10 $4.93 $5.00 52.9% 15.2% 26.1% 0.0% 60.1% 0.0% 9.6% -12.7K 832.8K -9.0K 0.90 75.65 N/A N/A 292 264 8,834 8,167 2021-11-11 $5.23 $5.00 64.2% 18.4% 33.5% 0.0% 80.5% 0.0% 1.7% -9.5K 311.0K -9.6K 1.97 86.68 N/A N/A 195 384 8,871 8,197 2021-11-12 $5.19 $5.00 60.9% 17.4% 33.2% 0.0% 80.1% 0.0% -1.3% -16.2K -362.9K -9.3K 1.29 84.58 N/A N/A 189 244 8,873 7,053 2021-11-15 $5.26 $5.00 62.0% 17.8% 30.9% 0.0% 60.9% 0.0% -1.4% -15.3K -487.5K -9.3K 0.60 73.23 N/A N/A 308 185 8,849 6,982 2021-11-16 $5.20 $5.00 54.9% 15.7% 30.6% 0.0% 61.5% 0.0% 7.3% -18.4K -456.3K -9.2K 0.70 66.06 N/A N/A 299 210 9,003 6,978 2021-11-17 $5.22 $5.00 56.3% 16.1% 30.7% 0.0% 60.5% 0.0% 6.0% -17.1K -455.8K -9.0K 2.19 71.03 N/A N/A 99 217 9,003 6,987 2021-11-18 $5.13 $5.00 54.1% 15.5% 31.2% 0.0% 54.8% 0.0% 8.4% -25.7K -331.8K -8.9K 1.64 49.31 N/A N/A 132 216 8,969 6,989 2021-11-19 $5.11 $5.00 53.2% 15.3% 30.9% 0.0% 53.9% 0.0% 8.1% 4.5K -892.6K -8.4K 1.07 24.14 N/A N/A 270 289 8,971 6,672 2021-11-22 $4.97 $5.00 47.4% 13.6% 31.2% 0.0% 49.3% 0.0% 15.1% 3.9K -272.2K -7.8K 2.69 24.01 N/A N/A 228 613 7,154 4,391 2021-11-23 $4.95 $5.00 53.3% 15.3% 30.5% 0.0% 53.5% 0.0% 3.0% -1.2K -208.5K -8.3K 3.44 22.18 N/A N/A 103 354 7,291 4,867 2021-11-24 $5.13 $5.00 58.2% 16.7% 32.6% 0.0% 53.4% 0.0% 8.8% -7 -421.0K -8.4K 2.75 18.41 N/A N/A 127 349 7,330 4,794 2021-11-26 $5.08 $5.00 61.8% 17.7% 32.7% 0.0% 62.6% 0.0% -2.9% 357 -365.4K -8.2K 2.63 27.38 N/A N/A 128 337 7,400 4,846 2021-11-29 $5.05 $5.00 56.0% 16.0% 32.5% 0.0% 58.8% 0.0% -0.3% -1.1K -275.7K -7.8K 0.64 19.71 N/A N/A 222 142 7,402 4,849 2021-11-30 $5.07 $5.00 57.4% 16.4% 30.8% 0.0% 58.7% 0.0% 0.1% -1.5K -265.5K -7.6K 0.15 20.45 N/A N/A 1,189 177 7,418 4,888
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