GROY Options History — December 2021

In December 2021, GROY traded between $4.74 and $5.00. ATM implied volatility averaged 56.6%. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 24.1% (HV 20d: 32.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2021-12-01: Highest Volume — 1,284 contracts
  • 2021-12-15: Largest IV drop — 47.4% change
  • 2021-12-06: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.86$4.74$5.00$4.82$4.93
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV56.6%47.3%98.8%55.2%48.6%
Expected Move15.3%13.5%18.8%15.8%13.9%
HV 20d32.5%24.9%37.3%35.9%25.5%
HV 60d33.0%29.8%55.3%55.3%30.0%
Term Structure5.8%-1.3%17.0%-1.1%6.2%
VWIV54.2%47.3%66.5%55.3%48.6%
Bid-Ask Spread %38.4116.1477.7020.7118.40
Gamma HHI0.580.460.830.460.49
Net GEX7.0K1.5K12.8K1.5K9.6K
Net DEX-392.6K-581.7K-160.7K-233.9K-480.1K
Net VEX-8.2K-9.4K-7.4K-8.3K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.142.590.140.88
Total Volume333.8181241,2841,284165
Total OI13,649.81812,33614,69513,20112,687

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$4.82$5.0055.2%15.8%35.9%0.0%55.3%0.0%-1.1%1.5K-233.9K-8.3K0.1420.71N/AN/A1,1261588,2184,983
2021-12-02$4.81$5.0050.2%14.4%35.9%0.0%50.7%0.0%5.8%5.1K-432.1K-9.4K1.4026.53N/AN/A1502109,2165,065
2021-12-03$4.86$5.0055.9%16.0%36.0%0.0%57.2%0.0%4.5%4.9K-377.2K-9.1K0.7338.16N/AN/A2251659,1945,185
2021-12-06$4.79$5.0060.3%18.8%36.3%0.0%66.5%0.0%-0.2%5.6K-324.5K-8.9K1.3177.70N/AN/A1301709,2905,196
2021-12-07$4.80$5.0056.0%16.8%36.3%0.0%58.8%0.0%5.1%3.5K-251.1K-8.6K0.4962.76N/AN/A2941449,3005,210
2021-12-08$4.92$5.0054.4%16.6%37.3%0.0%59.4%0.0%5.8%3.9K-507.7K-9.1K1.1361.36N/AN/A1271449,4545,231
2021-12-09$5.00$5.0060.5%14.1%36.7%0.0%50.0%0.0%15.8%1.5K-581.7K-9.1K0.8362.52N/AN/A1441199,4645,231
2021-12-10$4.82$5.0064.3%17.1%31.9%0.0%59.6%0.0%-1.3%5.9K-180.6K-8.4K0.7249.59N/AN/A1441039,4615,233
2021-12-13$4.82$5.0071.9%15.7%31.9%0.0%56.2%0.0%6.8%3.4K-414.9K-8.4K0.7754.93N/AN/A127989,4605,033
2021-12-14$4.81$5.0098.8%14.8%31.3%0.0%53.0%0.0%9.4%5.0K-337.4K-8.2K1.1160.27N/AN/A1171309,4635,031
2021-12-15$4.84$5.0051.9%14.9%31.4%0.0%53.7%0.0%17.0%2.4K-348.6K-8.2K1.0068.82N/AN/A1411419,4705,002
2021-12-16$4.89$5.0055.7%16.0%31.7%0.0%56.0%0.0%6.0%2.5K-496.7K-8.2K0.7130.33N/AN/A2021439,4924,880
2021-12-17$4.74$5.0053.9%15.5%32.8%0.0%54.4%0.0%6.8%12.8K-160.7K-7.8K2.5933.81N/AN/A1142959,5344,883
2021-12-20$4.79$5.0048.8%14.0%33.2%0.0%49.0%0.0%11.8%11.3K-355.2K-7.7K0.5316.14N/AN/A4162228,5063,830
2021-12-21$4.84$5.0047.5%13.6%32.2%0.0%49.5%0.0%10.0%10.5K-338.4K-7.7K0.2320.77N/AN/A379878,5413,941
2021-12-22$4.90$5.0047.3%13.5%32.6%0.0%47.3%0.0%8.1%11.5K-427.4K-7.8K1.8022.18N/AN/A801448,5693,954
2021-12-23$4.98$5.0052.7%15.1%30.4%0.0%52.8%0.0%-0.7%10.9K-571.4K-8.0K0.5023.38N/AN/A144728,5514,013
2021-12-27$4.92$5.0052.5%15.1%30.5%0.0%52.7%0.0%5.6%9.9K-482.6K-7.7K1.0124.34N/AN/A84858,5594,032
2021-12-28$4.87$5.0053.7%15.4%30.6%0.0%55.1%0.0%3.0%11.2K-453.6K-7.6K0.7721.76N/AN/A70548,5734,061
2021-12-29$4.90$5.0054.9%15.7%30.6%0.0%55.2%0.0%-0.9%11.3K-495.6K-7.6K0.5822.12N/AN/A83488,5824,064
2021-12-30$4.85$5.0050.2%14.4%24.9%0.0%50.4%0.0%4.3%10.9K-385.7K-7.4K0.7628.43N/AN/A85658,6024,052
2021-12-31$4.93$5.0048.6%13.9%25.5%0.0%48.6%0.0%6.2%9.6K-480.1K-7.6K0.8818.40N/AN/A88778,6104,077