GROY Options History — January 2022

In January 2022, GROY traded between $4.03 and $4.93. ATM implied volatility averaged 52.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 15.3% (HV 20d: 36.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2022-01-19: Highest Volume — 1,126 contracts
2022-01-31: Largest IV drop — 25.2% change
2022-01-27: Highest IV Rank — 49.2%
2022-01-27: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.57	$4.03	$4.93	$4.90	$4.29
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	52.1%	40.6%	63.8%	46.9%	40.6%
Expected Move	15.0%	11.6%	18.3%	13.4%	11.6%
HV 20d	36.8%	24.9%	52.8%	25.4%	52.8%
HV 60d	33.4%	29.8%	39.4%	30.1%	39.4%
IV Rank	32.5%	15.4%	49.2%	26.3%	15.4%
IV Percentile	38.7%	5.8%	86.0%	18.3%	5.8%
Term Structure	3.4%	-12.3%	26.8%	12.1%	26.8%
VWIV	55.1%	46.8%	86.4%	47.3%	50.3%
Bid-Ask Spread %	33.96	18.51	81.12	38.83	68.70
Gamma HHI	0.63	0.48	0.79	0.49	0.78
Net GEX	11.5K	2.9K	19.6K	8.6K	17.0K
Net DEX	-51.1K	-492.3K	643.7K	-445.6K	-258.1K
Net VEX	-6.0K	-7.4K	-4.5K	-7.3K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.39	2.11	1.54	2.11
Total Volume	375.5	132	1,126	132	411
Total OI	12,115.65	9,177	13,634	12,724	10,181

Daily Data (20 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
2022-01-03	$4.90	$5.00	46.9%	13.4%	25.4%	0.0%	47.3%	0.0%	12.1%	8.6K	-445.6K	-7.3K	1.54	38.83	N/A	N/A	52	80	8,626	4,098
2022-01-04	$4.93	$5.00	47.9%	13.7%	24.9%	0.0%	51.3%	0.0%	7.7%	8.3K	-492.3K	-7.4K	1.05	25.38	N/A	N/A	147	154	8,639	4,105
2022-01-05	$4.83	$5.00	55.1%	15.8%	26.1%	0.0%	55.3%	0.0%	-2.8%	9.5K	-342.0K	-7.1K	0.72	25.60	N/A	N/A	177	128	8,694	4,170
2022-01-06	$4.57	$5.00	57.6%	16.2%	31.1%	0.0%	56.7%	0.0%	3.2%	9.2K	120.0K	-6.4K	0.96	30.46	N/A	N/A	211	202	8,715	4,205
2022-01-07	$4.71	$5.00	50.8%	15.2%	32.7%	0.0%	52.9%	0.0%	4.3%	7.6K	65.2K	-6.6K	0.60	21.81	N/A	N/A	129	77	8,751	4,361
2022-01-10	$4.67	$5.00	52.1%	16.2%	30.3%	0.0%	56.6%	0.0%	0.7%	8.2K	39.9K	-6.5K	0.39	22.47	N/A	N/A	146	57	8,754	4,359
2022-01-11	$4.75	$5.00	50.3%	14.6%	31.0%	0.0%	50.9%	0.0%	5.2%	7.0K	11.2K	-6.5K	0.54	18.51	N/A	N/A	106	57	8,779	4,382
2022-01-12	$4.66	$5.00	48.1%	13.8%	31.6%	26.3%	48.2%	0.0%	5.4%	7.6K	101.0K	-6.3K	0.45	23.59	N/A	N/A	128	58	8,766	4,376
2022-01-13	$4.51	$5.00	46.8%	13.4%	33.3%	24.4%	46.8%	0.0%	8.5%	8.8K	316.0K	-5.8K	0.92	32.26	N/A	N/A	151	139	8,780	4,388
2022-01-14	$4.51	$5.00	52.9%	15.2%	33.0%	33.3%	53.0%	0.0%	1.1%	10.6K	520.6K	-5.6K	0.50	35.26	N/A	N/A	150	75	8,802	4,491
2022-01-18	$4.57	$5.00	50.4%	14.5%	31.9%	29.7%	50.5%	0.0%	2.7%	16.0K	643.7K	-5.1K	0.67	45.82	N/A	N/A	218	146	8,805	4,508
2022-01-19	$4.82	$5.00	53.1%	15.2%	37.2%	33.6%	53.2%	0.0%	3.1%	2.9K	-188.5K	-6.2K	0.41	34.13	N/A	N/A	798	328	8,821	4,392
2022-01-20	$4.80	$5.00	52.4%	15.0%	37.1%	32.6%	52.5%	0.0%	-0.8%	9.9K	-82.3K	-6.2K	0.57	25.72	N/A	N/A	300	170	9,290	4,344
2022-01-21	$4.51	$5.00	53.8%	15.4%	42.7%	34.7%	53.7%	0.0%	3.5%	18.6K	399.6K	-5.6K	0.84	37.79	N/A	N/A	504	424	9,307	4,324
2022-01-24	$4.41	$5.00	57.1%	16.4%	42.5%	39.4%	57.5%	0.0%	12.3%	16.9K	-401.6K	-5.4K	0.39	32.54	N/A	N/A	320	124	6,764	2,413
2022-01-25	$4.49	$5.00	49.9%	14.3%	43.2%	28.9%	51.6%	0.0%	-2.2%	19.6K	-418.7K	-5.6K	0.51	23.89	N/A	N/A	135	69	6,965	2,440
2022-01-26	$4.22	$5.00	57.4%	16.5%	47.8%	39.8%	67.9%	0.0%	-1.0%	15.7K	-257.5K	-5.3K	0.42	36.74	N/A	N/A	254	107	7,052	2,558
2022-01-27	$4.03	$5.00	63.8%	18.3%	49.4%	49.2%	86.4%	0.0%	-12.3%	11.8K	-74.5K	-4.5K	0.75	81.12	N/A	N/A	212	160	7,290	2,624
2022-01-28	$4.18	$5.00	54.3%	15.6%	52.1%	35.3%	60.2%	0.0%	-9.1%	15.8K	-277.7K	-5.2K	0.85	18.65	N/A	N/A	219	187	7,360	2,634
2022-01-31	$4.29	$5.00	40.6%	11.6%	52.8%	15.4%	50.3%	0.0%	26.8%	17.0K	-258.1K	-4.9K	2.11	68.70	N/A	N/A	132	279	7,539	2,642