GROY Options History — March 2022

In March 2022, GROY traded between $3.76 and $4.22. ATM implied volatility averaged 63.1%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 12.5% (HV 20d: 50.6%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.67.

Notable Days

  • 2022-03-24: Highest Volume — 923 contracts
  • 2022-03-03: Largest IV spike — 76.9% change
  • 2022-03-03: Highest IV Rank — 91.1%
  • 2022-03-11: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.98$3.76$4.22$4.03$4.12
Max Pain$4.64$2.50$5.00$5.00$5.00
ATM IV63.1%41.9%92.7%45.7%64.9%
Expected Move18.8%13.1%27.0%13.1%15.0%
HV 20d50.6%45.0%57.3%57.3%52.5%
HV 60d49.6%46.7%53.6%46.8%53.6%
IV Rank48.2%17.3%91.1%22.8%50.8%
IV Percentile67.5%6.8%99.4%13.3%81.7%
Term Structure-1.4%-18.6%35.8%17.3%14.6%
VWIV80.2%47.7%155.9%60.9%54.4%
Bid-Ask Spread %52.858.35122.9811.3063.32
Gamma HHI0.690.440.870.840.59
Net GEX11.4K3.2K23.1K14.7K4.6K
Net DEX84.3K-203.2K362.2K14.2K282.4K
Net VEX-3.1K-4.3K-1.6K-3.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.143.480.390.21
Total Volume497.913238923524687
Total OI12,097.8710,73813,08910,73813,089

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$4.03$5.0045.7%13.1%57.3%22.8%60.9%0.0%17.3%14.7K14.2K-3.5K0.3911.30N/AN/A3771478,0662,672
2022-03-02$4.03$5.0052.4%15.0%54.1%32.6%87.9%0.0%0.3%15.2K-18.9K-3.6K0.5910.06N/AN/A1721028,3242,722
2022-03-03$4.08$5.0092.7%26.6%53.9%91.1%155.9%0.0%-2.8%16.2K-26.2K-3.7K0.7432.99N/AN/A1371018,4232,738
2022-03-04$4.04$5.0056.6%16.2%52.3%38.7%99.8%0.0%-18.6%15.6K-159.4K-4.0K0.539.96N/AN/A2211188,4762,732
2022-03-07$3.83$5.0073.4%21.0%55.4%63.0%104.2%0.0%-11.3%3.2K362.2K-1.6K0.318.35N/AN/A5641778,7692,714
2022-03-08$3.98$5.0067.8%26.0%56.3%55.0%132.3%0.0%-5.8%16.2K-130.7K-4.0K0.5524.43N/AN/A3221789,1652,720
2022-03-09$3.84$5.0070.3%21.4%57.3%58.7%96.4%0.0%-14.4%4.0K270.0K-2.0K0.6029.72N/AN/A3261949,1462,706
2022-03-10$3.80$5.0073.6%23.8%55.8%63.4%96.9%0.0%-17.1%3.8K274.9K-2.1K0.779.31N/AN/A1801389,3472,785
2022-03-11$3.76$5.0081.4%27.0%50.4%74.8%145.5%0.0%-18.1%14.6K-22.1K-3.6K0.6813.97N/AN/A1971339,3482,815
2022-03-14$3.86$2.5070.6%19.3%47.3%59.0%68.8%0.0%-16.1%4.2K274.2K-2.2K0.1428.58N/AN/A682939,3792,818
2022-03-15$3.90$2.5070.5%18.2%47.5%58.9%63.5%0.0%-17.3%4.7K271.7K-2.1K0.2841.80N/AN/A5221449,2502,838
2022-03-16$3.81$2.5070.4%19.4%46.5%58.7%68.0%0.0%-17.4%15.9K-142.2K-4.1K0.3353.66N/AN/A4601549,3982,875
2022-03-17$4.05$0.0070.3%19.7%50.9%58.6%0.0%0.0%-18.4%19.6K-201.5K-4.3K0.72122.98N/AN/A2932119,4042,886
2022-03-18$4.15$0.0061.8%17.8%48.3%46.2%61.9%0.0%0.8%21.7K-181.7K-4.0K3.48101.28N/AN/A1123909,5222,958
2022-03-21$4.10$5.0068.3%17.0%46.0%55.7%59.3%0.0%-16.1%20.8K-203.2K-4.0K0.2273.32N/AN/A5231179,1612,759
2022-03-22$3.96$5.0044.9%17.4%45.0%21.7%60.6%0.0%21.5%4.7K228.0K-2.3K0.3569.63N/AN/A4091429,1702,779
2022-03-23$4.09$5.0043.6%20.5%45.8%19.8%71.4%0.0%35.8%15.0K95.6K-3.1K1.64101.02N/AN/A1943199,1822,806
2022-03-24$4.22$5.0055.0%16.1%46.2%36.3%56.2%0.0%-8.7%23.1K-169.0K-4.3K0.1986.44N/AN/A7731509,2353,023
2022-03-25$4.10$5.0041.9%16.5%47.4%17.3%57.6%0.0%20.2%12.3K198.9K-3.1K0.7092.84N/AN/A2131509,9163,033
2022-03-28$3.91$5.0054.3%17.4%49.4%35.3%60.3%0.0%14.5%4.3K287.4K-2.5K0.5959.14N/AN/A2251329,9583,033
2022-03-29$3.96$5.0058.5%14.4%49.3%41.4%47.7%0.0%14.1%4.6K304.6K-2.4K0.7085.70N/AN/A1841299,9713,077
2022-03-30$3.92$5.0063.4%14.6%49.4%48.6%54.6%0.0%11.8%4.2K330.7K-2.3K0.8185.70N/AN/A1441169,9833,080
2022-03-31$4.12$5.0064.9%15.0%52.5%50.8%54.4%0.0%14.6%4.6K282.4K-2.5K0.2163.32N/AN/A57011710,0093,080