GROY Options History — August 2022

In August 2022, GROY traded between $2.66 and $3.16. ATM implied volatility averaged 58.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 21.5% (HV 20d: 79.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.59.

Notable Days

  • 2022-08-08: Highest Volume — 693 contracts
  • 2022-08-12: Largest IV spike — 45.8% change
  • 2022-08-01: Highest IV Rank — 37.4%
  • 2022-08-01: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.91$2.66$3.16$3.00$2.67
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV58.5%43.0%83.0%83.0%66.8%
Expected Move17.7%12.3%23.8%23.8%19.2%
HV 20d79.9%73.0%86.7%77.9%73.0%
HV 60d74.7%72.6%78.1%76.8%72.7%
IV Rank20.2%9.2%37.4%37.4%26.1%
IV Percentile46.8%5.6%90.9%90.9%72.6%
Term Structure3.0%-28.4%26.0%7.7%6.5%
VWIV69.4%42.9%96.7%96.7%67.0%
Bid-Ask Spread %65.8417.4698.1566.9356.46
Gamma HHI0.500.490.540.510.50
Net GEX4.1K2.9K5.2K4.3K3.2K
Net DEX-157.7K-352.2K-31.0K-180.3K-35.7K
Net VEX-2.1K-2.6K-1.3K-2.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.006.580.322.58
Total Volume175.65211693438326
Total OI6,551.2616,2526,7536,3176,496

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$3.00$2.5083.0%23.8%77.9%37.4%96.7%0.0%7.7%4.3K-180.3K-2.3K0.3266.93N/AN/A3331054,4171,900
2022-08-02$2.88$2.5067.4%19.3%77.2%26.5%63.1%0.0%-2.5%4.3K-154.7K-2.4K0.6598.15N/AN/A124814,3571,895
2022-08-03$2.73$2.5081.5%23.4%80.0%36.4%82.2%0.0%-10.0%3.8K-93.8K-2.3K0.2140.55N/AN/A180374,4451,917
2022-08-04$2.92$2.5048.2%20.6%74.5%12.9%71.7%0.0%2.1%4.3K-182.3K-2.4K0.0992.23N/AN/A254234,5041,918
2022-08-05$2.87$2.5046.8%23.1%75.0%11.9%80.6%0.0%-7.9%4.4K-165.6K-2.3K0.1486.21N/AN/A146214,5341,916
2022-08-08$3.14$2.5066.4%21.8%80.3%25.7%76.8%0.0%-4.9%5.0K-280.3K-2.4K0.1084.31N/AN/A632614,5541,917
2022-08-09$3.12$2.5072.4%22.4%80.4%30.0%77.1%0.0%-1.6%4.9K-289.4K-2.5K0.0617.46N/AN/A8954,6791,878
2022-08-10$3.11$2.5043.9%12.6%80.3%9.8%44.1%0.0%26.0%5.2K-352.2K-2.6K0.2332.46N/AN/A132314,7441,879
2022-08-11$2.93$2.5051.3%14.7%83.9%15.1%0.0%0.0%6.8%4.6K-210.9K-2.3K0.3429.62N/AN/A85294,7861,897
2022-08-12$3.01$2.5074.8%21.4%80.4%31.7%74.0%0.0%-2.2%4.7K-223.5K-2.3K0.2173.01N/AN/A100214,7431,894
2022-08-15$2.98$2.5057.5%16.5%78.2%19.4%0.0%0.0%-2.0%4.5K-226.6K-2.2K0.0186.06N/AN/A9714,8391,914
2022-08-16$3.16$2.5044.0%12.6%79.8%9.9%49.1%0.0%23.0%2.9K-308.7K-1.3K0.0772.47N/AN/A7654,8221,913
2022-08-17$2.95$2.5049.8%14.3%84.6%14.0%42.9%0.0%12.4%4.3K-183.3K-2.0K0.0188.22N/AN/A11214,7851,908
2022-08-18$2.90$2.5057.4%16.4%83.7%19.4%73.4%0.0%-4.5%4.2K-169.3K-2.0K0.0039.41N/AN/A2404,8051,909
2022-08-19$2.79$2.5052.6%15.1%81.8%16.0%0.0%0.0%-1.8%3.9K-120.8K-1.9K0.0086.92N/AN/A3904,8191,909
2022-08-22$2.70$2.5043.0%12.3%81.3%9.2%52.6%0.0%12.6%3.7K-36.5K-1.8K0.1665.56N/AN/A318524,5971,826
2022-08-23$2.77$2.5053.6%15.4%81.5%16.7%0.0%0.0%-3.7%3.7K-43.3K-1.9K0.0052.38N/AN/A3704,7271,870
2022-08-24$2.98$2.5047.3%13.6%84.4%12.3%0.0%0.0%25.9%4.3K-127.8K-2.1K0.0088.57N/AN/A11504,7021,870
2022-08-25$2.98$2.5047.7%13.7%83.8%12.6%0.0%0.0%3.6%4.3K-123.4K-2.0K0.0045.37N/AN/A1104,7001,870
2022-08-26$2.81$2.5069.3%19.9%86.7%27.8%94.7%0.0%-28.4%3.7K-52.2K-1.9K0.4070.23N/AN/A25104,7101,870
2022-08-29$2.79$2.5055.7%16.0%74.8%18.2%0.0%0.0%3.1%3.6K-36.2K-1.8K6.5844.54N/AN/A312044,7141,880
2022-08-30$2.66$2.5064.9%18.6%75.2%24.7%65.0%0.0%8.2%3.2K-31.0K-1.7K1.3997.31N/AN/A28394,7181,732
2022-08-31$2.67$2.5066.8%19.2%73.0%26.1%67.0%0.0%6.5%3.2K-35.7K-1.8K2.5856.46N/AN/A912354,7291,767