GROY Options History — September 2022

In September 2022, GROY traded between $2.23 and $2.99. ATM implied volatility averaged 78.0%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 10.6% (HV 20d: 67.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2022-09-16: Highest Volume — 551 contracts
  • 2022-09-13: Largest IV spike — 94.9% change
  • 2022-09-13: Highest IV Rank — 100.0%
  • 2022-09-26: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.23$2.99$2.57$2.55
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV78.0%52.2%185.3%70.2%87.3%
Expected Move20.8%17.4%25.2%20.1%25.0%
HV 20d67.4%59.5%73.9%69.4%68.5%
HV 60d73.8%70.4%76.5%72.5%70.4%
IV Rank31.7%15.7%100.0%28.4%36.9%
IV Percentile76.7%29.0%100.0%78.2%91.3%
Term Structure-3.6%-33.0%10.8%-0.9%-7.3%
VWIV72.8%61.6%88.7%69.4%86.8%
Bid-Ask Spread %57.4226.83108.6094.9636.14
Gamma HHI0.520.490.660.520.50
Net GEX3.9K2.7K5.4K3.1K4.0K
Net DEX-41.7K-231.1K98.2K-677-65.5K
Net VEX-1.7K-2.0K-1.3K-1.7K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.004.200.232.15
Total Volume163.333155174126
Total OI7,216.6676,5497,6286,5497,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$2.57$2.5070.2%20.1%69.4%28.4%69.4%0.0%-0.9%3.1K-677-1.7K0.2394.96N/AN/A60144,7861,763
2022-09-02$2.70$2.5077.4%22.2%72.0%33.5%0.0%0.0%-33.0%3.5K-59.6K-1.9K0.11108.60N/AN/A4554,8001,774
2022-09-06$2.64$2.5073.9%21.5%63.2%31.0%75.0%0.0%-4.7%3.3K-43.5K-1.7K0.1953.15N/AN/A182344,8481,779
2022-09-07$2.83$2.5053.4%19.9%69.1%16.5%69.5%0.0%2.2%4.2K-137.2K-1.9K0.1526.83N/AN/A161244,9581,781
2022-09-08$2.78$2.5052.2%21.1%69.2%15.7%73.7%0.0%-4.6%4.0K-110.6K-1.8K0.0054.80N/AN/A51604,9561,782
2022-09-09$2.90$2.5062.0%19.0%68.1%22.7%65.9%0.0%-1.0%5.1K-176.8K-2.0K0.7276.57N/AN/A50365,4421,782
2022-09-12$2.99$2.5095.0%19.0%68.3%46.0%65.2%0.0%5.9%5.4K-231.1K-2.0K0.0251.69N/AN/A18435,4591,784
2022-09-13$2.76$2.50185.3%17.4%73.9%100.0%63.0%0.0%4.7%4.3K-96.9K-1.8K2.0486.39N/AN/A541105,4081,786
2022-09-14$2.74$2.5070.9%20.3%70.1%26.3%70.9%0.0%-3.1%4.3K-80.5K-1.8K4.0086.69N/AN/A15605,4381,805
2022-09-15$2.65$2.5067.4%19.3%67.1%24.1%67.4%0.0%0.0%3.7K-28.6K-1.7K0.0445.40N/AN/A2515,4381,865
2022-09-16$2.62$2.5062.0%17.8%67.0%20.6%62.0%0.0%7.8%4.5K-39.0K-1.8K0.3859.10N/AN/A3991525,4361,865
2022-09-19$2.66$2.5071.2%20.4%66.1%26.6%71.2%0.0%-4.3%4.8K-44.4K-1.9K0.0647.32N/AN/A1815,6291,725
2022-09-20$2.56$2.5062.9%18.0%66.5%21.2%62.9%0.0%10.8%4.6K-12.5K-1.7K4.2055.08N/AN/A301265,6241,718
2022-09-21$2.59$2.5061.7%17.7%65.9%20.4%61.6%0.0%8.4%3.4K19.5K-1.3K0.1163.61N/AN/A915,6491,820
2022-09-22$2.54$2.5066.3%19.0%59.5%23.4%0.0%0.0%3.0%4.1K25.3K-1.7K0.0041.20N/AN/A105,6621,821
2022-09-23$2.36$2.5086.6%24.8%63.8%36.5%86.6%0.0%-15.4%3.3K94.1K-1.4K2.9340.69N/AN/A561645,6621,821
2022-09-26$2.23$2.5087.8%25.2%63.6%37.3%88.7%0.0%-17.2%2.7K98.2K-1.4K0.9130.52N/AN/A1361245,6791,759
2022-09-27$2.31$2.5081.3%23.3%65.7%33.0%81.4%0.0%-7.2%3.2K50.1K-1.6K0.7642.83N/AN/A66505,7391,741
2022-09-28$2.46$2.5080.4%23.1%68.8%32.5%80.5%0.0%-5.7%3.6K-13.8K-1.7K0.6952.79N/AN/A144995,7541,761
2022-09-29$2.48$2.5082.1%23.5%68.9%33.5%82.2%0.0%-9.9%3.8K-22.7K-1.8K1.9851.48N/AN/A50995,8121,811
2022-09-30$2.55$2.5087.3%25.0%68.5%36.9%86.8%0.0%-7.3%4.0K-65.5K-1.9K2.1536.14N/AN/A40865,8171,811