GROY Options History — November 2022

In November 2022, GROY traded between $2.28 and $2.89. ATM implied volatility averaged 64.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 18.2% (HV 20d: 82.2%). 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 15 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2022-11-14: Highest Volume — 820 contracts
  • 2022-11-28: Largest IV spike — 43.9% change
  • 2022-11-02: Highest IV Rank — 28.4%
  • 2022-11-02: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.28$2.89$2.49$2.71
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV64.0%46.7%77.0%69.7%48.1%
Expected Move18.6%13.4%22.1%20.0%13.8%
HV 20d82.2%65.2%92.3%88.6%89.5%
HV 60d79.3%73.9%82.8%73.9%82.1%
IV Rank19.9%8.4%28.4%23.7%9.4%
IV Percentile56.4%10.7%83.7%71.0%17.1%
Term Structure3.6%-21.3%22.3%5.6%7.5%
VWIV65.5%48.2%77.2%70.7%53.7%
Bid-Ask Spread %40.9011.0763.8847.8736.08
Gamma HHI0.670.520.860.620.68
Net GEX8.0K5.3K11.9K6.7K8.8K
Net DEX-322.1K-503.7K-73.2K-188.1K-351.4K
Net VEX-1.9K-2.2K-1.5K-2.0K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.001.920.790.11
Total Volume277.3819820227207
Total OI6,715.0956,3367,1906,3367,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$2.49$2.5069.7%20.0%88.6%23.7%70.7%0.0%5.6%6.7K-188.1K-2.0K0.7947.87N/AN/A1271005,1541,182
2022-11-02$2.30$2.5077.0%22.1%92.3%28.4%77.2%0.0%-2.4%5.8K-98.3K-1.7K1.2611.07N/AN/A961215,2061,184
2022-11-03$2.28$2.5068.7%19.3%76.2%22.9%68.1%0.0%7.4%5.6K-73.2K-1.6K0.6538.17N/AN/A1781165,2001,151
2022-11-04$2.40$2.5065.9%20.2%65.2%21.2%70.4%0.0%1.6%6.7K-126.7K-1.8K1.0832.62N/AN/A1011095,2321,169
2022-11-07$2.50$2.5064.5%19.9%66.1%20.2%69.9%0.0%0.8%7.7K-208.9K-1.8K1.4133.08N/AN/A911285,2041,170
2022-11-08$2.69$2.5061.0%20.9%70.0%17.9%72.9%0.0%-21.3%5.3K-377.3K-1.8K0.2737.84N/AN/A318865,2431,157
2022-11-09$2.50$2.5067.3%19.3%76.0%22.0%67.2%0.0%1.3%7.4K-181.8K-1.5K0.5958.00N/AN/A140825,3291,153
2022-11-10$2.72$2.5060.6%17.4%80.8%17.6%61.2%0.0%3.8%8.0K-361.7K-1.8K0.2839.02N/AN/A331925,3321,156
2022-11-11$2.65$2.5068.3%19.6%80.6%22.7%69.9%0.0%1.0%9.3K-362.6K-2.0K0.5438.61N/AN/A153835,4341,158
2022-11-14$2.89$2.5072.2%20.7%78.4%25.3%72.3%0.0%-2.4%7.5K-503.7K-1.9K0.2643.88N/AN/A6531675,4821,159
2022-11-15$2.66$2.5057.0%16.4%84.9%15.3%56.8%0.0%22.3%11.9K-434.7K-2.1K0.6163.88N/AN/A2781705,9951,141
2022-11-16$2.64$2.5073.9%21.2%84.5%26.4%74.0%0.0%1.7%11.0K-409.0K-2.1K0.6152.76N/AN/A130795,9541,143
2022-11-17$2.55$2.5065.2%18.7%85.7%20.7%65.3%0.0%3.0%11.8K-324.6K-1.9K0.2142.52N/AN/A177385,9501,147
2022-11-18$2.60$2.5056.7%16.3%83.9%15.0%56.9%0.0%11.5%8.6K-394.9K-1.9K0.1745.61N/AN/A248436,0321,158
2022-11-21$2.62$2.5063.7%18.3%83.4%19.7%63.5%0.0%-0.4%8.6K-304.5K-1.9K0.7826.47N/AN/A2251765,611961
2022-11-22$2.88$2.5058.1%16.7%88.6%16.0%54.0%0.0%16.7%6.4K-479.0K-2.1K0.3846.97N/AN/A222845,6171,110
2022-11-23$2.88$2.5059.3%17.0%86.8%16.8%64.9%0.0%13.5%6.8K-479.3K-2.1K1.9226.84N/AN/A711365,6451,101
2022-11-25$2.84$2.5046.7%13.4%84.8%8.4%48.2%0.0%12.8%7.9K-460.2K-2.2K0.0034.97N/AN/A905,6821,164
2022-11-28$2.63$2.5067.1%19.2%89.4%21.9%66.6%0.0%-4.9%8.1K-325.1K-2.0K0.0951.70N/AN/A216205,7191,174
2022-11-29$2.68$2.5072.4%20.7%89.6%25.4%72.0%0.0%-2.8%8.3K-318.8K-2.0K0.0450.95N/AN/A2315,9261,195
2022-11-30$2.71$2.5048.1%13.8%89.5%9.4%53.7%0.0%7.5%8.8K-351.4K-2.0K0.1136.08N/AN/A186215,9411,196