GROY Options History — March 2023

In March 2023, GROY traded between $2.01 and $2.21. ATM implied volatility averaged 62.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 25.0% (HV 20d: 37.1%). 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 10 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2023-03-03: Highest Volume — 1,048 contracts
  • 2023-03-24: Largest IV spike — 61.5% change
  • 2023-03-14: Highest IV Rank — 55.1%
  • 2023-03-27: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.13$2.01$2.21$2.17$2.17
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV62.0%37.4%116.0%46.3%40.4%
Expected Move16.4%10.7%22.8%13.3%11.6%
HV 20d37.1%25.2%50.1%26.1%50.1%
HV 60d45.3%38.8%49.7%49.6%38.8%
IV Rank20.0%4.1%55.1%9.8%6.0%
IV Percentile46.3%1.6%96.8%15.9%4.0%
Term Structure3.3%-15.4%31.8%14.3%20.9%
VWIV64.9%43.7%117.5%43.7%58.7%
Bid-Ask Spread %19.075.7162.1462.1411.32
Gamma HHI0.900.720.970.790.97
Net GEX5.4K2.2K9.0K2.3K8.4K
Net DEX-26.3K-174.4K84.3K84.3K-75.1K
Net VEX-1.6K-2.1K-1.2K-1.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.500.310.00
Total Volume168.435131,0481713
Total OI7,018.2615,9617,9135,9667,913

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$2.17$2.5046.3%13.3%26.1%9.8%0.0%0.0%14.3%2.3K84.3K-1.2K0.3162.14N/AN/A1344,5281,438
2023-03-02$2.20$2.5049.1%14.1%25.3%11.7%0.0%0.0%13.5%2.2K66.5K-1.3K2.5056.58N/AN/A4104,5331,428
2023-03-03$2.20$2.5043.0%12.3%25.2%7.7%43.7%0.0%12.6%2.5K73.9K-1.3K0.0060.63N/AN/A1,04624,5371,438
2023-03-06$2.13$2.5051.0%17.8%27.1%12.9%62.1%0.0%-3.5%4.9K-11.5K-1.7K1.675.71N/AN/A12205,3911,372
2023-03-07$2.08$2.5070.7%20.2%26.5%25.7%71.2%0.0%-11.3%4.4K12.1K-1.6K0.4110.70N/AN/A1775,3981,372
2023-03-08$2.05$2.5070.8%19.2%26.1%25.7%72.0%0.0%-15.4%4.3K20.1K-1.6K0.249.03N/AN/A83205,4081,377
2023-03-09$2.02$2.5084.2%17.2%25.3%34.4%55.1%0.0%-15.4%4.3K16.0K-1.5K1.6714.32N/AN/A18305,4131,371
2023-03-10$2.04$2.5078.4%17.4%25.5%30.6%73.3%0.0%-12.5%4.0K26.5K-1.6K0.0911.34N/AN/A244215,4161,411
2023-03-13$2.16$2.5090.2%18.2%32.1%38.3%64.5%0.0%-7.5%4.9K2.5K-1.6K0.0113.18N/AN/A19225,4391,406
2023-03-14$2.12$2.50116.0%20.2%32.5%55.1%71.3%0.0%-10.0%5.0K3.4K-1.7K0.0010.94N/AN/A31105,6281,414
2023-03-15$2.08$2.5059.8%17.1%31.9%18.6%47.8%0.0%-11.7%5.5K-2.1K-1.6K1.3013.10N/AN/A10135,8621,414
2023-03-16$2.01$2.5065.3%18.7%33.4%22.2%70.1%0.0%0.0%5.1K-610-1.5K0.5715.16N/AN/A37215,8671,418
2023-03-17$2.15$2.5064.0%18.3%41.4%21.3%66.9%0.0%-7.2%6.3K-26.1K-1.8K0.1217.91N/AN/A321385,8921,419
2023-03-20$2.20$2.5061.4%17.6%41.9%19.7%67.8%0.0%-2.4%6.7K-126.4K-1.8K0.0023.40N/AN/A13805,9511,078
2023-03-21$2.08$2.5040.0%11.5%46.0%5.8%43.9%0.0%31.8%5.1K-23.6K-1.5K0.0710.35N/AN/A8766,0381,078
2023-03-22$2.13$2.5037.4%10.7%46.8%4.1%0.0%0.0%29.8%5.7K-2.7K-1.4K0.0017.76N/AN/A2806,1101,083
2023-03-23$2.19$2.5046.6%13.4%47.8%10.0%45.3%0.0%21.4%7.2K-77.4K-1.7K0.1316.36N/AN/A5576,1311,083
2023-03-24$2.17$2.5075.2%21.6%47.8%28.6%75.9%0.0%-14.3%6.7K-114.5K-1.8K0.1711.36N/AN/A4686,1301,083
2023-03-27$2.17$2.5079.6%22.8%47.8%31.4%80.4%0.0%-14.4%6.6K-126.0K-1.8K0.0613.87N/AN/A167106,1601,091
2023-03-28$2.17$2.5055.6%16.0%47.7%15.9%117.5%0.0%20.9%7.1K-119.0K-1.8K0.0010.73N/AN/A25516,3141,099
2023-03-29$2.13$2.5042.5%12.2%48.1%7.4%46.4%0.0%23.1%6.6K-31.9K-1.6K0.0810.72N/AN/A379316,5221,099
2023-03-30$2.21$2.5058.7%16.8%49.7%17.9%58.7%0.0%10.2%9.0K-174.4K-2.1K1.0111.97N/AN/A73746,7671,100
2023-03-31$2.17$2.5040.4%11.6%50.1%6.0%0.0%0.0%20.9%8.4K-75.1K-1.8K0.0011.32N/AN/A1306,8091,104