GROY Options History — September 2024

In September 2024, GROY traded between $1.19 and $1.42. ATM implied volatility averaged 65.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 20.9% (HV 20d: 44.3%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2024-09-24: Highest Volume — 1,423 contracts
  • 2024-09-26: Largest IV spike — 87.5% change
  • 2024-09-10: Highest IV Rank — 28.3%
  • 2024-09-04: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.30$1.19$1.42$1.27$1.35
Max Pain$1.85$1.50$2.50$1.50$1.50
ATM IV65.2%40.2%108.7%62.3%54.5%
Expected Move16.2%11.5%26.3%17.9%15.6%
HV 20d44.3%30.0%54.1%42.3%54.1%
HV 60d48.8%45.5%51.5%47.2%50.5%
IV Rank10.4%0.0%28.3%9.0%6.3%
IV Percentile20.3%0.0%63.1%15.9%14.3%
Term Structure-6.2%-43.5%33.3%-6.9%-1.9%
VWIV72.5%51.9%111.0%87.7%64.8%
Skew 25d5.5%-13.6%32.5%13.4%5.7%
Skew 10d0.5%-19.8%21.3%4.5%1.3%
Call IV 25d55.5%34.4%89.3%61.0%65.2%
Put IV 25d61.0%44.3%79.3%74.4%71.0%
Bid-Ask Spread %36.9325.1482.5264.7432.28
Gamma HHI0.390.360.420.370.41
Net GEX7.2K3.8K10.8K5.4K9.5K
Net DEX-323.0K-470.6K-200.6K-268.9K-375.7K
Net VEX-1.9K-2.5K-1.4K-1.7K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0010.007.060.00
Total Volume249.4531,42313738
Total OI15,864.214,56517,05214,56517,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$1.27$1.5062.3%17.9%42.3%9.0%0.0%13.4%-6.9%5.4K-268.9K-1.7K7.0664.74N/AN/A1712013,764801
2024-09-04$1.25$1.5091.7%26.3%39.0%21.2%87.7%-10.3%-43.5%4.8K-226.9K-1.6K0.0082.52N/AN/A18013,777921
2024-09-05$1.25$2.5094.8%16.0%34.7%22.5%0.0%-4.4%-29.6%4.8K-226.9K-1.6K10.0025.14N/AN/A11013,794921
2024-09-06$1.21$2.5088.5%14.6%34.7%19.9%0.0%-13.6%-16.0%3.8K-200.6K-1.4K0.0027.90N/AN/A3013,794931
2024-09-09$1.21$2.5099.9%15.1%34.7%24.6%0.0%0.3%-17.7%4.4K-216.8K-1.6K0.0027.90N/AN/A84013,798931
2024-09-10$1.19$2.50108.7%15.9%30.0%28.3%68.7%-5.4%-32.1%4.3K-211.2K-1.7K0.3528.71N/AN/A863013,862931
2024-09-11$1.21$2.5054.3%15.6%30.1%5.6%0.0%3.6%-30.1%3.9K-207.2K-1.4K0.2930.41N/AN/A17513,944961
2024-09-12$1.25$2.5061.0%17.5%31.2%8.4%70.8%12.2%-11.0%5.2K-252.4K-1.8K0.0025.74N/AN/A331013,960966
2024-09-13$1.38$2.5071.7%20.6%47.2%12.9%72.3%-2.1%-13.9%6.9K-342.4K-1.9K0.0327.71N/AN/A1,1743014,268966
2024-09-16$1.31$1.5047.8%13.7%49.8%3.1%59.0%-0.0%5.1%7.7K-343.0K-1.9K0.0726.14N/AN/A1351015,388996
2024-09-17$1.33$1.5049.4%14.2%49.5%3.8%51.9%5.4%15.1%8.6K-378.5K-2.2K0.0025.25N/AN/A95015,5041,006
2024-09-18$1.33$1.5050.2%14.4%49.5%4.2%54.5%5.5%14.5%8.8K-392.2K-2.2K0.0025.25N/AN/A158015,5921,006
2024-09-19$1.31$1.5041.1%11.8%49.7%0.2%0.0%15.1%1.6%8.4K-361.5K-2.0K0.0047.29N/AN/A96015,7501,006
2024-09-20$1.33$1.5042.9%12.3%49.5%1.0%111.0%21.9%1.7%8.8K-371.5K-2.0K0.0069.40N/AN/A366115,8161,006
2024-09-23$1.31$1.5044.2%12.7%49.0%1.5%0.0%16.0%28.1%8.6K-389.4K-2.1K0.2045.52N/AN/A5115,874998
2024-09-24$1.38$1.5073.5%21.1%52.1%14.5%80.6%-2.2%-13.5%9.6K-470.6K-2.2K0.0130.41N/AN/A1,4101315,877999
2024-09-25$1.38$1.5040.2%11.5%52.1%0.0%86.9%32.5%33.3%10.8K-381.3K-2.2K2.6025.97N/AN/A6516915,486992
2024-09-26$1.42$1.5075.3%21.6%52.6%15.5%75.7%6.0%-12.8%10.3K-453.2K-2.5K1.4226.97N/AN/A14220115,5241,158
2024-09-27$1.38$1.5051.8%14.9%53.8%5.1%58.6%11.1%6.1%9.8K-388.8K-2.3K0.0143.37N/AN/A157115,6051,359
2024-09-30$1.35$1.5054.5%15.6%54.1%6.3%64.8%5.7%-1.9%9.5K-375.7K-2.2K0.0032.28N/AN/A38015,6921,360