LRGF Options History — September 2018

In September 2018, LRGF traded between $33.52 and $34.11. ATM implied volatility averaged 25.0%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 18.2% (HV 20d: 6.8%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days.

Notable Days

  • 2018-09-24: Largest IV spike — 318.3% change
  • 2018-09-17: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.83$33.52$34.11$33.97$33.65
ATM IV25.0%7.0%37.4%32.9%30.4%
Expected Move6.5%2.0%10.7%9.4%8.7%
HV 20d6.8%6.0%7.3%6.3%7.1%
Term Structure0.4%-7.8%20.2%-7.4%-4.6%
Skew 25d-4.3%-16.6%17.5%6.4%-15.6%
Skew 10d9.3%1.5%16.1%15.7%11.1%
Call IV 25d24.4%7.3%39.0%35.8%34.9%
Put IV 25d20.1%7.9%43.1%42.2%19.4%
Bid-Ask Spread %165.16117.10192.71154.37168.56
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$33.97$0.0032.9%9.4%0.0%0.0%0.0%6.4%-7.4%0000.00154.37N/AN/A0000
2018-09-05$33.95$0.0034.1%9.8%0.0%0.0%0.0%6.0%-7.1%0000.00155.34N/AN/A0000
2018-09-06$33.82$0.0034.1%7.4%6.3%0.0%0.0%-11.6%-4.1%0000.00183.52N/AN/A0000
2018-09-07$33.61$0.0022.9%2.2%6.9%0.0%0.0%17.5%11.4%0000.00156.56N/AN/A0000
2018-09-10$33.67$0.0025.4%2.5%6.7%0.0%0.0%-0.5%15.3%0000.00174.03N/AN/A0000
2018-09-11$33.66$0.0010.8%2.5%6.5%0.0%0.0%1.6%-0.4%0000.00117.10N/AN/A0000
2018-09-12$33.64$0.007.8%2.2%6.3%0.0%0.0%2.7%2.9%0000.00132.95N/AN/A0000
2018-09-13$33.85$0.0026.5%7.6%6.4%0.0%0.0%-12.2%-3.0%0000.00183.68N/AN/A0000
2018-09-14$33.99$0.0025.3%7.3%6.0%0.0%0.0%-8.4%-4.4%0000.00192.71N/AN/A0000
2018-09-17$33.81$0.0037.4%10.7%6.3%0.0%0.0%-6.6%-7.8%0000.00190.48N/AN/A0000
2018-09-18$34.04$0.007.7%2.2%6.5%0.0%0.0%3.8%20.2%0000.00130.67N/AN/A0000
2018-09-19$33.84$0.0028.3%8.1%6.9%0.0%0.0%-13.3%-4.5%0000.00162.59N/AN/A0000
2018-09-20$34.11$0.0027.1%7.8%7.3%0.0%0.0%-8.9%-5.7%0000.00177.57N/AN/A0000
2018-09-21$34.11$0.007.0%2.0%7.3%0.0%0.0%4.3%2.7%0000.00128.77N/AN/A0000
2018-09-24$33.96$0.0029.2%8.4%7.3%0.0%0.0%-9.7%18.9%0000.00186.28N/AN/A0000
2018-09-25$33.86$0.0029.0%8.3%7.0%0.0%0.0%-8.9%-6.4%0000.00174.90N/AN/A0000
2018-09-26$33.66$0.0028.7%8.2%7.3%0.0%0.0%-16.6%-4.0%0000.00181.62N/AN/A0000
2018-09-27$33.52$0.0030.5%8.7%7.2%0.0%0.0%-11.5%-5.1%0000.00186.31N/AN/A0000
2018-09-28$33.65$0.0030.4%8.7%7.1%0.0%0.0%-15.6%-4.6%0000.00168.56N/AN/A0000