LRGF Options History — October 2018

In October 2018, LRGF traded between $29.95 and $33.74. ATM implied volatility averaged 41.6%. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 28.9% (HV 20d: 12.7%). Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.03.

Notable Days

  • 2018-10-23: Highest Volume — 27 contracts
  • 2018-10-05: Largest IV spike — 161.6% change
  • 2018-10-29: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.97$29.95$33.74$33.63$31.26
ATM IV41.6%28.9%97.2%33.3%43.2%
Expected Move10.9%7.5%21.8%9.5%12.4%
HV 20d12.7%7.1%20.8%7.1%20.8%
HV 60d12.1%11.1%14.1%11.2%14.1%
Term Structure-9.0%-28.4%-3.7%-8.1%-9.7%
Skew 25d-0.7%-17.4%12.2%6.9%-0.7%
Skew 10d-5.4%-27.1%13.8%11.6%-11.6%
Call IV 25d43.1%27.5%90.9%37.1%46.1%
Put IV 25d42.3%24.3%73.6%44.0%45.4%
Bid-Ask Spread %175.96154.60192.44178.06173.10
Gamma HHI0.940.821.001.000.83
Net GEX1.2K02.0K01.8K
Net DEX-43.2K-72.0K00-53.8K
Net VEX-73-12300-106
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.080.000.08
Total Volume20.174027027
Total OI19027027

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$33.63$0.0033.3%9.5%7.1%0.0%0.0%6.9%-8.1%0000.00178.06N/AN/A0000
2018-10-02$33.62$0.0033.8%9.7%7.1%0.0%0.0%6.5%-7.6%0000.00186.52N/AN/A0000
2018-10-03$33.74$0.0032.6%9.4%7.2%0.0%0.0%5.9%-8.1%0000.00186.36N/AN/A0000
2018-10-04$33.37$0.0037.1%7.5%8.1%0.0%0.0%-0.6%-4.6%0000.00186.75N/AN/A0000
2018-10-05$33.21$0.0097.2%16.4%8.0%0.0%0.0%-1.3%-14.3%0000.00192.44N/AN/A0000
2018-10-08$33.25$0.0040.8%7.9%7.9%0.0%0.0%-0.5%-4.3%0000.00184.53N/AN/A25000
2018-10-09$33.05$0.0043.1%8.2%8.2%0.0%0.0%-1.0%-3.7%1.4K-72.0K-770.00186.14N/AN/A250250
2018-10-10$32.20$0.0030.0%8.6%12.1%0.0%0.0%-5.7%-7.9%1.4K-71.7K-670.00173.38N/AN/A250250
2018-10-11$31.61$0.0054.3%15.6%13.0%0.0%0.0%-9.0%-11.3%1.3K-55.8K-1220.00180.40N/AN/A250250
2018-10-12$31.66$0.0053.3%15.3%12.8%0.0%0.0%-7.6%-6.9%1.3K-54.6K-1230.00182.20N/AN/A250250
2018-10-15$31.72$0.0028.9%8.3%12.9%0.0%0.0%-10.7%-13.0%1.8K-66.6K-820.00172.15N/AN/A250250
2018-10-16$32.24$0.0029.1%8.3%14.3%0.0%0.0%2.7%-6.0%2.0K-71.2K-630.00175.79N/AN/A250250
2018-10-17$32.10$0.0032.1%9.2%14.2%0.0%0.0%3.4%-7.1%1.7K-68.7K-760.00180.18N/AN/A250250
2018-10-18$31.78$0.0030.9%8.9%13.9%0.0%0.0%2.7%-7.6%1.7K-64.1K-880.00174.20N/AN/A250250
2018-10-19$31.55$0.0032.4%9.3%13.9%0.0%0.0%1.8%-8.1%1.8K-61.0K-980.00173.67N/AN/A250250
2018-10-22$31.56$0.0035.4%10.1%13.9%0.0%0.0%12.2%-8.4%1.8K-60.1K-970.00175.19N/AN/A250250
2018-10-23$31.27$0.0034.8%10.0%14.1%0.0%0.0%1.9%-8.2%2.0K-56.1K-1030.08164.03N/AN/A252250
2018-10-24$30.66$0.0038.1%10.9%15.1%0.0%0.0%-4.2%-12.9%1.7K-52.2K-1100.08156.28N/AN/A252252
2018-10-25$30.84$0.0036.3%10.4%15.6%0.0%0.0%-2.4%-5.5%1.9K-49.4K-1150.08175.68N/AN/A252252
2018-10-26$30.30$0.0042.8%12.3%16.0%0.0%0.0%2.9%-5.2%1.8K-45.7K-1170.08154.60N/AN/A252252
2018-10-29$29.95$0.0076.2%21.8%16.0%0.0%0.0%-17.4%-28.4%1.2K-43.2K-1170.08167.93N/AN/A252252
2018-10-30$30.75$0.0040.6%11.6%19.6%0.0%0.0%-2.9%-10.4%2.0K-47.7K-1090.08167.52N/AN/A252252
2018-10-31$31.26$0.0043.2%12.4%20.8%0.0%0.0%-0.7%-9.7%1.8K-53.8K-1060.08173.10N/AN/A252252