LRGF Options History — November 2018

In November 2018, LRGF traded between $30.18 and $32.26. ATM implied volatility averaged 49.6%. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 29.4% (HV 20d: 20.2%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-11-14: Highest Volume — 237 contracts
  • 2018-11-05: Largest IV spike — 95.5% change
  • 2018-11-23: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.16$30.18$32.26$31.51$31.39
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV49.6%31.6%113.3%41.5%36.7%
Expected Move11.0%8.1%17.4%11.9%10.5%
HV 20d20.2%17.8%21.4%21.1%17.8%
HV 60d14.9%13.8%16.4%14.1%16.4%
Term Structure-7.4%-16.8%16.8%-9.8%-8.6%
VWIV45.0%38.9%57.8%46.0%49.1%
Skew 25d3.3%-0.9%10.1%0.9%2.1%
Skew 10d5.8%-12.2%19.1%-10.3%2.0%
Call IV 25d42.1%31.5%65.6%47.3%41.3%
Put IV 25d45.5%33.5%75.7%48.2%43.5%
Bid-Ask Spread %166.02151.89181.59169.95164.84
Gamma HHI0.830.790.870.830.83
Net GEX1.9K1.4K2.6K2.0K2.5K
Net DEX-66.1K-99.3K-46.0K-55.8K-99.3K
Net VEX-809-1.5K-67-98-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.080.820.080.68
Total Volume91.7622723727121
Total OI1372723727237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$31.51$0.0041.5%11.9%21.1%0.0%0.0%0.9%-9.8%2.0K-55.8K-980.08169.95N/AN/A252252
2018-11-02$31.36$0.0042.5%12.2%21.1%0.0%0.0%-0.9%-15.8%1.7K-56.8K-960.08173.19N/AN/A252252
2018-11-05$31.51$29.0083.0%15.1%21.2%0.0%46.0%4.9%-16.8%1.4K-50.0K-1050.08178.55N/AN/A252252
2018-11-06$31.59$29.0048.1%8.6%21.2%0.0%39.2%3.8%-10.5%1.8K-58.1K-890.08153.44N/AN/A252252
2018-11-07$32.26$29.0048.3%8.1%20.8%0.0%39.5%1.8%-5.2%2.1K-65.4K-670.08173.08N/AN/A252252
2018-11-08$32.12$29.0049.6%8.8%19.7%0.0%40.9%2.8%-3.0%1.5K-63.5K-810.08158.13N/AN/A252252
2018-11-09$31.84$29.0074.5%11.1%20.0%0.0%44.5%3.0%-8.7%1.5K-56.5K-920.08176.83N/AN/A252252
2018-11-12$31.31$29.0073.7%9.1%20.9%0.0%38.9%3.2%-4.9%1.8K-57.5K-850.08163.91N/AN/A252252
2018-11-13$31.15$29.00113.3%12.8%19.9%0.0%48.4%4.2%-10.4%1.5K-52.0K-940.08174.44N/AN/A252252
2018-11-14$30.97$29.0044.4%12.7%20.0%0.0%50.3%4.0%-8.9%1.6K-51.5K-920.82175.01N/AN/A130107252
2018-11-15$31.07$29.0031.6%9.1%19.8%0.0%54.6%6.6%-6.7%2.0K-85.4K-1.5K0.82171.11N/AN/A130107130107
2018-11-16$31.26$29.0036.3%10.4%19.8%0.0%39.9%2.5%-9.8%1.9K-95.3K-1.5K0.68154.25N/AN/A7249130107
2018-11-19$30.59$29.0033.5%9.6%21.2%0.0%40.5%3.0%16.8%2.1K-80.7K-1.5K0.68165.27N/AN/A7249130107
2018-11-20$30.19$29.0036.3%10.4%21.4%0.0%39.2%2.0%-5.6%2.5K-46.0K-1.5K0.68162.18N/AN/A7249130107
2018-11-21$30.36$29.0036.3%10.4%20.5%0.0%42.4%4.4%-7.3%2.2K-58.8K-1.5K0.68163.31N/AN/A7249130107
2018-11-23$30.18$29.0060.6%17.4%20.4%0.0%57.8%10.1%-12.0%1.6K-51.9K-1.5K0.68181.59N/AN/A7249130107
2018-11-26$30.68$29.0036.5%10.5%20.3%0.0%42.5%3.3%-5.1%2.1K-65.1K-1.5K0.68159.03N/AN/A7249130107
2018-11-27$30.61$29.0037.4%10.7%19.8%0.0%43.6%2.7%-9.1%2.3K-57.2K-1.4K0.68151.89N/AN/A7249130107
2018-11-28$31.22$29.0035.9%10.3%18.8%0.0%49.2%3.1%-7.5%2.6K-92.5K-1.4K0.68162.42N/AN/A7249130107
2018-11-29$31.18$29.0041.0%11.7%17.9%0.0%48.8%2.5%-7.7%2.1K-89.5K-1.4K0.68154.00N/AN/A7249130107
2018-11-30$31.39$29.0036.7%10.5%17.8%0.0%49.1%2.1%-8.6%2.5K-99.3K-1.4K0.68164.84N/AN/A7249130107