LRGF Options History — December 2018

In December 2018, LRGF traded between $26.68 and $31.68. ATM implied volatility averaged 42.4%. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 21.0% (HV 20d: 21.4%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2018-12-21: Largest IV spike — 146.9% change
  • 2018-12-19: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.02$26.68$31.68$31.68$27.80
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV42.4%17.0%65.1%37.6%44.0%
Expected Move11.3%4.9%18.7%10.8%12.6%
HV 20d21.4%18.0%26.1%18.0%25.2%
HV 60d18.8%16.5%21.6%16.5%21.6%
Term Structure-8.9%-19.4%-0.2%-5.4%-11.1%
Skew 25d-0.9%-14.0%6.3%2.5%3.6%
Skew 10d-5.0%-25.8%11.6%11.6%-8.0%
Call IV 25d44.8%12.2%77.6%45.0%50.2%
Put IV 25d43.9%17.0%67.2%47.5%53.9%
Bid-Ask Spread %171.33110.03193.65163.18176.68
Gamma HHI0.920.801.000.801.00
Net GEX2.6K010.8K1.7K2.4K
Net DEX18.0K-125.1K200.1K-125.1K39.3K
Net VEX-1.1K-1.4K-683-1.4K-690
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI219165237237165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$31.68$29.0037.6%10.8%18.0%0.0%0.0%2.5%-5.4%1.7K-125.1K-1.4K0.00163.18N/AN/A00130107
2018-12-04$30.77$29.0039.4%11.3%20.8%0.0%0.0%5.2%-10.2%2.1K-76.7K-1.4K0.00166.79N/AN/A00130107
2018-12-05$30.74$29.0040.7%11.7%20.7%0.0%0.0%5.4%-11.3%2.2K-75.0K-1.4K0.00166.01N/AN/A00130107
2018-12-06$30.61$0.0044.8%9.2%19.0%0.0%0.0%6.2%-11.9%2.5K-51.6K-1.4K0.00170.31N/AN/A00130107
2018-12-07$30.18$0.0043.8%8.8%19.4%0.0%0.0%-0.9%-4.8%2.3K-35.7K-1.3K0.00193.65N/AN/A00130107
2018-12-10$29.80$0.0048.9%9.2%19.6%0.0%0.0%-0.7%-5.4%2.4K-12.8K-1.3K0.00186.78N/AN/A00130107
2018-12-11$29.78$0.0049.3%8.9%19.0%0.0%0.0%-2.5%-5.0%2.5K-7.8K-1.3K0.00185.93N/AN/A00130107
2018-12-12$30.05$0.0032.5%9.3%19.4%0.0%0.0%-1.5%-5.6%2.4K-27.1K-1.3K0.00192.29N/AN/A00130107
2018-12-13$29.85$0.0031.0%8.9%19.4%0.0%0.0%-1.8%-4.8%2.8K-15.1K-1.2K0.00188.10N/AN/A00130107
2018-12-14$29.30$0.0017.0%4.9%20.2%0.0%0.0%4.8%-0.2%10.8K72.1K-1.0K0.00112.49N/AN/A00130107
2018-12-17$28.44$0.0033.1%9.5%22.0%0.0%0.0%-10.1%-4.3%3.0K83.4K-1.1K0.00172.56N/AN/A00130107
2018-12-18$28.62$0.0029.0%8.3%21.4%0.0%0.0%-3.1%-8.3%3.6K102.5K-9810.00176.83N/AN/A00130107
2018-12-19$28.09$0.0065.1%18.7%21.8%0.0%0.0%-12.2%-19.4%1.6K75.7K-1.1K0.00184.53N/AN/A00130107
2018-12-20$27.59$0.0021.0%6.0%22.1%0.0%0.0%5.3%-0.5%1.2K200.1K-6830.00110.03N/AN/A00130107
2018-12-21$27.29$0.0051.8%14.8%22.2%0.0%0.0%-14.0%-19.1%0138.2K-9070.00181.60N/AN/A00130107
2018-12-24$26.68$0.0060.2%17.2%21.5%0.0%0.0%-8.9%-13.5%1.9K9.3K-7630.00165.49N/AN/A0010560
2018-12-26$27.62$0.0055.7%16.0%26.1%0.0%0.0%0.5%-11.7%2.2K13.3K-7610.00176.27N/AN/A0010560
2018-12-27$27.88$0.0045.3%13.0%25.0%0.0%0.0%6.3%-7.0%2.4K27.5K-7210.00172.37N/AN/A0010560
2018-12-28$27.54$0.0057.0%16.3%25.0%0.0%0.0%-2.6%-17.7%2.2K25.0K-7090.00184.77N/AN/A0010560
2018-12-31$27.80$0.0044.0%12.6%25.2%0.0%0.0%3.6%-11.1%2.4K39.3K-6900.00176.68N/AN/A0010560