LRGF Options History — March 2019 In March 2019, LRGF traded between $30.30 and $31.43. ATM implied volatility averaged 28.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 16.5% (HV 20d: 11.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days.
Notable Days 2019-03-25 : Largest IV spike — 232.0% change2019-03-11 : Highest IV Rank — 58.0%2019-03-08 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $30.94 $30.30 $31.43 $31.34 $31.04 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 28.3% 9.3% 68.6% 39.9% 33.2% Expected Move 6.9% 3.1% 16.3% 11.4% 7.5% HV 20d 11.7% 9.0% 14.0% 9.0% 14.0% HV 60d 16.5% 13.5% 19.0% 19.0% 13.5% IV Rank 20.1% 2.2% 58.0% 31.0% 24.8% IV Percentile 36.0% 3.4% 95.8% 69.9% 51.3% Term Structure -2.6% -15.6% 15.2% -15.6% -7.2% Skew 25d 2.5% -0.5% 5.7% 5.5% 2.6% Skew 10d 2.7% -1.4% 8.9% 5.0% 4.9% Call IV 25d 25.5% 8.1% 45.7% 45.7% 41.7% Put IV 25d 28.0% 10.4% 51.3% 51.3% 44.3% Bid-Ask Spread % 163.76 108.79 197.85 166.81 197.69 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 3.5K 0 10.9K 6.1K 0 Net DEX -70.7K -187.0K 0 -137.0K 0 Net VEX -90 -367 0 -367 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 86.429 0 165 165 0
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-03-01 $31.34 $30.00 39.9% 11.4% 9.0% 31.0% 0.0% 5.5% -15.6% 6.1K -137.0K -367 0.00 166.81 N/A N/A 0 0 105 60 2019-03-04 $31.05 $30.00 25.6% 7.3% 9.8% 17.6% 0.0% -0.5% -3.7% 9.8K -141.2K -270 0.00 159.69 N/A N/A 0 0 105 60 2019-03-05 $31.05 $30.00 43.9% 12.6% 9.8% 34.8% 0.0% 4.0% -2.6% 5.9K -116.5K -315 0.00 167.49 N/A N/A 0 0 105 60 2019-03-06 $30.73 $30.00 10.7% 3.1% 10.5% 3.6% 0.0% 5.7% 1.2% 10.8K -186.4K -64 0.00 134.86 N/A N/A 0 0 105 60 2019-03-07 $30.44 $30.00 18.1% 5.2% 11.1% 10.5% 0.0% 1.1% -0.4% 3.6K -84.4K -197 0.00 140.17 N/A N/A 0 0 105 60 2019-03-08 $30.30 $30.00 56.9% 16.3% 10.5% 47.0% 0.0% -0.5% -4.4% 5.0K -63.8K -265 0.00 169.00 N/A N/A 0 0 105 60 2019-03-11 $30.78 $0.00 68.6% 3.8% 11.8% 58.0% 0.0% 5.4% 2.7% 6.1K -97.6K -197 0.00 110.75 N/A N/A 0 0 105 60 2019-03-12 $30.91 $0.00 11.2% 3.7% 11.8% 4.0% 0.0% 3.3% 2.1% 8.1K -158.8K -79 0.00 108.79 N/A N/A 0 0 105 60 2019-03-13 $31.11 $0.00 10.6% 3.7% 11.3% 3.5% 0.0% 0.5% 2.2% 10.9K -184.5K -40 0.00 111.46 N/A N/A 0 0 105 60 2019-03-14 $31.06 $0.00 27.7% 6.6% 11.0% 19.6% 0.0% 3.6% -4.2% 7.9K -126.8K -93 0.00 183.18 N/A N/A 0 0 105 60 2019-03-15 $31.16 $0.00 28.4% 6.6% 11.1% 20.2% 0.0% 3.5% -5.4% 0 -187.0K 0 0.00 181.85 N/A N/A 0 0 105 60 2019-03-18 $31.34 $0.00 9.3% 7.1% 10.8% 2.2% 0.0% 3.3% 15.2% 0 0 0 0.00 197.11 N/A N/A 0 0 0 0 2019-03-19 $31.23 $0.00 29.5% 7.0% 10.8% 21.2% 0.0% 3.1% -5.2% 0 0 0 0.00 196.00 N/A N/A 0 0 0 0 2019-03-20 $30.95 $0.00 30.2% 7.2% 11.3% 21.9% 0.0% 2.3% -5.2% 0 0 0 0.00 197.45 N/A N/A 0 0 0 0 2019-03-21 $31.43 $0.00 31.8% 7.4% 12.4% 23.4% 0.0% 5.5% -5.7% 0 0 0 0.00 195.73 N/A N/A 0 0 0 0 2019-03-22 $30.79 $0.00 9.9% 3.4% 14.0% 2.8% 0.0% 1.0% 2.1% 0 0 0 0.00 113.30 N/A N/A 0 0 0 0 2019-03-25 $30.69 $0.00 32.8% 7.3% 14.0% 24.4% 0.0% 0.6% -8.1% 0 0 0 0.00 196.16 N/A N/A 0 0 0 0 2019-03-26 $30.70 $0.00 31.9% 7.3% 14.0% 23.5% 0.0% 1.0% -6.4% 0 0 0 0.00 196.42 N/A N/A 0 0 0 0 2019-03-27 $30.77 $0.00 33.4% 7.6% 14.0% 25.0% 0.0% 1.1% -7.2% 0 0 0 0.00 197.85 N/A N/A 0 0 0 0 2019-03-28 $30.82 $0.00 10.5% 3.4% 13.9% 3.4% 0.0% -0.2% 0.9% 0 0 0 0.00 117.28 N/A N/A 0 0 0 0 2019-03-29 $31.04 $0.00 33.2% 7.5% 14.0% 24.8% 0.0% 2.6% -7.2% 0 0 0 0.00 197.69 N/A N/A 0 0 0 0
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