LRGF Options History — September 2019 In September 2019, LRGF traded between $31.06 and $32.55. ATM implied volatility averaged 27.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.9% (HV 20d: 15.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days.
Notable Days 2019-09-10 : Largest IV spike — 425.0% change2019-09-10 : Highest IV Rank — 51.2%2019-09-10 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $32.12 $31.06 $32.55 $31.06 $31.97 ATM IV 27.4% 11.1% 61.4% 37.4% 34.0% Expected Move 8.4% 3.2% 17.5% 10.7% 9.7% HV 20d 15.4% 9.6% 21.3% 20.6% 11.4% HV 60d 15.4% 15.0% 15.6% 15.0% 15.6% IV Rank 19.1% 3.8% 51.2% 28.7% 25.0% IV Percentile 40.5% 9.5% 93.3% 63.9% 53.6% Term Structure 1.5% -35.3% 38.4% 20.6% 0.5% Skew 25d 8.5% 1.0% 57.8% 5.7% 3.0% Skew 10d 4.7% -39.8% 55.3% 5.7% 9.7% Call IV 25d 24.1% 7.6% 64.6% 28.7% 26.7% Put IV 25d 32.6% 12.1% 76.3% 34.4% 29.6% Bid-Ask Spread % 160.65 123.89 191.37 179.10 182.45 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (20 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 2019-09-03 $31.06 $0.00 37.4% 10.7% 20.6% 28.7% 0.0% 5.7% 20.6% 0 0 0 0.00 179.10 N/A N/A 0 0 0 0 2019-09-04 $31.40 $0.00 40.6% 11.7% 20.6% 31.7% 0.0% 2.9% 3.0% 0 0 0 0.00 178.95 N/A N/A 0 0 0 0 2019-09-05 $31.91 $0.00 35.8% 16.5% 21.3% 27.1% 0.0% 2.8% -35.3% 0 0 0 0.00 191.37 N/A N/A 0 0 0 0 2019-09-06 $32.00 $0.00 37.5% 16.7% 20.6% 28.7% 0.0% 1.0% -34.9% 0 0 0 0.00 190.52 N/A N/A 0 0 0 0 2019-09-09 $32.10 $0.00 11.7% 3.4% 20.4% 4.4% 0.0% 6.6% 1.9% 0 0 0 0.00 127.27 N/A N/A 0 0 0 0 2019-09-10 $32.16 $0.00 61.4% 17.5% 19.3% 51.2% 0.0% 11.8% -28.7% 0 0 0 0.00 190.27 N/A N/A 0 0 0 0 2019-09-11 $32.42 $0.00 11.4% 3.3% 19.0% 4.2% 0.0% 3.7% 5.2% 0 0 0 0.00 131.68 N/A N/A 0 0 0 0 2019-09-12 $32.55 $0.00 33.2% 9.5% 15.0% 24.6% 0.0% 57.8% 22.2% 0 0 0 0.00 149.05 N/A N/A 0 0 0 0 2019-09-13 $32.50 $0.00 13.1% 3.7% 15.1% 5.7% 0.0% 1.4% 2.7% 0 0 0 0.00 129.50 N/A N/A 0 0 0 0 2019-09-16 $32.49 $0.00 13.3% 3.8% 14.5% 6.0% 0.0% 2.5% 2.2% 0 0 0 0.00 133.42 N/A N/A 0 0 0 0 2019-09-17 $32.55 $0.00 37.7% 10.8% 14.1% 28.9% 0.0% 18.8% -4.9% 0 0 0 0.00 190.05 N/A N/A 0 0 0 0 2019-09-18 $32.48 $0.00 39.6% 11.4% 13.7% 30.7% 0.0% 9.0% -6.8% 0 0 0 0.00 190.05 N/A N/A 0 0 0 0 2019-09-19 $32.47 $0.00 13.5% 3.9% 13.5% 6.1% 0.0% 2.6% 1.5% 0 0 0 0.00 123.89 N/A N/A 0 0 0 0 2019-09-20 $32.28 $0.00 29.1% 8.4% 13.7% 20.9% 0.0% 5.3% -5.3% 0 0 0 0.00 182.64 N/A N/A 0 0 0 0 2019-09-23 $32.38 $0.00 11.1% 3.2% 9.6% 3.9% 0.0% 6.5% 38.4% 0 0 0 0.00 125.73 N/A N/A 0 0 0 0 2019-09-24 $31.87 $0.00 30.6% 8.8% 11.7% 21.8% 0.0% 2.5% 22.0% 0 0 0 0.00 182.64 N/A N/A 0 0 0 0 2019-09-25 $32.08 $0.00 12.0% 3.4% 11.7% 4.2% 0.0% 11.2% 2.0% 0 0 0 0.00 126.23 N/A N/A 0 0 0 0 2019-09-26 $31.97 $0.00 11.5% 3.3% 11.8% 3.8% 0.0% 1.7% 2.2% 0 0 0 0.00 125.64 N/A N/A 0 0 0 0 2019-09-27 $31.72 $0.00 32.8% 9.4% 11.2% 23.9% 0.0% 13.6% 22.0% 0 0 0 0.00 182.49 N/A N/A 0 0 0 0 2019-09-30 $31.97 $0.00 34.0% 9.7% 11.4% 25.0% 0.0% 3.0% 0.5% 0 0 0 0.00 182.45 N/A N/A 0 0 0 0
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