LRGF Options History — January 2020

In January 2020, LRGF traded between $34.01 and $35.26. ATM implied volatility averaged 46.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 40.6% (HV 20d: 6.2%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-01-21: Highest Volume — 20 contracts
  • 2020-01-23: Largest IV spike — 577.0% change
  • 2020-01-14: Highest IV Rank — 95.1%
  • 2020-01-30: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$34.01$35.26$34.52$34.01
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV46.8%6.7%124.6%18.4%16.3%
Expected Move10.1%1.9%15.1%5.3%4.7%
HV 20d6.2%4.7%11.2%6.0%11.2%
HV 60d7.4%6.8%9.0%9.0%8.4%
IV Rank32.3%0.0%95.1%9.3%7.7%
IV Percentile61.7%0.0%99.6%24.6%22.6%
Term Structure-17.1%-33.4%25.4%-5.3%25.2%
Skew 25d0.9%-8.3%14.8%-3.7%-3.1%
Skew 10d14.6%-2.7%27.4%0.4%16.5%
Call IV 25d19.6%5.3%57.1%15.3%57.1%
Put IV 25d20.5%10.6%54.0%11.6%54.0%
Bid-Ask Spread %183.75114.25197.14169.39186.67
Gamma HHI0.530.500.590.520.51
Net GEX-18.2K-36.9K-13.3K-32.2K-15.7K
Net DEX160.3K119.8K197.4K166.6K196.6K
Net VEX-566-638-464-583-594
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.04802001
Total OI110.47693113110113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$34.52$34.0018.4%5.3%6.0%9.3%0.0%-3.7%-5.3%-32.2K166.6K-5830.00169.39N/AN/A000110
2020-01-03$34.38$34.0020.2%5.8%5.9%10.8%0.0%-8.3%-10.7%-18.0K172.1K-5970.00197.14N/AN/A000110
2020-01-06$34.28$34.0010.3%3.2%6.1%2.8%0.0%2.5%1.0%-36.9K197.4K-5460.00114.25N/AN/A000110
2020-01-07$34.36$34.0016.2%2.9%5.4%7.6%0.0%0.8%25.4%-17.5K174.3K-5730.00187.50N/AN/A000110
2020-01-08$34.57$34.0059.0%11.0%5.3%42.1%0.0%1.1%-20.1%-15.4K167.3K-5670.00188.57N/AN/A000110
2020-01-09$34.62$34.0049.0%11.1%5.2%34.1%0.0%-0.4%-21.4%-26.0K167.8K-5480.00190.77N/AN/A000110
2020-01-10$34.59$34.0085.8%11.3%5.2%63.8%0.0%-2.1%-21.8%-16.6K167.2K-5510.00190.77N/AN/A000110
2020-01-13$34.80$34.00113.2%11.5%4.8%85.9%0.0%-3.3%-22.5%-15.4K158.0K-5270.00191.11N/AN/A000110
2020-01-14$34.84$34.00124.6%11.3%4.7%95.1%0.0%-1.5%-22.9%-15.9K156.5K-5200.00191.11N/AN/A100110
2020-01-15$34.73$34.0040.7%11.7%4.9%27.4%0.0%-8.1%-23.5%-15.6K158.4K-5170.00191.11N/AN/A001110
2020-01-16$35.01$34.0041.2%11.8%5.5%27.7%0.0%5.6%-24.6%-16.1K129.8K-4940.00195.56N/AN/A001110
2020-01-17$35.10$34.0041.7%11.9%5.6%28.1%0.0%-6.2%-26.0%-13.5K119.8K-4760.00181.03N/AN/A001110
2020-01-21$35.11$34.0043.6%12.5%5.6%29.7%0.0%6.0%-26.8%-13.6K120.6K-4640.00194.29N/AN/A020192
2020-01-22$35.18$34.006.7%1.9%5.2%0.0%0.0%6.5%0.2%-27.3K136.9K-6070.00137.03N/AN/A001112
2020-01-23$35.26$34.0045.6%13.1%5.2%31.4%0.0%13.6%-29.0%-14.1K148.6K-6290.00194.07N/AN/A001112
2020-01-24$35.00$34.0047.3%13.6%6.0%32.8%0.0%14.8%-30.2%-13.3K162.2K-6380.00195.24N/AN/A001112
2020-01-27$34.58$34.0049.6%14.2%7.5%34.6%0.0%7.8%-29.4%-14.4K174.9K-6240.00190.00N/AN/A001112
2020-01-28$34.93$34.0050.4%14.5%8.3%35.3%0.0%1.7%-30.8%-14.5K160.1K-6100.00191.11N/AN/A001112
2020-01-29$34.82$34.0050.9%14.6%8.3%35.6%0.0%0.6%-33.4%-15.0K163.8K-6090.00190.12N/AN/A001112
2020-01-30$34.73$34.0052.8%15.1%8.3%37.2%0.0%-5.0%-31.7%-15.0K167.3K-6030.00192.00N/AN/A001112
2020-01-31$34.01$34.0016.3%4.7%11.2%7.7%0.0%-3.1%25.2%-15.7K196.6K-5940.00186.67N/AN/A101112