LRGF Options History — February 2020 In February 2020, LRGF traded between $30.74 and $35.85. ATM implied volatility averaged 35.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 20.1% (HV 20d: 15.2%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.65.
Notable Days 2020-02-06 : Highest Volume — 39 contracts2020-02-12 : Largest IV spike — 330.1% change2020-02-28 : Highest IV Rank — 55.0%2020-02-28 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $34.72 $30.74 $35.85 $34.31 $30.74 Max Pain $34.84 $34.00 $35.00 $34.00 $35.00 ATM IV 35.3% 8.3% 74.9% 13.7% 74.9% Expected Move 10.9% 2.4% 21.5% 3.9% 21.5% HV 20d 15.2% 11.6% 26.0% 11.6% 26.0% HV 60d 10.5% 8.6% 16.8% 8.6% 16.8% IV Rank 23.1% 1.3% 55.0% 5.6% 55.0% IV Percentile 49.9% 2.4% 94.0% 19.0% 94.0% Term Structure -4.5% -37.6% 77.4% 29.5% -23.8% VWIV 12.5% 8.4% 16.5% 8.4% 16.5% Skew 25d -0.4% -18.5% 27.6% -13.2% 27.6% Skew 10d 7.8% -22.9% 22.3% 5.8% 11.9% Call IV 25d 33.4% 23.8% 47.2% 43.7% 44.9% Put IV 25d 32.9% 8.6% 72.5% 30.4% 72.5% Bid-Ask Spread % 174.95 119.56 198.18 188.57 190.68 Gamma HHI 0.57 0.48 0.68 0.51 0.64 Net GEX -15.6K -32.5K -6.0K -16.4K -6.0K Net DEX 121.8K 21.0K 235.3K 184.4K 235.3K Net VEX -520 -666 -347 -581 -347 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.00 1.29 0.00 1.29 Total Volume 3.895 0 39 0 0 Total OI 145.368 109 182 113 109
Daily Data (19 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 2020-02-03 $34.31 $34.00 13.7% 3.9% 11.6% 5.6% 0.0% -13.2% 29.5% -16.4K 184.4K -581 0.00 188.57 N/A N/A 0 0 1 112 2020-02-04 $34.78 $34.00 57.5% 16.5% 12.5% 41.0% 0.0% 1.7% -37.6% -13.5K 170.3K -579 0.00 198.18 N/A N/A 0 0 1 112 2020-02-05 $35.27 $34.00 8.3% 2.4% 13.4% 1.3% 8.4% -18.5% 0.5% -32.5K 107.2K -462 0.00 119.56 N/A N/A 20 0 1 112 2020-02-06 $35.41 $35.00 11.0% 4.2% 13.3% 3.4% 0.0% -2.5% 1.1% -15.7K 56.5K -529 1.29 167.73 N/A N/A 17 22 21 112 2020-02-07 $35.16 $35.00 11.0% 7.5% 13.6% 3.4% 0.0% 2.6% 7.6% -8.5K 107.4K -666 0.00 178.95 N/A N/A 0 0 33 134 2020-02-10 $35.25 $35.00 13.7% 8.3% 13.6% 5.6% 0.0% -1.2% 4.9% -10.6K 104.4K -624 0.00 148.05 N/A N/A 0 0 33 134 2020-02-11 $35.50 $35.00 9.7% 8.3% 13.7% 2.4% 0.0% -9.6% 8.3% -9.0K 94.6K -630 0.00 173.66 N/A N/A 0 0 33 134 2020-02-12 $35.68 $35.00 41.9% 12.0% 13.7% 28.4% 0.0% 9.1% -17.5% -9.4K 91.9K -623 0.00 181.83 N/A N/A 0 0 33 134 2020-02-13 $35.70 $35.00 43.9% 12.6% 13.7% 29.9% 16.5% 9.8% -14.6% -9.9K 92.6K -602 0.00 174.45 N/A N/A 0 15 33 134 2020-02-14 $35.72 $35.00 41.3% 11.8% 13.4% 27.9% 0.0% -13.3% -24.8% -25.9K 48.1K -557 0.00 161.75 N/A N/A 0 0 33 149 2020-02-18 $35.70 $35.00 43.3% 12.4% 13.4% 29.5% 0.0% -10.6% -25.1% -25.7K 69.9K -529 0.00 182.25 N/A N/A 0 0 33 149 2020-02-19 $35.85 $35.00 43.9% 12.6% 13.5% 30.0% 0.0% -13.2% -16.6% -23.9K 42.9K -466 0.00 171.63 N/A N/A 0 0 33 149 2020-02-20 $35.75 $35.00 44.1% 12.6% 13.5% 30.1% 0.0% 1.7% -17.6% -17.0K 44.1K -495 0.00 180.51 N/A N/A 0 0 33 149 2020-02-21 $35.44 $35.00 14.5% 4.2% 13.9% 6.3% 0.0% -7.3% 14.7% -22.7K 21.0K -462 0.00 174.93 N/A N/A 0 0 33 149 2020-02-24 $34.55 $35.00 24.0% 6.9% 16.5% 14.0% 0.0% 14.0% 77.4% -18.7K 187.6K -473 0.00 183.85 N/A N/A 0 0 1 108 2020-02-25 $33.56 $35.00 55.1% 15.8% 19.0% 39.0% 0.0% 9.0% -14.9% -11.5K 211.2K -446 0.00 181.66 N/A N/A 0 0 1 108 2020-02-26 $33.26 $35.00 54.4% 15.6% 18.6% 38.5% 0.0% 1.0% -16.3% -10.9K 217.7K -425 0.00 182.63 N/A N/A 0 0 1 108 2020-02-27 $32.03 $35.00 64.9% 18.6% 22.4% 46.9% 0.0% 4.8% -21.4% -7.8K 228.0K -391 0.00 183.09 N/A N/A 0 0 1 108 2020-02-28 $30.74 $35.00 74.9% 21.5% 26.0% 55.0% 0.0% 27.6% -23.8% -6.0K 235.3K -347 0.00 190.68 N/A N/A 0 0 1 108
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