LRGF Options History — March 2020

In March 2020, LRGF traded between $22.79 and $33.02. ATM implied volatility averaged 82.1%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 24.6% (HV 20d: 57.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days.

Notable Days

  • 2020-03-16: Largest IV spike — 95.5% change
  • 2020-03-16: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 39.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.66$22.79$33.02$32.32$26.49
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV82.1%46.8%139.3%68.7%48.6%
Expected Move21.9%11.0%39.9%19.7%13.9%
HV 20d57.5%31.8%82.1%32.1%79.1%
HV 60d35.6%19.7%49.2%19.8%49.2%
IV Rank58.4%30.2%100.0%50.0%31.6%
IV Percentile89.9%63.9%100.0%91.3%67.5%
Term Structure-19.6%-56.1%18.0%-19.2%-0.4%
Skew 25d20.6%-4.0%44.5%12.8%12.2%
Skew 10d11.4%-11.3%30.8%4.9%8.0%
Call IV 25d55.6%27.4%101.6%51.0%32.6%
Put IV 25d76.2%37.2%135.6%63.7%44.8%
Bid-Ask Spread %168.91122.49192.52182.31122.49
Gamma HHI0.850.621.000.631.00
Net GEX-2.9K-9.9K-191-8.2K-191
Net DEX178.5K38.9K280.8K225.2K52.0K
Net VEX-149-370-11-366-11
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI78.4092010910920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$32.32$35.0068.7%19.7%32.1%50.0%0.0%12.8%-19.2%-8.2K225.2K-3660.00182.31N/AN/A001108
2020-03-03$32.14$35.0070.0%20.1%31.8%51.1%0.0%4.4%-25.4%-8.0K227.6K-3570.00182.96N/AN/A001108
2020-03-04$33.02$35.0064.6%18.5%33.1%46.7%0.0%14.4%-19.0%-9.9K219.7K-3700.00182.19N/AN/A001108
2020-03-05$32.07$0.0075.6%14.3%33.8%55.6%0.0%17.5%-13.9%-8.5K237.4K-3310.00192.52N/AN/A001108
2020-03-06$31.48$0.0083.2%15.5%34.0%61.7%0.0%18.5%-13.4%-7.0K233.4K-3140.00185.74N/AN/A001108
2020-03-09$29.62$0.0059.9%11.0%39.2%42.9%0.0%4.6%-7.3%-4.8K280.8K-1710.00165.15N/AN/A001108
2020-03-10$30.36$0.0093.9%13.5%40.8%70.4%0.0%44.5%7.5%-5.6K237.4K-2640.00189.93N/AN/A001108
2020-03-11$29.03$0.0062.1%17.8%42.4%44.7%0.0%20.2%-17.8%-4.5K250.3K-2080.00173.34N/AN/A001108
2020-03-12$26.37$0.0071.1%20.4%51.8%51.9%0.0%16.5%-22.5%-515275.6K-730.00186.19N/AN/A001108
2020-03-13$27.34$0.0071.2%20.4%54.7%52.0%0.0%31.3%-20.1%-3.2K249.3K-1600.00165.59N/AN/A001108
2020-03-16$25.30$0.00139.3%39.9%58.9%100.0%0.0%34.1%-47.0%-412258.8K-900.00180.84N/AN/A001108
2020-03-17$25.99$0.00111.1%31.9%60.7%78.8%0.0%41.6%-34.1%-469267.3K-840.00177.01N/AN/A001108
2020-03-18$24.07$0.00117.7%33.7%63.9%83.7%0.0%36.5%-37.6%-369250.1K-670.00167.57N/AN/A001108
2020-03-19$25.12$0.0086.9%24.9%67.5%60.5%0.0%33.4%-28.7%-422263.1K-610.00167.80N/AN/A001108
2020-03-20$23.91$0.00105.4%30.2%68.3%74.4%0.0%-4.0%-56.1%-358130.5K-590.00183.53N/AN/A00158
2020-03-23$22.79$0.00121.1%34.7%69.0%86.3%0.0%27.7%-31.0%-29639.2K-500.00166.49N/AN/A00020
2020-03-24$24.93$0.0064.7%18.6%79.2%43.7%0.0%26.8%18.0%-39243.4K-520.00155.41N/AN/A00020
2020-03-25$26.02$0.00118.8%34.1%81.8%84.6%0.0%14.3%-32.8%-47338.9K-800.00178.56N/AN/A00020
2020-03-26$26.60$0.0066.8%19.2%82.1%45.3%0.0%21.6%-10.9%-51246.0K-540.00150.85N/AN/A00020
2020-03-27$26.48$0.0057.7%16.6%81.3%38.5%0.0%12.4%-13.1%-37249.8K-300.00135.95N/AN/A00020
2020-03-30$26.96$0.0046.8%13.4%79.0%30.2%0.0%12.5%-6.3%-28952.1K-170.00123.69N/AN/A00020
2020-03-31$26.49$0.0048.6%13.9%79.1%31.6%0.0%12.2%-0.4%-19152.0K-110.00122.49N/AN/A00020