LRGF Options History — May 2020 In May 2020, LRGF traded between $28.21 and $31.04. ATM implied volatility averaged 38.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.4% (HV 20d: 34.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days.
Notable Days 2020-05-26 : Highest Volume — 24 contracts2020-05-13 : Largest IV drop — 63.3% change2020-05-11 : Highest IV Rank — 49.9%2020-05-28 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $29.62 $28.21 $31.04 $28.61 $31.04 Max Pain $33.25 $30.00 $35.00 $35.00 $31.00 ATM IV 38.9% 23.6% 72.9% 34.1% 35.5% Expected Move 8.5% 6.3% 10.8% 9.8% 10.2% HV 20d 34.6% 30.6% 43.7% 43.7% 30.6% HV 60d 56.9% 55.8% 58.3% 56.4% 55.8% IV Rank 24.3% 12.7% 49.9% 20.6% 21.7% IV Percentile 44.3% 19.0% 88.9% 38.1% 39.7% Term Structure 6.3% -9.7% 81.2% -9.7% 8.6% VWIV 31.0% 21.9% 40.0% 21.9% 40.0% Skew 25d 7.0% -3.5% 19.7% 12.8% 4.5% Skew 10d 7.2% 3.0% 16.4% 7.2% 3.4% Call IV 25d 23.6% 14.5% 30.8% 27.3% 24.1% Put IV 25d 30.7% 24.2% 41.1% 40.1% 28.6% Bid-Ask Spread % 130.04 120.61 139.65 126.02 129.41 Gamma HHI 0.95 0.70 1.00 1.00 0.70 Net GEX -640 -4.1K 0 -245 -4.0K Net DEX 20.7K 0 57.7K 56.4K 26.9K Net VEX -14 -80 0 -7 -80 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2.35 0 24 20 0 Total OI 9.75 0 27 20 27
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 2020-05-01 $28.61 $0.00 34.1% 9.8% 43.7% 20.6% 0.0% 12.8% -9.7% -245 56.4K -7 0.00 126.02 N/A N/A 0 20 0 20 2020-05-04 $28.70 $35.00 51.2% 7.2% 43.1% 33.5% 0.0% 19.7% 5.6% -226 56.6K -8 0.00 130.72 N/A N/A 0 0 0 20 2020-05-05 $28.98 $35.00 38.5% 9.6% 34.6% 24.0% 0.0% 1.4% -6.3% -163 57.5K -5 0.00 137.66 N/A N/A 0 0 0 20 2020-05-06 $28.80 $35.00 41.3% 6.3% 34.1% 26.1% 0.0% 3.6% 5.3% -73 57.4K -2 0.00 121.07 N/A N/A 0 0 0 20 2020-05-07 $29.12 $35.00 55.3% 7.3% 33.4% 36.7% 0.0% 5.8% -0.1% -181 57.7K -5 0.00 135.82 N/A N/A 0 0 0 20 2020-05-08 $29.81 $35.00 56.6% 9.0% 33.6% 37.7% 0.0% 13.2% -9.7% -678 56.4K -23 0.00 139.46 N/A N/A 0 0 0 20 2020-05-11 $29.87 $0.00 72.9% 9.3% 32.9% 49.9% 0.0% 10.0% 11.5% 0 0 0 0.00 139.65 N/A N/A 0 0 0 0 2020-05-12 $29.14 $0.00 71.2% 9.2% 32.9% 48.6% 0.0% 2.6% 8.6% 0 0 0 0.00 136.01 N/A N/A 0 0 0 0 2020-05-13 $28.21 $0.00 26.1% 7.5% 33.4% 14.6% 0.0% 6.4% 11.7% 0 0 0 0.00 122.98 N/A N/A 0 0 0 0 2020-05-14 $28.66 $0.00 33.4% 9.6% 33.8% 20.1% 0.0% 2.3% -2.7% 0 0 0 0.00 138.44 N/A N/A 0 0 0 0 2020-05-15 $28.64 $0.00 31.0% 8.9% 32.1% 18.3% 0.0% 14.6% 81.2% 0 0 0 0.00 121.80 N/A N/A 0 0 0 0 2020-05-18 $30.13 $0.00 23.6% 6.8% 36.3% 12.7% 0.0% 5.4% 22.7% 0 0 0 0.00 129.11 N/A N/A 0 0 0 0 2020-05-19 $29.85 $0.00 33.4% 9.6% 34.4% 20.1% 0.0% 17.5% -9.6% 0 0 0 0.00 123.73 N/A N/A 0 0 0 0 2020-05-20 $30.20 $0.00 24.3% 7.0% 34.1% 13.2% 0.0% 5.0% -3.4% 0 0 0 0.00 136.99 N/A N/A 0 0 0 0 2020-05-21 $30.05 $0.00 26.7% 7.6% 34.2% 15.0% 0.0% 4.5% 5.0% 0 0 0 0.00 129.95 N/A N/A 0 0 0 0 2020-05-22 $30.03 $0.00 24.8% 7.1% 33.9% 13.6% 0.0% 3.6% -1.8% 0 0 0 0.00 121.86 N/A N/A 0 0 0 0 2020-05-26 $30.66 $0.00 26.2% 7.5% 33.8% 14.7% 21.9% -3.5% -5.0% 0 0 0 0.00 120.61 N/A N/A 0 24 0 0 2020-05-27 $31.02 $30.00 35.0% 10.0% 33.9% 21.4% 0.0% 5.5% 5.5% -4.1K 23.1K -76 0.00 132.10 N/A N/A 0 0 0 24 2020-05-28 $30.97 $30.00 37.6% 10.8% 32.4% 23.3% 40.0% 5.9% 7.7% -3.1K 22.1K -73 0.00 127.48 N/A N/A 0 3 0 24 2020-05-29 $31.04 $31.00 35.5% 10.2% 30.6% 21.7% 0.0% 4.5% 8.6% -4.0K 26.9K -80 0.00 129.41 N/A N/A 0 0 0 27
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