LRGF Options History — June 2020

In June 2020, LRGF traded between $30.20 and $32.85. ATM implied volatility averaged 48.5%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 20.1% (HV 20d: 28.4%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.70.

Notable Days

2020-06-04: Highest Volume — 57 contracts
2020-06-30: Largest IV spike — 121.5% change
2020-06-26: Highest IV Rank — 67.5%
2020-06-26: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.21	$30.20	$32.85	$31.28	$31.04
Max Pain	$31.00	$31.00	$31.00	$31.00	$31.00
ATM IV	48.5%	19.0%	96.2%	27.1%	87.5%
Expected Move	14.8%	5.4%	27.6%	7.8%	25.1%
HV 20d	28.4%	26.4%	32.7%	27.7%	28.5%
HV 60d	43.3%	33.6%	55.5%	55.5%	33.6%
IV Rank	31.5%	9.3%	67.5%	15.4%	61.0%
IV Percentile	56.5%	15.9%	95.6%	24.6%	94.8%
Term Structure	-3.8%	-36.7%	69.5%	-6.3%	-2.7%
Skew 25d	6.3%	-7.7%	22.2%	1.2%	1.2%
Skew 10d	13.0%	-19.0%	45.0%	-1.1%	20.6%
Call IV 25d	37.9%	17.8%	73.4%	25.6%	67.1%
Put IV 25d	44.2%	23.4%	72.6%	26.8%	68.4%
Bid-Ask Spread %	172.10	123.47	196.92	125.08	184.63
Gamma HHI	0.69	0.39	1.00	0.68	1.00
Net GEX	-2.6K	-10.7K	-173	-4.8K	-173
Net DEX	10.8K	-7.5K	32.9K	24.1K	2.8K
Net VEX	-45	-82	-15	-71	-15
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.70	4.70	4.70	4.70	4.70
Total Volume	3.545	0	57	0	15
Total OI	24.364	3	37	27	3

Daily Data (22 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
2020-06-01	$31.28	$31.00	27.1%	7.8%	27.7%	15.4%	0.0%	1.2%	-6.3%	-4.8K	24.1K	-71	0.00	125.08	N/A	N/A	0	0	0	27
2020-06-02	$31.28	$31.00	31.6%	9.1%	27.8%	18.8%	0.0%	10.1%	7.2%	-4.9K	23.3K	-69	0.00	123.47	N/A	N/A	0	0	0	27
2020-06-03	$31.82	$31.00	19.0%	5.4%	28.1%	9.3%	0.0%	-0.6%	21.5%	-4.7K	9.4K	-38	0.00	124.35	N/A	N/A	0	0	0	27
2020-06-04	$31.60	$0.00	41.3%	18.1%	28.1%	26.1%	0.0%	8.2%	-19.1%	-3.2K	25.8K	-72	4.70	179.38	N/A	N/A	10	47	0	27
2020-06-05	$32.41	$0.00	41.2%	16.5%	29.0%	26.0%	0.0%	22.2%	-17.0%	-1.4K	-1.3K	-82	0.00	189.32	N/A	N/A	0	0	10	27
2020-06-08	$32.85	$0.00	43.8%	15.9%	28.4%	27.9%	0.0%	9.1%	-15.6%	-1.0K	-7.5K	-67	0.00	187.72	N/A	N/A	0	0	10	27
2020-06-09	$32.50	$0.00	40.9%	17.1%	28.9%	25.8%	0.0%	-7.7%	-31.4%	-1.1K	-6.3K	-64	0.00	164.69	N/A	N/A	0	0	10	27
2020-06-10	$32.26	$0.00	57.9%	16.6%	27.2%	38.6%	0.0%	2.4%	-21.5%	-1.2K	-7.3K	-56	0.00	152.72	N/A	N/A	0	0	10	27
2020-06-11	$30.46	$0.00	63.1%	18.1%	32.7%	42.5%	0.0%	1.9%	-18.7%	-6.3K	32.9K	-66	0.00	187.26	N/A	N/A	0	0	10	27
2020-06-12	$30.44	$0.00	33.1%	9.5%	32.4%	19.9%	0.0%	6.8%	2.5%	-5.2K	31.9K	-65	0.00	176.01	N/A	N/A	0	0	10	27
2020-06-15	$30.55	$0.00	57.2%	16.4%	32.3%	38.1%	0.0%	15.3%	-36.7%	-3.5K	26.8K	-57	0.00	185.81	N/A	N/A	0	0	10	27
2020-06-16	$31.13	$0.00	47.9%	13.7%	27.8%	31.0%	0.0%	14.2%	-7.2%	-2.3K	15.4K	-52	0.00	177.53	N/A	N/A	0	0	10	27
2020-06-17	$31.13	$0.00	55.8%	16.0%	27.5%	37.0%	0.0%	8.4%	-9.4%	-2.6K	14.1K	-44	0.00	172.27	N/A	N/A	0	0	10	27
2020-06-18	$30.95	$0.00	28.7%	8.2%	27.4%	16.6%	0.0%	8.9%	30.7%	-3.5K	17.1K	-36	0.00	153.78	N/A	N/A	0	0	10	27
2020-06-19	$31.04	$0.00	46.8%	13.4%	27.3%	30.3%	0.0%	-1.7%	69.5%	-10.7K	7.6K	-19	0.00	174.56	N/A	N/A	0	3	10	27
2020-06-22	$31.10	$0.00	61.9%	17.8%	27.3%	41.6%	0.0%	12.2%	-11.6%	-300	4.5K	-18	0.00	183.40	N/A	N/A	0	0	0	3
2020-06-23	$31.20	$0.00	35.3%	10.1%	26.4%	21.5%	0.0%	9.5%	-2.7%	-303	4.3K	-18	0.00	171.28	N/A	N/A	0	3	0	3
2020-06-24	$30.45	$0.00	42.9%	12.3%	27.5%	27.3%	0.0%	9.0%	0.6%	-240	4.7K	-18	0.00	196.92	N/A	N/A	0	0	0	3
2020-06-25	$30.45	$0.00	67.7%	19.4%	27.5%	46.0%	0.0%	8.0%	-4.0%	-277	4.8K	-18	0.00	186.17	N/A	N/A	0	0	0	3
2020-06-26	$30.20	$0.00	96.2%	27.6%	27.6%	67.5%	0.0%	-0.8%	-6.2%	-271	5.0K	-17	0.00	196.62	N/A	N/A	0	0	0	3
2020-06-29	$30.47	$0.00	39.5%	11.3%	27.6%	24.7%	0.0%	0.5%	-6.2%	-299	4.9K	-17	0.00	193.25	N/A	N/A	0	0	0	3
2020-06-30	$31.04	$0.00	87.5%	25.1%	28.5%	61.0%	0.0%	1.2%	-2.7%	-173	2.8K	-15	0.00	184.63	N/A	N/A	0	15	0	3