LRGF Options History — July 2020

In July 2020, LRGF traded between $31.10 and $32.64. ATM implied volatility averaged 47.7%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 30.2% (HV 20d: 17.6%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-07-16: Highest Volume — 1 contracts
  • 2020-07-23: Largest IV spike — 155.0% change
  • 2020-07-07: Highest IV Rank — 83.8%
  • 2020-07-07: Largest Expected Move — 33.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.89$31.10$32.64$31.11$32.47
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV47.7%16.1%117.8%87.2%17.5%
Expected Move12.6%4.6%33.8%25.0%5.0%
HV 20d17.6%12.1%27.8%27.8%12.8%
HV 60d26.8%23.8%30.1%30.1%23.8%
IV Rank30.9%7.0%83.8%60.7%8.2%
IV Percentile46.2%11.5%98.0%94.4%11.5%
Term Structure-5.5%-53.6%11.7%-3.4%2.4%
VWIV23.2%23.2%23.2%23.2%23.2%
Skew 25d9.7%-9.0%39.0%0.1%4.4%
Skew 10d14.5%3.5%39.0%21.6%5.5%
Call IV 25d30.3%13.8%95.7%68.0%13.8%
Put IV 25d40.0%18.2%129.4%68.1%18.2%
Bid-Ask Spread %166.38136.67200.00192.41144.42
Gamma HHI0.900.711.001.000.77
Net GEX-1.2K-1.7K-465-617-1.5K
Net DEX16.3K10.1K21.3K16.2K12.4K
Net VEX-74-84-62-80-62
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0450100
Total OI15.515161516

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$31.11$0.0087.2%25.0%27.8%60.7%0.0%0.1%-3.4%-61716.2K-800.00192.41N/AN/A00015
2020-07-02$31.26$0.0084.7%24.3%27.8%58.8%0.0%-0.1%-2.6%-1.3K19.1K-840.00191.24N/AN/A00015
2020-07-06$31.55$0.0080.7%23.5%26.3%55.8%0.0%39.0%-6.5%-60619.5K-830.00176.76N/AN/A00015
2020-07-07$31.30$0.00117.8%33.8%25.8%83.8%0.0%33.7%-53.6%-46519.3K-820.00200.00N/AN/A00015
2020-07-08$31.30$0.00110.5%30.0%25.7%78.3%0.0%12.0%6.2%-65421.3K-810.00198.85N/AN/A00015
2020-07-09$31.10$0.0067.5%13.4%25.6%45.8%0.0%6.3%-11.5%-1.4K19.0K-800.00176.82N/AN/A00015
2020-07-10$31.37$0.0033.8%7.2%15.3%20.4%0.0%8.5%3.6%-1.5K21.0K-810.00145.34N/AN/A00015
2020-07-13$31.29$0.0044.9%7.6%15.3%28.8%0.0%8.0%-2.5%-1.4K17.6K-760.00160.75N/AN/A00015
2020-07-14$31.55$0.0053.6%6.9%15.5%35.3%0.0%12.1%-0.0%-1.6K20.9K-780.00136.67N/AN/A00015
2020-07-15$32.09$0.0032.2%9.2%15.2%19.2%0.0%14.9%-11.8%-1.4K18.5K-770.00147.40N/AN/A00015
2020-07-16$32.06$0.0023.3%6.7%15.2%12.5%23.2%5.7%1.4%-1.7K17.6K-750.00153.59N/AN/A10015
2020-07-17$32.25$33.0023.4%6.7%15.1%12.6%0.0%-9.0%-0.1%-1.4K15.4K-770.00158.72N/AN/A00115
2020-07-20$32.35$33.0042.8%12.3%15.1%27.2%0.0%18.7%-9.5%-1.1K10.3K-650.00181.34N/AN/A00115
2020-07-21$32.40$33.0044.8%12.8%15.1%28.7%0.0%18.6%-10.7%-1.0K10.1K-640.00180.45N/AN/A00115
2020-07-22$32.64$33.0016.1%4.6%15.2%7.0%0.0%-0.4%3.9%-1.6K13.1K-690.00153.57N/AN/A00115
2020-07-23$32.41$33.0041.0%11.7%12.1%25.8%0.0%-0.7%-10.9%-1.1K10.5K-650.00177.21N/AN/A00115
2020-07-24$31.95$33.0020.0%5.7%13.6%10.0%0.0%7.9%2.3%-1.6K15.5K-710.00156.98N/AN/A00115
2020-07-27$32.25$33.0020.0%5.7%13.2%10.0%0.0%5.4%2.0%-1.6K15.3K-710.00148.32N/AN/A00115
2020-07-28$32.05$33.0018.3%5.2%13.4%8.7%0.0%4.0%-2.4%-1.6K14.2K-670.00174.56N/AN/A00115
2020-07-29$32.46$33.0044.5%12.8%12.6%28.5%0.0%3.6%-28.1%-1.2K15.8K-700.00152.34N/AN/A00115
2020-07-30$32.34$33.0025.3%7.3%12.8%14.0%0.0%20.2%11.7%-86015.2K-690.00152.72N/AN/A00115
2020-07-31$32.47$33.0017.5%5.0%12.8%8.2%0.0%4.4%2.4%-1.5K12.4K-620.00144.42N/AN/A00115