LRGF Options History — August 2020 In August 2020, LRGF traded between $32.89 and $34.23. ATM implied volatility averaged 32.0%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 21.6% (HV 20d: 10.5%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days.
Notable Days 2020-08-06 : Largest IV spike — 248.6% change2020-08-06 : Highest IV Rank — 30.6%2020-08-31 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.51 $32.89 $34.23 $32.89 $34.23 Max Pain $31.29 $31.00 $33.00 $33.00 $31.00 ATM IV 32.0% 13.6% 47.3% 14.9% 44.6% Expected Move 8.6% 3.9% 12.8% 4.3% 12.8% HV 20d 10.5% 6.3% 13.1% 13.1% 6.3% HV 60d 19.8% 17.3% 23.8% 23.8% 17.3% IV Rank 19.1% 5.2% 30.6% 6.2% 28.6% IV Percentile 31.1% 7.9% 58.7% 9.5% 53.2% Term Structure -3.0% -13.8% 20.1% 5.1% -10.7% Skew 25d 3.0% -9.5% 12.7% 6.3% 2.3% Skew 10d 4.5% -4.3% 10.9% 5.3% 0.3% Call IV 25d 24.3% 12.6% 34.9% 12.6% 34.9% Put IV 25d 27.2% 14.7% 37.2% 18.9% 37.2% Bid-Ask Spread % 140.12 117.89 175.85 146.32 144.89 Gamma HHI 0.85 0.71 1.00 0.75 1.00 Net GEX -1.4K -1.7K -1.1K -1.7K -1.2K Net DEX 7.0K 3.6K 10.2K 8.8K 6.6K Net VEX -39 -57 -17 -53 -25 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 15.714 15 16 16 15
Daily Data (21 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 2020-08-03 $32.89 $33.00 14.9% 4.3% 13.1% 6.2% 0.0% 6.3% 5.1% -1.7K 8.8K -53 0.00 146.32 N/A N/A 0 0 1 15 2020-08-04 $32.94 $33.00 35.2% 10.1% 12.6% 21.5% 0.0% 2.6% -13.8% -1.5K 10.2K -57 0.00 175.85 N/A N/A 0 0 1 15 2020-08-05 $33.06 $33.00 13.6% 3.9% 12.5% 5.2% 0.0% -9.5% 2.9% -1.4K 5.2K -40 0.00 144.06 N/A N/A 0 0 1 15 2020-08-06 $33.05 $31.00 47.3% 10.0% 12.1% 30.6% 0.0% 2.4% -6.3% -1.7K 9.0K -52 0.00 146.02 N/A N/A 0 0 1 15 2020-08-07 $33.25 $31.00 26.0% 3.9% 12.0% 14.5% 0.0% -0.7% 20.1% -1.5K 10.1K -53 0.00 117.99 N/A N/A 0 0 1 15 2020-08-10 $33.44 $31.00 15.8% 4.5% 11.9% 6.9% 0.0% -6.1% 7.3% -1.6K 3.6K -33 0.00 117.89 N/A N/A 0 0 1 15 2020-08-11 $33.25 $31.00 41.6% 6.9% 12.1% 26.3% 0.0% 3.1% 1.0% -1.5K 7.2K -45 0.00 120.80 N/A N/A 0 0 1 15 2020-08-12 $33.57 $31.00 29.1% 8.3% 11.2% 16.9% 0.0% 7.5% 2.4% -1.2K 7.0K -43 0.00 140.90 N/A N/A 0 0 1 15 2020-08-13 $33.44 $31.00 36.0% 10.3% 11.4% 22.1% 0.0% 6.8% -6.5% -1.4K 6.6K -42 0.00 145.28 N/A N/A 0 0 1 15 2020-08-14 $33.44 $31.00 37.7% 10.8% 11.3% 23.4% 0.0% 8.0% -5.7% -1.3K 7.0K -43 0.00 145.40 N/A N/A 0 0 1 15 2020-08-17 $33.58 $31.00 18.7% 5.4% 11.3% 9.0% 0.0% 8.3% 0.2% -1.1K 6.1K -38 0.00 140.23 N/A N/A 0 0 1 15 2020-08-18 $33.52 $31.00 18.3% 5.3% 11.4% 8.7% 0.0% 12.7% 0.5% -1.2K 4.5K -33 0.00 122.07 N/A N/A 0 0 1 15 2020-08-19 $33.50 $31.00 36.1% 10.3% 11.2% 22.1% 0.0% 9.7% -10.3% -1.2K 8.0K -42 0.00 141.79 N/A N/A 0 0 1 15 2020-08-20 $33.48 $31.00 41.7% 11.9% 10.8% 26.4% 0.0% 2.8% -6.8% -1.2K 8.9K -42 0.00 135.09 N/A N/A 0 0 1 15 2020-08-21 $33.45 $31.00 34.0% 9.7% 9.1% 20.6% 0.0% 0.4% -6.9% -1.5K 4.6K -34 0.00 146.03 N/A N/A 0 0 1 15 2020-08-24 $33.75 $31.00 38.5% 11.0% 9.1% 24.0% 0.0% 0.1% -7.5% -1.4K 6.7K -29 0.00 145.07 N/A N/A 0 0 0 15 2020-08-25 $33.80 $31.00 21.0% 6.0% 8.5% 10.8% 0.0% 5.7% -4.0% -1.1K 3.6K -17 0.00 141.29 N/A N/A 0 0 0 15 2020-08-26 $33.88 $31.00 39.7% 11.4% 7.6% 24.9% 0.0% -4.2% -8.0% -1.3K 8.5K -31 0.00 146.04 N/A N/A 0 0 0 15 2020-08-27 $34.03 $31.00 41.7% 11.9% 7.3% 26.4% 0.0% 3.0% -8.3% -1.3K 7.7K -30 0.00 137.29 N/A N/A 0 0 0 15 2020-08-28 $34.18 $31.00 41.0% 11.8% 7.3% 25.9% 0.0% 1.4% -7.9% -1.2K 7.1K -27 0.00 142.15 N/A N/A 0 0 0 15 2020-08-31 $34.23 $31.00 44.6% 12.8% 6.3% 28.6% 0.0% 2.3% -10.7% -1.2K 6.6K -25 0.00 144.89 N/A N/A 0 0 0 15
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