LRGF Options History — September 2020 In September 2020, LRGF traded between $32.03 and $34.99. ATM implied volatility averaged 36.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 15.7% (HV 20d: 20.6%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days.
Notable Days 2020-09-29 : Largest IV spike — 89.2% change2020-09-03 : Highest IV Rank — 48.1%2020-09-03 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $33.15 $32.03 $34.99 $34.28 $33.14 Max Pain $31.00 $31.00 $31.00 $31.00 $31.00 ATM IV 36.3% 20.4% 70.4% 45.5% 25.4% Expected Move 9.8% 5.9% 14.1% 13.0% 7.3% HV 20d 20.6% 6.3% 25.7% 6.3% 25.7% HV 60d 16.5% 14.6% 19.0% 17.1% 16.9% IV Rank 22.3% 10.3% 48.1% 29.2% 14.1% IV Percentile 36.6% 14.3% 86.1% 56.0% 19.0% Term Structure -5.2% -18.3% 4.1% -7.0% -1.1% Skew 25d 5.1% -16.8% 15.8% 3.6% -16.8% Skew 10d 3.2% -6.6% 10.9% -0.2% 4.7% Call IV 25d 26.6% 14.6% 37.6% 35.8% 37.6% Put IV 25d 31.7% 19.2% 47.7% 39.4% 20.7% Bid-Ask Spread % 163.59 139.28 184.68 144.51 145.99 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -853 -2.1K 0 -1.2K 0 Net DEX 4.3K 0 12.3K 6.3K 0 Net VEX -9 -32 0 -22 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 9.286 0 15 15 0
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 2020-09-01 $34.28 $31.00 45.5% 13.0% 6.3% 29.2% 0.0% 3.6% -7.0% -1.2K 6.3K -22 0.00 144.51 N/A N/A 0 0 0 15 2020-09-02 $34.99 $31.00 45.8% 13.1% 9.1% 29.5% 0.0% 4.3% -10.9% -899 4.5K -17 0.00 142.03 N/A N/A 0 0 0 15 2020-09-03 $33.71 $0.00 70.4% 14.1% 16.9% 48.1% 0.0% 11.6% -6.7% -1.2K 12.3K -32 0.00 184.68 N/A N/A 0 0 0 15 2020-09-04 $33.72 $0.00 39.6% 6.6% 16.8% 24.8% 0.0% 15.8% 4.1% -1.3K 5.1K -17 0.00 154.49 N/A N/A 0 0 0 15 2020-09-08 $32.87 $0.00 44.2% 10.3% 19.1% 28.3% 0.0% 1.5% -8.7% -1.9K 7.8K -20 0.00 175.06 N/A N/A 0 0 0 15 2020-09-09 $33.39 $0.00 22.9% 6.6% 19.8% 12.2% 0.0% 13.7% 4.0% -1.3K 3.5K -11 0.00 139.86 N/A N/A 0 0 0 15 2020-09-10 $32.85 $0.00 36.4% 10.4% 20.3% 22.4% 0.0% 5.1% -6.5% -1.9K 10.8K -21 0.00 172.04 N/A N/A 0 0 0 15 2020-09-11 $32.77 $0.00 37.6% 10.8% 20.3% 23.3% 0.0% 6.3% -6.6% -2.1K 7.3K -15 0.00 178.16 N/A N/A 0 0 0 15 2020-09-14 $33.34 $0.00 25.5% 7.3% 21.3% 14.1% 0.0% 7.1% -1.1% -1.6K 6.8K -12 0.00 171.32 N/A N/A 0 0 0 15 2020-09-15 $33.41 $0.00 34.1% 9.8% 21.3% 20.6% 0.0% 0.3% -7.8% -1.6K 8.2K -11 0.00 173.23 N/A N/A 0 0 0 15 2020-09-16 $33.56 $0.00 38.9% 11.2% 21.3% 24.3% 0.0% 2.5% -7.4% -1.5K 7.0K -8 0.00 179.08 N/A N/A 0 0 0 15 2020-09-17 $33.18 $0.00 39.7% 11.4% 21.7% 24.9% 0.0% 7.1% -5.8% -1.6K 11.2K -8 0.00 180.01 N/A N/A 0 0 0 15 2020-09-18 $32.97 $0.00 33.0% 9.4% 21.8% 19.8% 0.0% -6.0% -18.3% 0 0 0 0.00 176.14 N/A N/A 0 0 0 15 2020-09-21 $32.40 $0.00 37.2% 10.7% 22.6% 23.0% 0.0% 4.5% -14.9% 0 0 0 0.00 169.52 N/A N/A 0 0 0 0 2020-09-22 $32.82 $0.00 20.4% 5.9% 22.9% 10.3% 0.0% 12.9% 0.1% 0 0 0 0.00 139.28 N/A N/A 0 0 0 0 2020-09-23 $32.03 $0.00 28.9% 8.3% 24.3% 16.7% 0.0% -1.0% -4.1% 0 0 0 0.00 151.34 N/A N/A 0 0 0 0 2020-09-24 $32.09 $0.00 23.6% 6.8% 24.3% 12.7% 0.0% 11.8% 1.7% 0 0 0 0.00 140.08 N/A N/A 0 0 0 0 2020-09-25 $32.55 $0.00 39.8% 11.4% 24.9% 24.9% 0.0% 11.2% -3.9% 0 0 0 0.00 170.88 N/A N/A 0 0 0 0 2020-09-28 $33.11 $0.00 25.6% 7.3% 25.7% 14.2% 0.0% 9.0% -0.3% 0 0 0 0.00 169.11 N/A N/A 0 0 0 0 2020-09-29 $33.07 $0.00 48.4% 13.9% 25.7% 31.4% 0.0% 3.2% -7.9% 0 0 0 0.00 178.66 N/A N/A 0 0 0 0 2020-09-30 $33.14 $0.00 25.4% 7.3% 25.7% 14.1% 0.0% -16.8% -1.1% 0 0 0 0.00 145.99 N/A N/A 0 0 0 0
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