LRGF Options History — October 2020 In October 2020, LRGF traded between $32.74 and $35.25. ATM implied volatility averaged 35.7%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 17.3% (HV 20d: 18.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days.
Notable Days 2020-10-07 : Highest Volume — 10 contracts2020-10-13 : Largest IV spike — 194.2% change2020-10-13 : Highest IV Rank — 62.4%2020-10-28 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $34.28 $32.74 $35.25 $33.33 $32.74 Max Pain $34.00 $34.00 $34.00 $34.00 $34.00 ATM IV 35.7% 17.7% 89.5% 45.6% 47.7% Expected Move 8.6% 4.6% 14.3% 13.1% 13.7% HV 20d 18.3% 13.7% 24.5% 24.5% 19.5% HV 60d 17.5% 16.8% 18.8% 16.9% 18.8% IV Rank 21.8% 8.3% 62.4% 29.3% 30.9% IV Percentile 35.6% 9.5% 94.8% 55.6% 66.7% Term Structure -2.6% -15.1% 6.7% -14.3% -15.1% VWIV 21.2% 18.5% 23.9% 23.9% 18.5% Skew 25d 4.9% -8.2% 16.4% 1.2% 15.9% Skew 10d 9.8% -6.7% 20.8% 7.4% 11.7% Call IV 25d 24.6% 12.6% 37.5% 35.9% 28.9% Put IV 25d 29.5% 17.8% 47.3% 37.1% 44.9% Bid-Ask Spread % 160.92 133.97 181.76 177.49 163.22 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -1.8K -3.9K 0 0 -2.1K Net DEX 14.1K 0 29.2K 0 29.2K Net VEX -36 -55 0 0 -36 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.545 0 10 0 0 Total OI 9.773 0 13 0 13
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 2020-10-01 $33.33 $0.00 45.6% 13.1% 24.5% 29.3% 0.0% 1.2% -14.3% 0 0 0 0.00 177.49 N/A N/A 0 0 0 0 2020-10-02 $33.38 $0.00 33.6% 9.6% 20.8% 20.3% 0.0% 6.6% -1.3% 0 0 0 0.00 172.54 N/A N/A 0 0 0 0 2020-10-05 $34.00 $0.00 54.2% 10.3% 21.8% 35.8% 0.0% 7.1% -2.0% 0 0 0 0.00 181.76 N/A N/A 0 0 0 0 2020-10-06 $33.70 $0.00 44.1% 10.4% 19.9% 28.2% 0.0% 16.4% -3.4% 0 0 0 0.00 178.30 N/A N/A 0 0 0 0 2020-10-07 $34.28 $0.00 25.0% 6.0% 20.1% 13.8% 23.9% -3.4% 6.7% 0 0 0 0.00 133.97 N/A N/A 0 10 0 0 2020-10-08 $34.55 $34.00 30.7% 4.6% 19.1% 18.1% 0.0% 2.0% 0.6% -2.0K 15.6K -50 0.00 149.35 N/A N/A 0 0 0 11 2020-10-09 $34.75 $34.00 37.5% 5.2% 19.0% 23.2% 0.0% 5.5% 0.6% -1.9K 13.5K -49 0.00 149.30 N/A N/A 0 0 0 11 2020-10-12 $35.25 $34.00 30.4% 7.0% 18.7% 17.9% 18.5% -8.2% -8.4% -3.9K 8.9K -33 0.00 150.25 N/A N/A 0 2 0 11 2020-10-13 $35.16 $34.00 89.5% 10.0% 18.8% 62.4% 0.0% 5.1% -2.7% -2.0K 14.8K -52 0.00 170.34 N/A N/A 0 0 0 13 2020-10-14 $34.99 $34.00 36.9% 10.6% 19.0% 22.7% 0.0% 16.2% -3.8% -1.4K 17.4K -55 0.00 159.83 N/A N/A 0 0 0 13 2020-10-15 $35.03 $34.00 35.9% 10.3% 18.3% 22.0% 0.0% 0.0% 0.7% -2.1K 15.4K -53 0.00 161.49 N/A N/A 0 0 0 13 2020-10-16 $35.11 $34.00 29.4% 8.4% 18.0% 17.1% 0.0% 3.3% -8.1% -2.1K 14.9K -50 0.00 163.52 N/A N/A 0 0 0 13 2020-10-19 $34.61 $34.00 24.2% 6.9% 17.6% 13.2% 0.0% 4.6% 2.3% -2.3K 17.6K -51 0.00 167.68 N/A N/A 0 0 0 13 2020-10-20 $34.80 $34.00 38.2% 11.0% 17.2% 23.7% 0.0% 11.3% -4.6% -2.2K 16.5K -49 0.00 169.25 N/A N/A 0 0 0 13 2020-10-21 $34.64 $34.00 17.7% 5.1% 14.3% 8.3% 0.0% -1.6% -1.4% -3.3K 18.1K -48 0.00 151.02 N/A N/A 0 0 0 13 2020-10-22 $34.77 $34.00 18.7% 5.4% 14.2% 9.0% 0.0% 7.3% 0.4% -2.3K 16.7K -49 0.00 147.98 N/A N/A 0 0 0 13 2020-10-23 $34.80 $34.00 18.4% 5.3% 13.7% 8.8% 0.0% 6.2% 1.3% -3.0K 14.8K -45 0.00 157.18 N/A N/A 0 0 0 13 2020-10-26 $34.01 $34.00 24.0% 6.9% 15.7% 13.0% 0.0% -1.8% 4.1% -2.3K 21.3K -46 0.00 159.81 N/A N/A 0 0 0 13 2020-10-27 $34.00 $34.00 23.3% 6.7% 15.6% 12.5% 0.0% 1.8% 1.7% -3.2K 23.4K -44 0.00 152.91 N/A N/A 0 0 0 13 2020-10-28 $33.06 $34.00 49.9% 14.3% 18.8% 32.6% 0.0% 9.8% -10.5% -1.9K 26.3K -41 0.00 168.81 N/A N/A 0 0 0 13 2020-10-29 $33.23 $34.00 29.8% 8.6% 18.8% 17.4% 0.0% 1.8% -0.1% -2.1K 26.1K -41 0.00 154.25 N/A N/A 0 0 0 13 2020-10-30 $32.74 $34.00 47.7% 13.7% 19.5% 30.9% 0.0% 15.9% -15.1% -2.1K 29.2K -36 0.00 163.22 N/A N/A 0 0 0 13
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