LRGF Options History — November 2020 In November 2020, LRGF traded between $33.28 and $36.36. ATM implied volatility averaged 30.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.3% (HV 20d: 21.2%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days.
Notable Days 2020-11-23 : Highest Volume — 10 contracts2020-11-16 : Largest IV spike — 114.1% change2020-11-02 : Highest IV Rank — 34.1%2020-11-02 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.57 $33.28 $36.36 $33.28 $36.15 Max Pain $35.14 $34.00 $36.00 $34.00 $36.00 ATM IV 30.6% 14.5% 51.9% 51.9% 17.6% Expected Move 7.8% 4.2% 14.9% 14.9% 5.1% HV 20d 21.2% 17.0% 23.3% 19.2% 17.0% HV 60d 20.5% 19.1% 21.2% 19.1% 19.3% IV Rank 18.0% 5.8% 34.1% 34.1% 8.2% IV Percentile 31.8% 4.8% 72.2% 72.2% 10.3% Term Structure -0.8% -12.4% 19.8% -12.4% 5.9% VWIV 18.3% 18.3% 18.3% 18.3% 18.3% Skew 25d 6.2% -4.2% 21.9% 21.9% 9.7% Skew 10d 7.2% 0.3% 15.1% 9.6% 0.6% Call IV 25d 22.4% 14.1% 39.1% 28.5% 14.1% Put IV 25d 28.6% 13.5% 50.4% 50.4% 23.8% Bid-Ask Spread % 153.12 129.70 169.24 163.77 146.97 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -2.0K -3.0K 0 -2.4K -3.0K Net DEX 12.8K 0 26.3K 26.3K 17.2K Net VEX -24 -38 0 -37 -32 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.5 0 10 0 0 Total OI 11.75 0 13 13 10
Daily Data (20 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 2020-11-02 $33.28 $34.00 51.9% 14.9% 19.2% 34.1% 0.0% 21.9% -12.4% -2.4K 26.3K -37 0.00 163.77 N/A N/A 0 0 0 13 2020-11-03 $34.14 $34.00 30.4% 8.7% 21.1% 17.9% 0.0% 17.9% 8.5% -2.8K 21.6K -38 0.00 163.48 N/A N/A 0 0 0 13 2020-11-04 $34.78 $34.00 47.2% 13.5% 21.3% 30.5% 0.0% -4.2% -12.3% -2.8K 15.3K -35 0.00 169.24 N/A N/A 0 0 0 13 2020-11-05 $35.28 $0.00 49.2% 10.1% 21.7% 32.1% 0.0% 9.9% -7.5% -2.5K 11.9K -30 0.00 161.16 N/A N/A 0 0 0 13 2020-11-06 $35.26 $0.00 48.6% 6.0% 21.6% 31.6% 0.0% 4.8% 0.8% -2.3K 10.0K -26 0.00 150.97 N/A N/A 0 0 0 13 2020-11-09 $35.60 $0.00 49.3% 9.4% 21.3% 32.1% 0.0% 4.8% -7.0% -1.7K 13.6K -28 0.00 157.71 N/A N/A 0 0 0 13 2020-11-10 $35.40 $0.00 29.9% 5.7% 21.4% 17.5% 0.0% 1.4% -1.6% -2.5K 10.7K -23 0.00 143.91 N/A N/A 0 0 0 13 2020-11-11 $35.59 $0.00 34.1% 9.8% 21.4% 20.6% 0.0% 7.4% -4.7% -1.7K 13.7K -26 0.00 160.30 N/A N/A 0 0 0 13 2020-11-12 $35.12 $0.00 35.1% 10.1% 22.0% 21.4% 0.0% 4.5% -5.9% -2.1K 15.0K -24 0.00 158.73 N/A N/A 0 0 0 13 2020-11-13 $35.92 $0.00 16.6% 4.7% 23.3% 7.4% 0.0% 2.7% 3.0% -1.8K 10.8K -20 0.00 144.52 N/A N/A 0 0 0 13 2020-11-16 $36.30 $0.00 35.4% 10.2% 22.8% 21.7% 0.0% 6.5% -9.4% -1.6K 10.4K -14 0.00 157.99 N/A N/A 0 0 0 13 2020-11-17 $36.14 $0.00 35.2% 10.1% 22.9% 21.5% 0.0% 7.5% -6.4% -1.5K 11.7K -13 0.00 158.86 N/A N/A 0 0 0 13 2020-11-18 $35.88 $0.00 19.4% 5.6% 23.0% 9.6% 0.0% 3.1% -2.0% -2.0K 8.1K -9 0.00 148.32 N/A N/A 0 0 0 13 2020-11-19 $35.91 $0.00 30.9% 8.9% 23.0% 18.2% 0.0% 9.6% 4.1% -1.7K 11.4K -8 0.00 158.13 N/A N/A 0 0 0 13 2020-11-20 $35.80 $0.00 17.2% 4.9% 23.1% 7.9% 0.0% -0.5% -1.7% 0 0 0 0.00 147.78 N/A N/A 0 0 0 13 2020-11-23 $36.00 $0.00 14.5% 4.2% 21.2% 5.8% 18.3% -0.9% 4.3% 0 0 0 0.00 129.70 N/A N/A 0 10 0 0 2020-11-24 $36.36 $36.00 16.1% 4.6% 21.3% 7.1% 0.0% 15.6% 4.5% -2.8K 15.7K -37 0.00 143.25 N/A N/A 0 0 0 10 2020-11-25 $36.25 $36.00 16.2% 4.7% 18.1% 7.2% 0.0% -1.8% 3.9% -2.8K 16.5K -36 0.00 142.16 N/A N/A 0 0 0 10 2020-11-27 $36.32 $36.00 16.4% 4.7% 18.1% 7.3% 0.0% 4.6% 19.8% -2.9K 15.9K -34 0.00 155.48 N/A N/A 0 0 0 10 2020-11-30 $36.15 $36.00 17.6% 5.1% 17.0% 8.2% 0.0% 9.7% 5.9% -3.0K 17.2K -32 0.00 146.97 N/A N/A 0 0 0 10
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