LRGF Options History — December 2020 In December 2020, LRGF traded between $36.40 and $37.66. ATM implied volatility averaged 24.7%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 13.9% (HV 20d: 10.7%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2020-12-23 : Highest Volume — 5 contracts2020-12-04 : Largest IV spike — 161.6% change2020-12-08 : Highest IV Rank — 32.0%2020-12-30 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $37.01 $36.40 $37.66 $36.47 $37.66 Max Pain $36.00 $36.00 $36.00 $36.00 $36.00 ATM IV 24.7% 13.1% 49.1% 17.3% 30.5% Expected Move 6.5% 3.7% 11.3% 5.0% 8.8% HV 20d 10.7% 8.1% 16.5% 16.5% 8.1% HV 60d 17.0% 15.4% 19.4% 19.4% 15.4% IV Rank 13.5% 4.8% 32.0% 8.0% 18.0% IV Percentile 23.5% 2.8% 73.4% 9.5% 34.1% Term Structure -0.7% -15.2% 45.6% 3.7% -6.1% Skew 25d 4.1% -7.9% 20.4% 2.5% 6.1% Skew 10d 6.6% -3.7% 22.6% 0.7% 5.4% Call IV 25d 19.7% 12.7% 28.0% 15.9% 25.2% Put IV 25d 23.8% 14.8% 39.3% 18.3% 31.3% Bid-Ask Spread % 169.30 137.46 192.83 144.66 172.88 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -2.1K -7.6K 729 -3.3K 695 Net DEX 7.7K -9.0K 22.0K 14.4K -9.0K Net VEX -27 -59 0 -30 -59 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.5 0 5 0 0 Total OI 9.818 0 15 10 6
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 2020-12-01 $36.47 $36.00 17.3% 5.0% 16.5% 8.0% 0.0% 2.5% 3.7% -3.3K 14.4K -30 0.00 144.66 N/A N/A 0 0 0 10 2020-12-02 $36.40 $36.00 16.9% 4.8% 14.7% 7.7% 0.0% 8.7% 4.7% -3.3K 15.0K -29 0.00 143.85 N/A N/A 0 0 0 10 2020-12-03 $36.47 $0.00 15.4% 4.7% 13.5% 6.5% 0.0% 1.9% -0.2% -3.9K 13.7K -28 0.00 172.44 N/A N/A 0 0 0 10 2020-12-04 $36.84 $0.00 40.2% 7.2% 13.1% 25.3% 0.0% 8.8% -0.5% -3.6K 10.2K -24 0.00 175.23 N/A N/A 0 2 0 10 2020-12-07 $36.75 $0.00 24.2% 4.2% 13.1% 13.2% 0.0% 1.2% 1.1% -4.8K 12.3K -26 0.00 168.26 N/A N/A 0 3 0 12 2020-12-08 $36.98 $0.00 49.1% 9.1% 12.9% 32.0% 0.0% 11.3% -1.7% -2.5K 20.6K -34 0.00 187.53 N/A N/A 0 0 0 15 2020-12-09 $36.68 $0.00 31.5% 9.0% 13.2% 18.7% 0.0% 3.4% -5.4% -2.9K 22.0K -33 0.00 184.19 N/A N/A 0 0 0 15 2020-12-10 $36.68 $0.00 15.0% 4.3% 13.1% 6.3% 0.0% -1.9% -0.0% -4.6K 19.2K -30 0.00 166.87 N/A N/A 0 0 0 15 2020-12-11 $36.56 $0.00 17.8% 5.1% 12.0% 8.3% 0.0% -4.3% -2.6% -7.6K 16.6K -26 0.00 171.19 N/A N/A 0 0 0 15 2020-12-14 $36.60 $0.00 18.6% 5.3% 9.3% 8.9% 0.0% -1.2% -5.2% -3.6K 20.6K -22 0.00 172.64 N/A N/A 0 0 0 15 2020-12-15 $37.01 $0.00 13.1% 3.7% 9.4% 4.8% 0.0% -1.8% 1.0% -4.2K 13.9K -16 0.00 164.59 N/A N/A 0 0 0 15 2020-12-16 $37.18 $0.00 19.1% 5.5% 9.2% 9.3% 0.0% -0.2% -5.3% -3.3K 15.4K -14 0.00 177.07 N/A N/A 0 0 0 15 2020-12-17 $37.36 $0.00 34.9% 10.0% 8.7% 21.3% 0.0% 6.2% 45.6% -2.7K 16.2K -10 0.00 185.52 N/A N/A 0 0 0 15 2020-12-18 $37.21 $0.00 30.5% 8.7% 9.0% 17.9% 0.0% -3.5% -6.9% 0 0 0 0.00 184.04 N/A N/A 0 0 0 15 2020-12-21 $37.03 $0.00 28.8% 8.3% 9.1% 16.6% 0.0% 15.2% -5.2% 0 0 0 0.00 192.83 N/A N/A 0 0 0 0 2020-12-22 $37.20 $0.00 15.4% 4.4% 9.1% 6.5% 0.0% 13.0% 2.6% 0 0 0 0.00 147.73 N/A N/A 0 0 0 0 2020-12-23 $37.40 $0.00 17.6% 5.1% 8.6% 8.2% 0.0% -7.9% -0.9% 0 0 0 0.00 144.10 N/A N/A 5 0 0 0 2020-12-24 $37.33 $0.00 14.7% 4.2% 8.6% 6.0% 0.0% -0.9% 1.6% 721 -6.0K -47 0.00 137.46 N/A N/A 1 0 5 0 2020-12-28 $37.49 $0.00 27.9% 8.0% 8.6% 15.9% 0.0% 7.3% -15.2% 729 -8.7K -59 0.00 174.15 N/A N/A 0 0 6 0 2020-12-29 $37.36 $0.00 24.9% 7.1% 8.5% 13.7% 0.0% 5.6% -9.1% 713 -8.5K -59 0.00 173.60 N/A N/A 0 0 6 0 2020-12-30 $37.47 $0.00 39.3% 11.3% 8.1% 24.5% 0.0% 20.4% -11.6% 547 -9.0K -58 0.00 183.82 N/A N/A 0 0 6 0 2020-12-31 $37.66 $0.00 30.5% 8.8% 8.1% 18.0% 0.0% 6.1% -6.1% 695 -9.0K -59 0.00 172.88 N/A N/A 0 0 6 0
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