LRGF Options History — March 2021 In March 2021, LRGF traded between $37.99 and $40.75. ATM implied volatility averaged 19.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.1% (HV 20d: 19.1%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 10 of 23 days.
Notable Days 2021-03-04 : Largest IV spike — 72.3% change2021-03-04 : Highest IV Rank — 12.6%2021-03-01 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $39.80 $37.99 $40.75 $39.77 $40.75 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 19.0% 14.9% 28.9% 22.8% 18.2% Expected Move 5.2% 4.1% 6.5% 6.5% 5.2% HV 20d 19.1% 15.4% 21.0% 15.9% 16.7% HV 60d 15.9% 14.0% 16.7% 14.0% 16.5% IV Rank 5.1% 1.5% 12.6% 7.7% 4.9% IV Percentile 18.3% 3.2% 36.9% 22.6% 17.5% Term Structure -0.7% -8.9% 5.6% -8.9% -2.7% Skew 25d 4.8% -5.1% 11.7% -5.1% 5.5% Skew 10d 5.6% 1.9% 22.6% 22.6% 3.0% Call IV 25d 15.1% 9.5% 24.4% 24.4% 10.9% Put IV 25d 19.9% 16.0% 24.3% 19.3% 16.5% Bid-Ask Spread % 146.13 130.38 156.36 136.05 149.52 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -106 -1.0K 410 -1.0K 382 Net DEX -3.0K -5.8K 2.0K -2.6K -5.8K Net VEX -18 -23 -13 -22 -13 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 3.304 2 4 4 2
Daily Data (23 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 2021-03-01 $39.77 $39.00 22.8% 6.5% 15.9% 7.7% 0.0% -5.1% -8.9% -1.0K -2.6K -22 0.00 136.05 N/A N/A 0 0 2 2 2021-03-02 $39.49 $39.00 17.8% 5.1% 15.4% 3.8% 0.0% 5.8% 4.5% -347 -1.4K -23 0.00 132.85 N/A N/A 0 0 2 2 2021-03-03 $38.88 $39.00 16.8% 4.8% 16.1% 2.9% 0.0% 4.0% 5.6% -460 72 -23 0.00 130.38 N/A N/A 0 0 2 2 2021-03-04 $37.99 $0.00 28.9% 6.1% 18.1% 12.6% 0.0% 6.9% -0.3% -224 2.0K -21 0.00 152.76 N/A N/A 0 0 2 2 2021-03-05 $38.91 $0.00 19.1% 5.2% 20.0% 4.7% 0.0% 4.6% 0.2% -548 684 -22 0.00 138.97 N/A N/A 0 0 2 2 2021-03-08 $38.89 $0.00 18.9% 4.1% 19.8% 4.6% 0.0% 0.1% 2.0% -434 183 -22 0.00 143.94 N/A N/A 0 0 2 2 2021-03-09 $39.33 $0.00 18.5% 4.3% 19.9% 4.3% 0.0% 3.7% 0.1% -494 -1.1K -21 0.00 149.22 N/A N/A 0 0 2 2 2021-03-10 $39.48 $0.00 14.9% 4.3% 19.9% 1.5% 0.0% 1.0% -1.9% -476 -1.6K -21 0.00 148.68 N/A N/A 0 0 2 2 2021-03-11 $39.91 $0.00 16.7% 4.8% 20.2% 2.9% 0.0% 5.9% 1.4% -323 -2.6K -20 0.00 152.27 N/A N/A 0 0 2 2 2021-03-12 $39.92 $0.00 18.6% 5.3% 20.1% 4.4% 0.0% 8.7% -0.3% -323 -2.5K -19 0.00 143.30 N/A N/A 0 0 2 2 2021-03-15 $40.25 $0.00 19.0% 5.4% 20.2% 4.7% 0.0% 8.6% -1.1% -250 -3.4K -17 0.00 144.65 N/A N/A 0 0 2 2 2021-03-16 $40.31 $0.00 19.4% 5.6% 20.2% 5.0% 0.0% 5.3% -0.8% -211 -3.4K -17 0.00 144.33 N/A N/A 0 0 2 2 2021-03-17 $40.45 $0.00 19.1% 5.5% 20.2% 5.6% 0.0% 3.5% -3.3% -179 -4.1K -16 0.00 149.49 N/A N/A 0 0 2 2 2021-03-18 $39.93 $0.00 19.6% 5.6% 20.7% 6.0% 0.0% 3.1% 1.8% -432 -3.0K -17 0.00 145.26 N/A N/A 0 0 2 2 2021-03-19 $40.26 $0.00 19.8% 5.7% 20.8% 6.2% 0.0% 5.4% 1.5% 346 -5.0K -15 0.00 147.67 N/A N/A 0 0 2 2 2021-03-22 $40.38 $0.00 20.2% 5.8% 20.1% 6.6% 0.0% 6.9% -2.5% 330 -5.2K -15 0.00 156.36 N/A N/A 0 0 2 0 2021-03-23 $39.75 $0.00 16.7% 4.8% 21.0% 3.4% 0.0% 2.3% -3.7% 357 -4.9K -15 0.00 147.63 N/A N/A 0 0 2 0 2021-03-24 $39.67 $0.00 16.4% 4.7% 20.8% 3.2% 0.0% 6.0% -2.0% 332 -4.8K -15 0.00 148.67 N/A N/A 0 0 2 0 2021-03-25 $39.84 $0.00 16.3% 4.7% 18.5% 3.0% 0.0% 11.7% 2.7% 396 -4.6K -15 0.00 148.03 N/A N/A 0 0 2 0 2021-03-26 $40.37 $0.00 19.7% 5.7% 18.8% 6.4% 0.0% 6.8% -3.8% 410 -5.2K -14 0.00 150.08 N/A N/A 0 0 2 0 2021-03-29 $40.47 $0.00 22.3% 6.4% 17.9% 8.8% 0.0% 3.9% -5.6% 360 -5.5K -14 0.00 150.72 N/A N/A 0 0 2 0 2021-03-30 $40.44 $0.00 16.8% 4.8% 17.7% 3.5% 0.0% 5.3% 1.1% 368 -5.4K -13 0.00 150.22 N/A N/A 0 0 2 0 2021-03-31 $40.75 $0.00 18.2% 5.2% 16.7% 4.9% 0.0% 5.5% -2.7% 382 -5.8K -13 0.00 149.52 N/A N/A 0 0 2 0
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