LRGF Options History — December 2021

In December 2021, LRGF traded between $43.85 and $46.83. ATM implied volatility averaged 20.3%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 16.7%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days.

Notable Days

  • 2021-12-01: Highest Volume — 38 contracts
  • 2021-12-15: Largest IV drop — 62.0% change
  • 2021-12-14: Highest IV Rank — 41.2%
  • 2021-12-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.43$43.85$46.83$43.98$46.73
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV20.3%11.9%36.0%25.1%13.0%
Expected Move4.9%3.4%8.1%7.2%3.7%
HV 20d16.7%11.8%19.7%11.8%16.9%
HV 60d13.5%12.4%14.2%12.4%13.6%
IV Rank16.9%3.9%41.2%24.3%5.7%
IV Percentile54.4%3.6%94.0%84.9%12.3%
Term Structure-1.5%-6.4%2.9%-6.4%-1.6%
VWIV15.5%12.8%18.9%16.5%15.6%
Skew 25d3.7%-0.4%9.0%7.0%4.3%
Skew 10d3.0%-3.5%8.8%6.1%3.0%
Call IV 25d14.2%11.6%22.4%21.1%12.4%
Put IV 25d17.8%13.3%28.1%28.1%16.6%
Bid-Ask Spread %144.78132.84155.58137.24150.54
Gamma HHI0.880.800.930.930.82
Net GEX-5.2K-6.2K-4.1K-5.4K-4.5K
Net DEX36.7K19.2K61.8K58.6K20.2K
Net VEX-236-328-141-328-150
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume3838383838
Total OI3838383838

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$43.98$0.0025.1%7.2%11.8%24.3%0.0%7.0%-6.4%-5.4K58.6K-3280.00137.24N/AN/A038038
2021-12-02$44.48$0.0026.9%7.7%12.4%27.2%0.0%9.0%-6.2%-5.9K53.3K-3100.00138.74N/AN/A038038
2021-12-03$43.85$0.0028.2%8.1%13.3%29.1%0.0%5.6%-5.2%-5.0K61.8K-3260.00138.02N/AN/A038038
2021-12-06$44.62$46.0022.7%4.5%14.9%20.6%16.5%7.6%2.9%-5.4K51.2K-2970.00146.57N/AN/A038038
2021-12-07$45.40$46.0026.7%5.7%16.2%26.8%13.1%1.6%-1.7%-4.9K37.4K-2580.00145.72N/AN/A038038
2021-12-08$45.59$46.0022.7%4.5%16.2%20.6%15.9%4.3%-0.8%-4.9K38.7K-2620.00152.25N/AN/A038038
2021-12-09$45.33$46.0022.8%4.4%16.1%20.8%13.9%2.2%-0.3%-5.4K32.6K-2390.00143.39N/AN/A038038
2021-12-10$45.75$46.0023.4%4.3%16.2%21.7%13.8%2.5%-2.1%-5.1K36.8K-2550.00139.58N/AN/A038038
2021-12-13$45.53$46.0030.9%4.0%16.0%33.3%15.3%3.2%-0.8%-5.9K32.4K-2250.00142.23N/AN/A038038
2021-12-14$45.02$46.0036.0%4.8%16.4%41.2%16.0%5.1%1.1%-5.5K34.4K-2280.00140.56N/AN/A038038
2021-12-15$45.55$46.0013.7%3.9%16.9%6.7%16.1%6.6%1.8%-5.5K34.8K-2310.00143.00N/AN/A038038
2021-12-16$45.43$46.0018.6%5.3%16.8%14.3%18.5%2.4%-2.3%-5.0K28.9K-2010.00132.84N/AN/A038038
2021-12-17$45.06$46.0019.6%5.6%17.0%15.8%14.7%3.1%-1.7%-5.2K37.3K-2390.00143.45N/AN/A038038
2021-12-20$44.26$46.0018.3%5.3%18.1%13.8%18.9%5.1%-2.5%-6.2K51.2K-2740.00138.37N/AN/A038038
2021-12-21$45.05$46.0015.3%4.4%19.2%9.2%16.9%2.5%0.3%-5.9K37.4K-2400.00145.76N/AN/A038038
2021-12-22$45.44$46.0016.8%4.8%19.4%11.5%16.0%3.0%-0.5%-5.7K28.8K-2000.00141.40N/AN/A038038
2021-12-23$45.88$46.0016.4%4.7%19.7%10.9%16.3%1.1%-1.3%-4.7K34.0K-2230.00155.51N/AN/A038038
2021-12-27$46.39$46.0012.1%3.5%19.1%4.2%14.4%-0.4%-0.5%-4.3K21.3K-1630.00155.58N/AN/A038038
2021-12-28$46.56$46.0011.9%3.4%19.1%3.9%12.8%1.0%-1.2%-4.3K27.6K-1990.00152.30N/AN/A038038
2021-12-29$46.83$46.0013.0%3.7%17.2%5.6%15.9%2.8%-1.3%-4.8K19.2K-1410.00152.26N/AN/A038038
2021-12-30$46.73$46.0012.7%3.7%17.2%5.2%14.7%0.9%-1.7%-4.1K29.6K-1970.00149.79N/AN/A038038
2021-12-31$46.73$46.0013.0%3.7%16.9%5.7%15.6%4.3%-1.6%-4.5K20.2K-1500.00150.54N/AN/A038038