LRGF Options History — September 2022 In September 2022, LRGF traded between $36.42 and $41.60. ATM implied volatility averaged 30.1%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.1% (HV 20d: 26.0%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2022-09-06 : Highest Volume — 32 contracts2022-09-13 : Largest IV spike — 98.8% change2022-09-13 : Highest IV Rank — 100.0%2022-09-27 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $39.04 $36.42 $41.60 $39.84 $36.42 Max Pain $41.00 $41.00 $41.00 $41.00 $41.00 ATM IV 30.1% 17.5% 57.6% 21.3% 36.5% Expected Move 7.7% 5.0% 11.3% 6.1% 10.5% HV 20d 26.0% 19.4% 30.8% 20.3% 30.8% HV 60d 23.6% 21.9% 25.1% 25.1% 24.6% IV Rank 46.5% 16.9% 100.0% 30.9% 56.4% IV Percentile 70.3% 23.4% 100.0% 42.5% 92.1% Term Structure -3.4% -15.5% 6.9% -2.2% -7.1% Skew 25d 6.6% -6.4% 13.0% 3.7% 11.4% Skew 10d 7.4% -2.9% 19.8% 2.7% 9.0% Call IV 25d 21.9% 11.8% 32.5% 18.7% 29.7% Put IV 25d 28.4% 17.4% 42.8% 22.5% 41.1% Bid-Ask Spread % 131.55 108.72 147.31 131.95 124.33 Gamma HHI 0.59 0.35 1.00 0.35 1.00 Net GEX 935 0 2.9K 876 971 Net DEX -7.5K -22.7K 0 -2.4K -19.1K Net VEX -30 -111 0 -8 -108 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 6.333 0 32 0 1 Total OI 19.333 0 32 32 11
Daily Data (21 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 2022-09-01 $39.84 $41.00 21.3% 6.1% 20.3% 30.9% 0.0% 3.7% -2.2% 876 -2.4K -8 0.00 131.95 N/A N/A 0 0 32 0 2022-09-02 $39.51 $41.00 32.9% 9.4% 20.3% 61.2% 0.0% -6.4% -5.1% 1.3K -5.2K -18 0.00 135.24 N/A N/A 0 0 32 0 2022-09-06 $39.52 $0.00 27.2% 6.3% 20.2% 46.5% 0.0% 8.2% -3.5% 916 -2.7K -8 0.00 112.77 N/A N/A 32 0 32 0 2022-09-07 $40.20 $0.00 38.3% 8.5% 21.3% 75.1% 0.0% 9.0% -3.0% 1.3K -4.7K -12 0.00 123.29 N/A N/A 32 0 32 0 2022-09-08 $40.39 $0.00 35.6% 6.9% 19.4% 68.3% 0.0% 5.5% 0.6% 1.4K -4.7K -11 0.00 140.56 N/A N/A 0 0 32 0 2022-09-09 $41.28 $0.00 22.9% 5.2% 21.2% 35.2% 0.0% 6.8% 1.9% 1.9K -5.5K -10 0.00 141.02 N/A N/A 0 0 32 0 2022-09-12 $41.60 $0.00 28.9% 5.2% 20.5% 50.9% 0.0% 4.7% -1.2% 2.0K -5.8K -7 0.00 133.84 N/A N/A 0 0 32 0 2022-09-13 $39.79 $0.00 57.6% 8.9% 25.3% 100.0% 0.0% 13.0% -10.9% 1.3K -4.6K -7 0.00 126.61 N/A N/A 32 0 32 0 2022-09-14 $40.02 $0.00 17.5% 5.0% 25.4% 16.9% 0.0% 3.7% 4.3% 574 -1.1K -1 0.00 147.31 N/A N/A 0 0 32 0 2022-09-15 $40.89 $0.00 23.8% 6.8% 26.9% 30.1% 0.0% 8.1% 0.0% 2.9K -22.7K -16 0.00 137.97 N/A N/A 0 0 32 0 2022-09-16 $39.30 $0.00 34.3% 9.8% 29.8% 51.8% 0.0% 10.7% -6.5% 401 -905 0 0.00 125.53 N/A N/A 32 0 32 0 2022-09-19 $39.58 $0.00 21.5% 6.2% 29.7% 25.2% 0.0% 1.3% -5.7% 0 0 0 0.00 145.17 N/A N/A 0 0 0 0 2022-09-20 $39.25 $0.00 22.8% 6.5% 29.0% 28.0% 0.0% 8.9% 6.9% 0 0 0 0.00 143.81 N/A N/A 0 0 0 0 2022-09-21 $38.61 $0.00 22.2% 6.4% 29.3% 26.7% 0.0% 2.3% -0.9% 0 0 0 0.00 139.54 N/A N/A 0 0 0 0 2022-09-22 $38.39 $0.00 24.1% 6.9% 29.2% 30.7% 0.0% 4.8% -0.2% 0 0 0 0.00 140.54 N/A N/A 0 0 0 0 2022-09-23 $37.39 $0.00 29.8% 8.5% 29.6% 42.5% 0.0% 6.3% -3.9% 0 0 0 0.00 146.53 N/A N/A 0 0 0 0 2022-09-26 $36.92 $0.00 30.9% 8.9% 28.4% 44.7% 0.0% 8.1% -11.4% 928 -18.3K -101 0.00 108.72 N/A N/A 1 0 10 0 2022-09-27 $36.72 $0.00 39.6% 11.3% 28.4% 62.7% 0.0% 9.2% -15.5% 933 -20.0K -111 0.00 116.21 N/A N/A 1 0 11 0 2022-09-28 $37.62 $0.00 30.9% 8.9% 30.2% 44.8% 0.0% 10.5% -4.4% 926 -20.3K -110 0.00 122.15 N/A N/A 1 0 11 0 2022-09-29 $36.69 $0.00 32.6% 9.4% 30.8% 48.3% 0.0% 8.2% -3.6% 897 -18.6K -109 0.00 119.43 N/A N/A 1 0 11 0 2022-09-30 $36.42 $0.00 36.5% 10.5% 30.8% 56.4% 0.0% 11.4% -7.1% 971 -19.1K -108 0.00 124.33 N/A N/A 1 0 11 0
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