LRGF Options History — December 2022

In December 2022, LRGF traded between $38.41 and $41.55. ATM implied volatility averaged 27.5%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.3% (HV 20d: 21.3%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days.

Notable Days

  • 2022-12-27: Largest IV spike — 78.4% change
  • 2022-12-13: Highest IV Rank — 86.4%
  • 2022-12-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.76$38.41$41.55$41.55$38.89
ATM IV27.5%14.8%51.3%23.4%21.8%
Expected Move6.3%4.2%7.8%6.7%6.2%
HV 20d21.3%17.4%27.1%25.6%19.1%
HV 60d25.8%23.9%28.4%28.4%23.9%
IV Rank34.1%6.3%86.4%25.3%20.2%
IV Percentile47.8%3.6%99.6%34.1%21.8%
Term Structure-0.8%-9.2%12.9%3.7%1.3%
Skew 25d3.3%-2.0%9.4%1.2%1.8%
Skew 10d3.0%0.4%7.5%0.6%2.0%
Call IV 25d17.8%12.7%23.2%22.7%13.5%
Put IV 25d21.1%15.3%26.0%23.9%15.3%
Bid-Ask Spread %153.19138.21167.04138.57147.59
Gamma HHI1.001.001.001.001.00
Net GEX1.3K1.1K1.6K1.1K1.6K
Net DEX-30.5K-37.6K-25.2K-35.3K-27.7K
Net VEX-75-83-56-75-73
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1111111111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$41.55$0.0023.4%6.7%25.6%25.3%0.0%1.2%3.7%1.1K-35.3K-750.00138.57N/AN/A00110
2022-12-02$41.36$0.0027.2%7.8%25.3%33.5%0.0%4.1%-9.2%1.1K-34.0K-750.00140.74N/AN/A00110
2022-12-05$40.53$0.0031.6%5.8%26.8%43.1%0.0%0.7%-2.6%1.2K-35.0K-690.00158.99N/AN/A00110
2022-12-06$40.05$0.0029.3%6.0%27.1%38.1%0.0%0.3%0.4%1.2K-30.4K-820.00148.32N/AN/A00110
2022-12-07$40.02$0.0029.4%6.2%26.9%38.3%0.0%9.4%2.1%1.2K-29.6K-830.00138.21N/AN/A00110
2022-12-08$40.32$0.0039.4%6.0%25.5%60.4%0.0%5.7%-0.3%1.2K-30.3K-800.00160.87N/AN/A00110
2022-12-09$40.16$0.0041.7%6.6%17.6%65.3%0.0%2.4%-2.1%1.3K-32.5K-730.00164.46N/AN/A00110
2022-12-12$40.59$0.0043.3%6.4%17.4%68.8%0.0%8.4%-6.9%1.2K-31.3K-770.00155.48N/AN/A00110
2022-12-13$40.89$0.0051.3%6.0%17.5%86.4%0.0%1.2%-2.2%1.1K-37.6K-560.00151.91N/AN/A00110
2022-12-14$40.55$0.0020.9%6.0%17.7%19.9%0.0%1.6%-2.4%1.2K-36.6K-600.00154.79N/AN/A00110
2022-12-15$39.55$0.0023.5%6.7%19.5%25.5%0.0%3.0%12.9%1.4K-30.8K-760.00167.04N/AN/A00110
2022-12-16$39.22$0.0018.8%5.4%19.6%15.2%0.0%2.9%-0.9%1.3K-28.4K-790.00161.47N/AN/A00110
2022-12-19$38.70$0.0024.4%7.0%19.8%27.5%0.0%0.0%3.7%1.4K-26.4K-800.00166.61N/AN/A00110
2022-12-20$38.92$0.0018.5%5.3%19.9%14.4%0.0%5.4%0.6%1.2K-27.3K-790.00151.60N/AN/A00110
2022-12-21$39.41$0.0024.1%6.9%19.8%26.8%0.0%1.6%-2.6%1.5K-30.4K-740.00163.39N/AN/A00110
2022-12-22$38.70$0.0020.5%5.9%20.4%19.0%0.0%5.5%0.9%1.5K-27.6K-770.00143.95N/AN/A00110
2022-12-23$39.03$0.0014.8%4.2%20.7%6.3%0.0%3.6%1.3%1.6K-28.8K-750.00140.56N/AN/A00110
2022-12-27$39.00$0.0026.3%7.5%20.1%31.6%0.0%5.5%-3.7%1.4K-27.6K-750.00157.13N/AN/A00110
2022-12-28$38.41$0.0025.3%7.3%20.6%29.5%0.0%-2.0%-3.6%1.5K-25.2K-760.00152.62N/AN/A00110
2022-12-29$39.14$0.0022.1%6.4%19.3%21.0%0.0%4.3%-6.5%1.4K-28.3K-740.00152.62N/AN/A00110
2022-12-30$38.89$0.0021.8%6.2%19.1%20.2%0.0%1.8%1.3%1.6K-27.7K-730.00147.59N/AN/A00110