LRGF Options History — December 2023 In December 2023, LRGF traded between $46.02 and $48.48. ATM implied volatility averaged 18.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 8.7% (HV 20d: 9.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2023-12-20 : Highest Volume — 30 contracts2023-12-13 : Largest IV drop — 58.3% change2023-12-11 : Highest IV Rank — 26.0%2023-12-01 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $47.45 $46.02 $48.48 $46.41 $48.28 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 18.6% 11.5% 33.1% 18.1% 17.8% Expected Move 4.2% 3.3% 5.2% 5.2% 5.1% HV 20d 9.8% 7.8% 12.0% 12.0% 9.7% HV 60d 13.4% 12.7% 13.9% 13.9% 12.7% IV Rank 10.2% 2.5% 26.0% 9.7% 9.4% IV Percentile 44.1% 3.6% 95.6% 47.6% 47.6% Term Structure -1.4% -4.3% 1.9% -4.3% -3.3% Skew 25d 0.5% -3.7% 4.9% -1.7% -3.7% Skew 10d 1.1% -4.7% 8.4% -3.1% -4.7% Call IV 25d 11.8% 9.0% 14.7% 14.7% 13.4% Put IV 25d 12.2% 9.4% 14.9% 12.9% 9.7% Bid-Ask Spread % 154.44 126.32 165.95 126.32 153.86 Gamma HHI 0.68 0.51 0.94 0.61 0.68 Net GEX 3.4K -2.0K 11.8K 5.0K -846 Net DEX -55.4K -93.0K -36.1K -51.6K -45.5K Net VEX -67 -156 -10 -156 -33 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2 0 30 0 0 Total OI 90.05 40 121 111 70
Daily Data (20 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 2023-12-01 $46.41 $45.00 18.1% 5.2% 12.0% 9.7% 0.0% -1.7% -4.3% 5.0K -51.6K -156 0.00 126.32 N/A N/A 0 0 30 81 2023-12-04 $46.25 $0.00 19.8% 4.2% 11.7% 11.6% 0.0% 3.3% 0.3% 3.9K -49.4K -149 0.00 164.37 N/A N/A 0 0 30 81 2023-12-05 $46.20 $0.00 22.9% 4.3% 11.7% 14.9% 0.0% 2.1% -0.8% 3.5K -50.9K -122 0.00 165.40 N/A N/A 0 0 30 81 2023-12-06 $46.02 $0.00 22.9% 4.1% 11.9% 15.0% 0.0% 1.1% -1.4% 2.9K -47.5K -121 0.00 161.38 N/A N/A 0 0 30 81 2023-12-07 $46.28 $0.00 22.3% 3.7% 11.9% 14.3% 0.0% 1.5% -0.5% 4.6K -52.0K -82 0.00 165.95 N/A N/A 0 0 30 81 2023-12-08 $46.59 $0.00 24.4% 4.0% 11.1% 16.6% 0.0% 4.9% -1.4% 6.2K -59.8K -98 0.00 161.59 N/A N/A 0 0 30 81 2023-12-11 $46.75 $0.00 33.1% 3.7% 10.0% 26.0% 0.0% 3.7% 1.7% 6.9K -63.0K -79 0.00 165.56 N/A N/A 0 10 30 81 2023-12-12 $46.97 $0.00 30.1% 3.5% 10.0% 22.7% 0.0% 1.2% 1.9% 9.4K -65.6K -55 0.00 161.03 N/A N/A 0 0 30 91 2023-12-13 $47.64 $0.00 12.6% 3.6% 8.0% 3.7% 0.0% 4.1% -0.1% 11.8K -84.6K -46 0.00 153.88 N/A N/A 0 0 30 91 2023-12-14 $47.95 $0.00 14.0% 4.0% 8.1% 5.2% 0.0% 2.7% -0.7% 11.3K -93.0K -43 0.00 157.46 N/A N/A 0 0 30 91 2023-12-15 $47.89 $0.00 14.2% 4.1% 8.0% 5.4% 0.0% 1.0% -1.5% 9.9K -89.5K -28 0.00 158.85 N/A N/A 0 0 30 91 2023-12-18 $48.16 $0.00 15.0% 4.3% 8.1% 6.3% 0.0% 2.1% -1.5% -250 -45.8K -23 0.00 158.58 N/A N/A 0 0 10 30 2023-12-19 $48.45 $0.00 15.6% 4.5% 7.8% 7.0% 0.0% -1.6% -1.9% -246 -46.1K -23 0.00 153.76 N/A N/A 0 0 10 30 2023-12-20 $47.78 $0.00 13.6% 3.9% 9.4% 4.9% 0.0% -1.4% -3.1% -368 -45.1K -36 0.00 145.07 N/A N/A 0 30 10 30 2023-12-21 $48.03 $0.00 11.5% 3.3% 9.4% 2.5% 0.0% -1.8% -1.5% -318 -47.3K -10 0.00 143.58 N/A N/A 0 0 10 60 2023-12-22 $48.17 $0.00 15.7% 4.5% 9.4% 7.1% 0.0% -3.3% -2.2% -925 -45.1K -42 0.00 150.24 N/A N/A 0 0 10 60 2023-12-26 $48.41 $0.00 12.7% 3.6% 9.4% 3.8% 0.0% -0.5% -2.2% -2.0K -36.1K -115 0.00 143.95 N/A N/A 0 0 10 60 2023-12-27 $48.33 $0.00 17.5% 5.0% 9.4% 9.0% 0.0% -2.4% -2.8% -911 -45.2K -42 0.00 147.71 N/A N/A 0 0 10 60 2023-12-28 $48.48 $0.00 17.5% 5.0% 9.4% 9.1% 0.0% -1.6% -3.1% -820 -45.8K -34 0.00 150.23 N/A N/A 0 0 10 60 2023-12-29 $48.28 $0.00 17.8% 5.1% 9.7% 9.4% 0.0% -3.7% -3.3% -846 -45.5K -33 0.00 153.86 N/A N/A 0 0 10 60
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