LRGF Options History — September 2024 In September 2024, LRGF traded between $55.26 and $58.72. ATM implied volatility averaged 17.7%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 14.0%). Max pain ranged from $54.00 to $54.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days.
Notable Days 2024-09-11 : Largest IV drop — 26.4% change2024-09-10 : Highest IV Rank — 57.4%2024-09-04 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $57.41 $55.26 $58.72 $56.39 $58.62 Max Pain $54.00 $54.00 $54.00 $54.00 $54.00 ATM IV 17.7% 14.9% 23.6% 18.7% 16.7% Expected Move 4.9% 4.3% 5.8% 5.4% 4.8% HV 20d 14.0% 13.0% 16.7% 16.7% 13.2% HV 60d 16.5% 16.0% 16.8% 16.0% 16.7% IV Rank 36.1% 25.8% 57.4% 39.5% 32.4% IV Percentile 62.5% 33.7% 93.7% 75.0% 59.1% Term Structure 0.0% -4.7% 1.9% -0.4% 0.8% Skew 25d 3.2% 0.9% 5.2% 1.9% 4.4% Skew 10d 5.8% 1.0% 11.5% 1.0% 3.5% Call IV 25d 13.7% 11.0% 17.0% 16.9% 13.7% Put IV 25d 16.9% 15.4% 19.4% 18.8% 18.1% Bid-Ask Spread % 148.11 128.72 170.97 128.72 150.18 Gamma HHI 0.74 0.46 1.00 0.51 1.00 Net GEX 2.3K -997 7.6K 1.7K 42 Net DEX -15.5K -43.0K 2.2K -13.3K -5.7K Net VEX -33 -77 -1 -72 -2 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 26.2 1 37 37 1
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 2024-09-03 $56.39 $54.00 18.7% 5.4% 16.7% 39.5% 0.0% 1.9% -0.4% 1.7K -13.3K -72 0.00 128.72 N/A N/A 0 0 11 26 2024-09-04 $56.34 $54.00 20.1% 5.8% 15.5% 44.6% 0.0% 2.4% -4.7% 1.4K -12.3K -74 0.00 133.56 N/A N/A 0 0 11 26 2024-09-05 $56.08 $0.00 20.1% 5.2% 14.9% 44.5% 0.0% 4.3% 0.8% 826 -8.7K -72 0.00 144.48 N/A N/A 0 0 11 26 2024-09-06 $55.26 $0.00 21.5% 5.0% 14.9% 49.6% 0.0% 3.9% 1.9% -997 2.2K -77 0.00 135.78 N/A N/A 0 0 11 26 2024-09-09 $55.72 $0.00 22.2% 5.1% 15.0% 52.2% 0.0% 3.8% 1.2% -216 -3.4K -60 0.00 144.58 N/A N/A 0 0 11 26 2024-09-10 $55.89 $0.00 23.6% 5.2% 15.0% 57.4% 0.0% 3.1% 0.3% 225 -5.5K -56 0.00 144.74 N/A N/A 0 0 11 26 2024-09-11 $56.38 $0.00 17.4% 5.0% 13.7% 34.8% 0.0% 3.5% 1.4% 2.0K -12.1K -51 0.00 140.19 N/A N/A 0 0 11 26 2024-09-12 $57.09 $0.00 16.4% 4.7% 14.3% 31.2% 0.0% 3.2% 0.9% 4.6K -22.0K -43 0.00 144.45 N/A N/A 0 0 11 26 2024-09-13 $57.50 $0.00 16.2% 4.6% 13.3% 30.4% 0.0% 3.3% 0.4% 5.0K -27.6K -40 0.00 153.12 N/A N/A 0 0 11 26 2024-09-16 $57.64 $0.00 15.9% 4.6% 13.3% 29.4% 0.0% 4.0% 1.4% 5.3K -29.2K -31 0.00 152.91 N/A N/A 0 0 11 26 2024-09-17 $57.63 $0.00 15.4% 4.4% 13.0% 27.7% 0.0% 1.4% 1.2% 6.3K -29.2K -26 0.00 148.02 N/A N/A 0 0 11 26 2024-09-18 $57.64 $0.00 15.9% 4.5% 13.0% 29.2% 0.0% 0.9% -0.7% 4.3K -28.5K -24 0.00 170.97 N/A N/A 0 0 11 26 2024-09-19 $58.58 $0.00 14.9% 4.3% 14.2% 25.8% 0.0% 5.0% 0.7% 7.4K -43.0K -14 0.00 150.09 N/A N/A 0 0 11 26 2024-09-20 $58.55 $0.00 15.2% 4.4% 13.8% 26.8% 0.0% 5.2% 0.8% 7.6K -42.6K -5 0.00 149.81 N/A N/A 0 0 11 26 2024-09-23 $58.59 $0.00 15.9% 4.5% 13.3% 29.2% 0.0% 3.0% -0.7% 36 -5.7K -2 0.00 152.58 N/A N/A 0 0 1 0 2024-09-24 $58.72 $0.00 15.8% 4.5% 13.3% 28.9% 0.0% 2.8% -0.1% 35 -5.7K -2 0.00 151.42 N/A N/A 0 0 1 0 2024-09-25 $58.39 $0.00 17.0% 4.9% 13.5% 33.4% 0.0% 2.0% -2.5% 33 -5.7K -1 0.00 151.20 N/A N/A 0 0 1 0 2024-09-26 $58.63 $0.00 19.9% 5.7% 13.3% 43.9% 0.0% 3.3% -2.1% 44 -5.7K -2 0.00 163.35 N/A N/A 0 0 1 0 2024-09-27 $58.58 $0.00 16.2% 4.6% 13.3% 30.3% 0.0% 2.5% -0.4% 36 -5.7K -1 0.00 152.03 N/A N/A 0 0 1 0 2024-09-30 $58.62 $0.00 16.7% 4.8% 13.2% 32.4% 0.0% 4.4% 0.8% 42 -5.7K -2 0.00 150.18 N/A N/A 0 0 1 0
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