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This is an exercise called the 360 degree lunge. I was shown it by my physio as I have a lot of tightness around my hip, aductor, and glut areas. I generally do it as part of my warm up, up to 3-4 times per week. Equally it can be used as part of a gym session or a session in its own right as it can get rather tiring around these areas.
Firstly I lunge forward. It is important to remember to lift your leg above your knee before you lunge in.
Then I lunge to the side keeping both feet facing forward. Then repeat but move your lunging foot out towards the side wall. This increases the stretch on your aductor area.
Then I lunge towards the back corner but keep my left leg facing forward. I repeat on the other side.
Generally I do three sets of this on each leg. Alternatively if you are doing this as a single session then you can increase this number and vary how quickly you do each lunge.