RSPC Options History — September 2023

In September 2023, RSPC traded between $26.41 and $27.91. ATM implied volatility averaged 29.1%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 13.8% (HV 20d: 15.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days.

Notable Days

  • 2023-09-25: Largest IV spike — 146.2% change
  • 2023-09-25: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.21$26.41$27.91$27.64$26.63
ATM IV29.1%13.4%62.1%25.7%25.7%
Expected Move6.4%3.8%9.5%7.4%7.4%
HV 20d15.3%14.0%16.7%14.9%14.4%
HV 60d13.5%13.3%13.7%13.7%13.4%
Term Structure-1.8%-10.6%13.6%-9.2%8.8%
Skew 25d2.0%-2.6%8.0%7.9%4.5%
Skew 10d4.3%0.1%14.1%14.1%11.7%
Call IV 25d19.3%12.8%39.1%20.8%18.6%
Put IV 25d21.3%14.5%40.8%28.8%23.2%
Bid-Ask Spread %137.56126.12145.30130.60138.85
Gamma HHI1.001.001.001.001.00
Net GEX-920-1.2K-703-978-1.0K
Net DEX14.2K12.0K17.3K12.7K16.7K
Net VEX-62-68-53-68-57
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1010101010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$27.64$0.0025.7%7.4%14.9%0.0%0.0%7.9%-9.2%-97812.7K-680.00130.60N/AN/A00010
2023-09-05$27.59$0.0020.7%3.8%14.2%0.0%0.0%1.7%-0.7%-83012.8K-670.00126.12N/AN/A00010
2023-09-06$27.45$0.0036.1%4.4%14.3%0.0%0.0%1.7%-3.2%-1.0K13.4K-670.00134.70N/AN/A00010
2023-09-07$27.26$0.0051.3%7.9%14.3%0.0%0.0%1.7%-4.4%-75013.5K-660.00145.30N/AN/A00010
2023-09-08$27.32$0.0038.8%6.8%14.3%0.0%0.0%2.8%-2.8%-82913.6K-660.00138.38N/AN/A00010
2023-09-11$27.69$0.0062.1%6.1%15.3%0.0%0.0%3.4%-10.6%-1.0K13.1K-650.00136.27N/AN/A00010
2023-09-12$27.57$0.0045.0%5.5%15.3%0.0%0.0%1.8%2.7%-1.2K13.1K-650.00135.68N/AN/A00010
2023-09-13$27.45$0.0019.2%5.5%15.3%0.0%0.0%1.5%-10.4%-80013.2K-650.00139.73N/AN/A00010
2023-09-14$27.91$0.0026.8%7.7%16.4%0.0%0.0%-2.6%-4.5%-1.0K12.0K-650.00136.07N/AN/A00010
2023-09-15$27.67$0.0019.9%5.7%16.0%0.0%0.0%0.4%9.1%-1.1K12.8K-640.00138.89N/AN/A00010
2023-09-18$27.48$0.0031.7%9.1%16.2%0.0%0.0%1.0%-5.6%-79013.1K-630.00144.10N/AN/A00010
2023-09-19$27.50$0.0017.3%5.0%16.2%0.0%0.0%1.5%-2.9%-1.1K14.0K-630.00132.91N/AN/A00010
2023-09-20$27.16$0.0029.4%8.4%16.7%0.0%0.0%8.0%-4.4%-96814.6K-620.00140.70N/AN/A00010
2023-09-21$26.98$0.0021.8%6.3%16.3%0.0%0.0%0.8%-8.1%-89415.0K-600.00135.83N/AN/A00010
2023-09-22$26.80$0.0013.4%3.8%16.0%0.0%0.0%-0.4%10.4%-1.0K16.0K-590.00138.07N/AN/A00010
2023-09-25$26.68$0.0033.0%9.5%16.0%0.0%0.0%1.8%-6.7%-75515.3K-590.00143.67N/AN/A00010
2023-09-26$26.43$0.0020.1%5.8%15.9%0.0%0.0%1.0%-4.2%-78916.2K-570.00138.29N/AN/A00010
2023-09-27$26.41$0.0019.6%5.6%14.0%0.0%0.0%-0.6%-3.6%-70317.3K-530.00137.89N/AN/A00010
2023-09-28$26.63$0.0024.1%6.9%14.4%0.0%0.0%2.9%13.6%-94816.4K-570.00139.21N/AN/A00010
2023-09-29$26.63$0.0025.7%7.4%14.4%0.0%0.0%4.5%8.8%-1.0K16.7K-570.00138.85N/AN/A00010