RCUS Options History — September 2020

In September 2020, RCUS traded between $17.11 and $23.04. ATM implied volatility averaged 108.5%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 38.2% (HV 20d: 70.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2020-09-15: Highest Volume — 279 contracts
  • 2020-09-28: Largest IV drop — 21.2% change
  • 2020-09-18: Highest IV Rank — 61.3%
  • 2020-09-18: Largest Expected Move — 37.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.42$17.11$23.04$23.02$17.11
Max Pain$23.81$20.00$25.00$22.50$20.00
ATM IV108.5%87.5%128.9%117.9%113.0%
Expected Move30.5%24.1%37.0%33.8%32.4%
HV 20d70.2%62.0%82.9%63.3%70.2%
HV 60d62.4%58.1%67.3%59.1%65.3%
IV Rank51.4%41.3%61.3%56.0%53.6%
IV Percentile45.9%23.8%61.5%53.2%54.4%
Term Structure-16.9%-63.5%11.4%-17.2%-63.5%
VWIV91.3%57.7%133.4%79.7%84.4%
Skew 25d4.3%-36.7%61.0%11.4%-17.9%
Skew 10d28.0%-51.6%107.3%-51.6%10.7%
Call IV 25d96.9%48.0%163.3%96.1%103.5%
Put IV 25d101.1%85.6%126.6%107.5%85.6%
Bid-Ask Spread %114.75100.36126.07121.83109.97
Gamma HHI0.450.340.520.440.46
Net GEX82.7K17.5K137.6K128.9K17.5K
Net DEX-2.1M-4.4M236.2K-4.4M236.2K
Net VEX-10.1K-17.7K-2.9K-17.7K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.006.670.005.38
Total Volume59.7141279751
Total OI5,778.9525,1556,1886,0735,554

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$23.02$22.50117.9%33.8%63.3%56.0%79.7%11.4%-17.2%128.9K-4.4M-17.7K0.00121.83N/AN/A705,565508
2020-09-02$22.65$22.50118.4%33.9%63.7%56.2%83.5%-0.5%-22.7%125.8K-4.0M-16.7K0.13126.07N/AN/A815,569508
2020-09-03$21.23$25.00101.9%24.1%68.1%48.2%87.4%5.9%11.0%113.2K-2.4M-12.7K1.17100.36N/AN/A24285,574509
2020-09-04$21.06$25.00104.7%31.6%67.5%49.6%107.6%-12.4%-21.4%93.1K-2.4M-13.0K2.40117.06N/AN/A20485,589529
2020-09-08$20.90$25.00122.5%25.6%62.0%58.2%86.4%10.9%11.4%90.2K-2.2M-12.2K0.00116.29N/AN/A505,600587
2020-09-09$21.70$25.00101.2%29.0%63.8%47.9%103.7%18.9%-14.7%102.6K-2.7M-12.9K0.00116.98N/AN/A015,599587
2020-09-10$23.04$25.00101.7%29.2%62.7%48.1%83.7%61.0%-4.6%129.0K-4.0M-14.8K0.00110.69N/AN/A8005,599588
2020-09-11$22.38$25.0096.1%27.6%63.1%45.4%57.7%26.0%2.6%130.8K-3.3M-13.6K0.03110.09N/AN/A4015,600588
2020-09-14$23.02$25.0087.5%25.1%63.7%41.3%93.9%25.0%-6.1%137.6K-3.2M-12.0K0.14109.62N/AN/A2235,418589
2020-09-15$21.07$25.0093.8%26.9%69.1%44.3%83.2%18.8%4.0%109.0K-2.6M-10.9K0.21115.35N/AN/A230495,439590
2020-09-16$21.51$25.00111.4%31.9%69.8%52.8%96.7%-10.2%-43.1%98.4K-2.5M-11.0K3.00116.29N/AN/A265,049634
2020-09-17$22.15$25.00121.6%34.9%70.2%57.7%94.0%-7.3%-30.9%67.1K-2.8M-11.2K1.31104.95N/AN/A32425,050637
2020-09-18$22.06$25.00128.9%37.0%70.1%61.3%97.4%-17.3%-39.1%94.1K-3.0M-11.7K2.21111.10N/AN/A24535,047680
2020-09-21$19.36$25.00110.4%31.6%82.9%52.3%98.6%-2.5%-48.1%65.2K-1.2M-7.0K1.07114.63N/AN/A69744,709446
2020-09-22$18.60$22.50103.8%29.8%80.7%49.1%101.0%-3.0%-5.1%58.9K-1.0M-6.9K1.59112.81N/AN/A29464,747518
2020-09-23$17.85$22.50104.6%30.0%78.6%49.5%94.9%23.4%-17.2%36.8K-157.7K-4.2K3.65118.25N/AN/A20734,762559
2020-09-24$17.60$22.50107.9%30.9%78.5%51.1%92.0%10.0%-15.8%31.8K-64.0K-4.0K0.53119.56N/AN/A30164,782632
2020-09-25$17.44$22.50121.2%34.7%77.8%57.5%133.4%-36.7%-3.7%51.1K-1.9M-8.4K6.67124.76N/AN/A3204,799656
2020-09-28$17.64$22.5095.5%27.4%78.2%45.2%82.5%0.3%-7.6%19.9K202.6K-3.1K0.03118.24N/AN/A3114,799672
2020-09-29$17.41$22.50113.9%32.6%70.8%54.0%76.0%-14.4%-22.5%35.3K-206.1K-4.4K0.00114.85N/AN/A6504,818673
2020-09-30$17.11$20.00113.0%32.4%70.2%53.6%84.4%-17.9%-63.5%17.5K236.2K-2.9K5.38109.97N/AN/A8434,881673