RDVI Options History — September 2023

In September 2023, RDVI traded between $20.91 and $22.16. ATM implied volatility averaged 30.5%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 18.4% (HV 20d: 12.0%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.

Notable Days

  • 2023-09-18: Largest IV spike — 63.9% change
  • 2023-09-25: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.54$20.91$22.16$22.16$21.05
ATM IV30.5%17.4%53.3%28.1%22.9%
Expected Move6.9%5.0%10.2%8.1%6.6%
HV 20d12.0%10.6%12.8%12.6%11.6%
HV 60d12.4%12.2%12.6%12.5%12.2%
Term Structure-6.1%-21.4%11.4%-12.9%-17.1%
Skew 25d1.5%-12.8%20.2%-0.3%0.0%
Skew 10d0.9%-12.7%20.4%0.8%1.5%
Call IV 25d21.6%9.3%30.5%27.4%22.2%
Put IV 25d23.1%15.7%36.7%27.1%22.2%
Bid-Ask Spread %131.67116.49137.78137.74133.65
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$22.16$0.0028.1%8.1%12.6%0.0%0.0%-0.3%-12.9%0000.00137.74N/AN/A0000
2023-09-05$22.04$0.0040.4%5.8%12.4%0.0%0.0%0.1%-7.2%0000.00130.10N/AN/A0000
2023-09-06$21.87$0.0029.9%5.3%12.6%0.0%0.0%0.3%-2.9%0000.00134.66N/AN/A0000
2023-09-07$21.72$0.0039.4%5.7%12.7%0.0%0.0%12.9%5.8%0000.00137.44N/AN/A0000
2023-09-08$21.76$0.0042.2%5.9%12.6%0.0%0.0%0.2%-9.9%0000.00131.47N/AN/A0000
2023-09-11$21.66$0.0046.0%5.5%12.5%0.0%0.0%-0.2%-6.7%0000.00119.16N/AN/A0000
2023-09-12$21.80$0.0053.3%6.2%12.8%0.0%0.0%4.6%2.1%0000.00135.59N/AN/A0000
2023-09-13$21.66$0.0026.6%7.6%11.4%0.0%0.0%-0.1%-6.4%0000.00137.68N/AN/A0000
2023-09-14$21.91$0.0020.3%5.8%12.1%0.0%0.0%20.2%11.4%0000.00128.34N/AN/A0000
2023-09-15$21.71$0.0018.9%5.4%12.5%0.0%0.0%-12.8%-2.2%0000.00116.49N/AN/A0000
2023-09-18$21.70$0.0031.0%8.9%12.5%0.0%0.0%8.8%-6.5%0000.00122.74N/AN/A0000
2023-09-19$21.70$0.0021.1%6.0%12.5%0.0%0.0%-0.1%-3.4%0000.00136.75N/AN/A0000
2023-09-20$21.57$0.0028.5%8.2%10.6%0.0%0.0%-1.3%-7.8%0000.00134.69N/AN/A0000
2023-09-21$21.30$0.0029.8%8.5%11.3%0.0%0.0%1.5%-6.6%0000.00137.78N/AN/A0000
2023-09-22$21.06$0.0023.6%6.8%11.8%0.0%0.0%-1.9%-7.6%0000.00134.23N/AN/A0000
2023-09-25$21.13$0.0035.6%10.2%11.9%0.0%0.0%-0.5%-21.4%0000.00135.71N/AN/A0000
2023-09-26$20.91$0.0017.4%5.0%12.0%0.0%0.0%-1.4%-1.4%0000.00131.50N/AN/A0000
2023-09-27$20.94$0.0027.3%7.8%11.0%0.0%0.0%0.5%-5.3%0000.00129.97N/AN/A0000
2023-09-28$21.12$0.0027.6%7.9%11.6%0.0%0.0%-0.6%-15.8%0000.00127.71N/AN/A0000
2023-09-29$21.05$0.0022.9%6.6%11.6%0.0%0.0%0.0%-17.1%0000.00133.65N/AN/A0000