RDVI Options History — November 2023

In November 2023, RDVI traded between $20.23 and $21.66. ATM implied volatility averaged 28.7%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.6% (HV 20d: 18.1%). Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-11-21: Highest Volume — 1 contracts
  • 2023-11-30: Largest IV spike — 55.9% change
  • 2023-11-30: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.09$20.23$21.66$20.23$21.66
ATM IV28.7%19.1%47.5%26.5%41.7%
Expected Move7.5%5.5%11.9%7.6%11.9%
HV 20d18.1%14.7%20.1%14.7%17.7%
HV 60d14.7%12.8%15.3%12.8%15.1%
Term Structure-5.9%-23.1%58.1%-19.9%-14.1%
Skew 25d4.9%-9.6%30.1%7.1%-9.0%
Skew 10d2.5%-12.9%27.2%12.8%0.4%
Call IV 25d22.4%10.0%43.7%26.7%43.7%
Put IV 25d27.3%11.4%40.4%33.9%34.7%
Bid-Ask Spread %133.82123.02141.05134.30138.89
Gamma HHI1.001.001.001.001.00
Net GEX10901
Net DEX-2.6K-4.3K-2.0K-2.0K-2.2K
Net VEX-0-3000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0480100
Total OI1.2381211

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$20.23$0.0026.5%7.6%14.7%0.0%0.0%7.1%-19.9%0-2.0K00.00134.30N/AN/A0010
2023-11-02$20.75$0.0032.4%7.3%17.3%0.0%0.0%4.6%-6.9%3-2.0K-10.00141.05N/AN/A0010
2023-11-03$21.12$0.0034.1%6.8%18.2%0.0%0.0%10.1%-3.2%0-2.1K00.00135.24N/AN/A0010
2023-11-06$20.91$0.0047.5%7.7%18.5%0.0%0.0%4.5%-13.1%3-2.1K00.00134.77N/AN/A0010
2023-11-07$20.82$0.0037.0%6.6%18.3%0.0%0.0%8.5%-1.1%0-2.1K00.00135.18N/AN/A0010
2023-11-08$20.70$0.0019.6%5.6%18.3%0.0%0.0%4.7%-11.9%0-2.1K00.00123.02N/AN/A0010
2023-11-09$20.55$0.0028.4%8.1%18.2%0.0%0.0%3.1%-12.8%0-2.1K00.00134.96N/AN/A0010
2023-11-10$20.76$0.0024.2%6.9%18.6%0.0%0.0%3.4%-8.1%5-2.0K-20.00135.06N/AN/A0010
2023-11-13$20.74$0.0024.8%7.1%17.9%0.0%0.0%8.9%-7.9%1-2.1K00.00139.27N/AN/A0010
2023-11-14$21.29$0.0024.2%6.9%20.1%0.0%0.0%3.6%-6.9%0-2.1K00.00134.36N/AN/A0010
2023-11-15$21.39$0.0033.3%9.6%19.3%0.0%0.0%6.0%-21.9%0-2.1K00.00135.61N/AN/A0010
2023-11-16$21.18$0.0019.9%5.7%19.1%0.0%0.0%1.6%58.1%3-2.1K-10.00130.39N/AN/A0010
2023-11-17$21.39$0.0023.6%6.8%18.0%0.0%0.0%16.1%-4.0%0-2.1K00.00130.48N/AN/A0010
2023-11-20$21.49$0.0025.4%7.3%17.8%0.0%0.0%-0.6%-2.9%2-2.1K-10.00137.00N/AN/A0010
2023-11-21$21.18$0.0031.8%9.1%18.6%0.0%0.0%3.3%-8.8%2-2.1K00.00139.46N/AN/A1010
2023-11-22$21.27$0.0021.0%6.0%18.3%0.0%0.0%-9.6%1.7%0-4.3K00.00131.94N/AN/A0020
2023-11-24$21.34$0.0019.1%5.5%18.3%0.0%0.0%1.4%-19.6%0-4.3K00.00125.69N/AN/A0020
2023-11-27$21.29$0.0029.8%8.5%17.7%0.0%0.0%4.0%-23.1%0-4.3K00.00128.09N/AN/A0020
2023-11-28$21.29$0.0031.4%9.0%17.5%0.0%0.0%0.4%-11.7%0-4.3K00.00134.68N/AN/A0020
2023-11-29$21.44$0.0026.7%7.7%17.5%0.0%0.0%30.1%15.3%9-4.1K-30.00130.72N/AN/A0020
2023-11-30$21.66$0.0041.7%11.9%17.7%0.0%0.0%-9.0%-14.1%1-2.2K00.00138.89N/AN/A0010