RWO Options History — April 2013

In April 2013, RWO traded between $45.63 and $47.42. ATM implied volatility averaged 10.7%. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 4.5% (HV 20d: 15.2%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 13 of 17 trading days. Term structure was in contango for 13 of 17 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-04-11: Highest Volume — 22 contracts
  • 2013-04-11: Largest IV spike — 24.4% change
  • 2013-04-18: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.37$45.63$47.42$45.85$47.42
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV10.7%8.5%13.6%9.0%11.6%
Expected Move3.1%2.7%3.9%2.9%3.3%
HV 20d15.2%15.1%15.4%15.4%15.1%
Term Structure0.3%-6.6%2.3%0.7%0.3%
VWIV10.5%10.4%10.6%10.6%10.4%
Skew 25d4.3%1.9%7.0%3.7%7.0%
Skew 10d5.3%2.0%10.7%3.2%8.6%
Call IV 25d8.5%6.3%11.9%7.6%6.3%
Put IV 25d12.8%10.7%17.0%11.3%13.3%
Bid-Ask Spread %86.1863.03111.39111.3963.03
Gamma HHI0.530.440.730.730.48
Net GEX5.4K09.1K08.8K
Net DEX-28.4K-64.9K00-64.9K
Net VEX-168-28800-278
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.88202200
Total OI21.235032032

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-08$45.85$0.009.0%2.9%0.0%0.0%0.0%3.7%0.7%0000.00111.39N/AN/A0000
2013-04-09$45.72$0.008.5%2.8%0.0%0.0%0.0%4.5%0.8%0000.0084.73N/AN/A0000
2013-04-10$46.04$0.008.6%2.8%0.0%0.0%0.0%4.5%0.4%0000.0097.04N/AN/A0000
2013-04-11$46.30$0.0010.7%3.1%0.0%0.0%10.6%3.3%1.1%0000.0087.62N/AN/A22000
2013-04-12$46.62$46.0010.5%3.0%0.0%0.0%10.4%4.0%0.3%6.3K-26.4K-1730.0088.75N/AN/A01220
2013-04-15$45.63$46.0012.3%3.5%0.0%0.0%0.0%6.0%-0.4%4.6K-16.7K-1540.0092.92N/AN/A00221
2013-04-16$46.41$46.0011.6%3.3%0.0%0.0%0.0%4.4%-6.6%5.9K-24.0K-1820.0094.41N/AN/A00221
2013-04-17$45.84$46.0013.2%3.8%0.0%0.0%0.0%4.2%-0.9%4.7K-20.7K-1660.0085.62N/AN/A00221
2013-04-18$45.89$46.0013.6%3.9%0.0%0.0%0.0%5.6%-1.4%4.9K-19.2K-1660.0078.89N/AN/A00221
2013-04-19$46.52$46.0010.5%3.0%0.0%0.0%0.0%5.4%1.0%5.3K-22.3K-1680.0083.85N/AN/A90221
2013-04-22$46.41$46.0011.8%3.4%0.0%0.0%0.0%4.9%1.1%7.9K-40.2K-2430.0084.62N/AN/A00311
2013-04-23$46.57$46.009.5%2.7%0.0%0.0%0.0%4.4%1.6%8.0K-43.2K-2540.0086.12N/AN/A00311
2013-04-24$46.75$46.009.7%2.8%0.0%0.0%0.0%2.9%2.3%8.7K-53.9K-2880.0088.03N/AN/A00311
2013-04-25$46.72$46.0010.4%3.0%0.0%0.0%0.0%2.3%1.1%9.1K-52.3K-2760.0082.48N/AN/A00311
2013-04-26$46.58$46.009.6%2.8%0.0%0.0%0.0%1.9%1.8%8.2K-43.8K-2510.0087.86N/AN/A00311
2013-04-29$47.02$46.0010.4%3.0%15.4%0.0%0.0%4.4%1.5%8.9K-54.5K-2620.0067.70N/AN/A00311
2013-04-30$47.42$46.0011.6%3.3%15.1%0.0%0.0%7.0%0.3%8.8K-64.9K-2780.0063.03N/AN/A00311