RWO Options History — August 2014

In August 2014, RWO traded between $45.89 and $47.73. ATM implied volatility averaged 9.4%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.0% (HV 20d: 9.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-08-14: Highest Volume — 3 contracts
  • 2014-08-22: Largest IV spike — 29.5% change
  • 2014-08-12: Highest IV Rank — 5.3%
  • 2014-08-08: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.02$45.89$47.73$46.42$47.62
ATM IV9.4%7.1%14.0%10.1%7.7%
Expected Move3.2%2.6%3.7%3.7%2.7%
HV 20d9.4%8.1%10.5%8.1%8.1%
HV 60d7.9%7.4%8.3%7.4%7.7%
IV Rank2.1%0.5%5.3%2.6%0.9%
IV Percentile11.9%0.8%35.7%12.7%6.0%
Term Structure0.4%-1.0%2.4%2.4%-1.0%
Skew 25d1.7%0.6%4.5%2.0%1.3%
Skew 10d1.7%-0.4%4.0%3.3%2.2%
Call IV 25d8.8%7.3%9.6%9.6%9.2%
Put IV 25d10.5%8.9%13.5%11.7%10.5%
Bid-Ask Spread %125.42120.82130.03123.05130.03
Gamma HHI0.590.501.001.000.50
Net GEX1.4K5191.8K5661.6K
Net DEX-10.4K-17.3K-3.2K-3.3K-14.7K
Net VEX-33-48-18-19-43
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2380300
Total OI9.714517135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$46.42$0.0010.1%3.7%8.1%2.6%0.0%2.0%2.4%566-3.3K-190.00123.05N/AN/A00211
2014-08-04$46.63$0.009.3%3.4%8.2%2.0%0.0%2.0%2.1%582-3.6K-200.00123.12N/AN/A00211
2014-08-05$46.16$0.0011.3%3.7%9.0%3.4%0.0%3.7%0.2%519-3.2K-180.00124.01N/AN/A10211
2014-08-06$45.97$0.009.9%3.6%9.0%2.4%0.0%4.5%0.1%1.4K-5.2K-200.00125.75N/AN/A00311
2014-08-07$45.89$0.009.5%3.4%8.9%2.2%0.0%2.9%1.2%1.4K-4.8K-200.00123.65N/AN/A00311
2014-08-08$46.20$0.0010.4%3.7%9.3%2.8%0.0%1.2%0.4%1.4K-5.8K-200.00120.82N/AN/A00311
2014-08-11$46.51$0.0012.3%3.2%9.5%4.1%0.0%0.6%1.9%1.4K-6.7K-200.00122.74N/AN/A00311
2014-08-12$46.48$0.0014.0%3.7%9.5%5.3%0.0%1.9%0.7%1.5K-6.7K-200.00124.18N/AN/A00311
2014-08-13$47.07$0.0011.7%3.5%10.5%3.7%0.0%1.0%0.7%1.1K-8.5K-200.00122.87N/AN/A00311
2014-08-14$47.17$0.009.4%3.4%10.3%2.1%0.0%1.4%0.7%988-8.8K-200.00123.98N/AN/A30311
2014-08-15$47.14$0.009.7%3.3%9.7%2.3%0.0%1.1%0.7%1.8K-17.3K-480.00122.78N/AN/A10611
2014-08-18$47.51$0.007.5%2.7%10.1%0.7%0.0%1.6%0.5%1.6K-14.3K-460.00127.04N/AN/A0050
2014-08-19$47.67$0.007.1%2.9%10.0%0.5%0.0%1.5%-0.6%1.5K-14.7K-460.00124.81N/AN/A0050
2014-08-20$47.68$0.007.3%2.9%10.0%0.6%0.0%1.7%-0.7%1.6K-14.5K-460.00129.07N/AN/A0050
2014-08-21$47.73$0.007.5%2.8%10.0%0.7%0.0%1.0%-0.7%1.5K-14.9K-440.00129.18N/AN/A0050
2014-08-22$47.44$0.009.7%3.4%9.9%2.3%0.0%1.7%0.4%1.7K-14.2K-450.00126.74N/AN/A0050
2014-08-25$47.50$0.009.6%3.4%9.7%2.3%0.0%1.3%0.6%1.7K-14.5K-440.00126.75N/AN/A0050
2014-08-26$47.53$0.007.5%2.6%9.6%0.8%0.0%1.1%-1.0%1.6K-14.3K-440.00127.96N/AN/A0050
2014-08-27$47.62$0.007.9%2.7%9.6%1.0%0.0%0.9%-0.9%1.6K-14.6K-440.00128.17N/AN/A0050
2014-08-28$47.51$0.008.1%2.7%8.2%1.2%0.0%1.4%-0.2%1.8K-14.5K-430.00127.10N/AN/A0050
2014-08-29$47.62$0.007.7%2.7%8.1%0.9%0.0%1.3%-1.0%1.6K-14.7K-430.00130.03N/AN/A0050