RWO Options History — October 2014

In October 2014, RWO traded between $43.83 and $47.65. ATM implied volatility averaged 17.5%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.5% (HV 20d: 12.1%). Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-10-31: Highest Volume — 38 contracts
  • 2014-10-02: Largest IV spike — 466.4% change
  • 2014-10-02: Highest IV Rank — 42.9%
  • 2014-10-15: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.21$43.83$47.65$44.13$47.65
ATM IV17.5%7.8%68.2%12.0%8.0%
Expected Move7.3%6.4%8.7%6.5%8.4%
HV 20d12.1%10.2%13.3%10.6%12.9%
HV 60d10.6%9.6%11.6%9.7%11.6%
IV Rank7.7%1.0%42.9%3.9%1.1%
IV Percentile39.1%7.1%92.5%37.7%8.3%
Term Structure4.6%-29.8%16.6%1.3%0.2%
Skew 25d2.4%-17.3%8.8%2.0%2.3%
Skew 10d1.0%-30.4%8.5%0.3%1.7%
Call IV 25d13.6%8.7%93.3%10.0%8.9%
Put IV 25d16.0%10.5%76.0%12.0%11.2%
Bid-Ask Spread %168.30141.16191.84179.40143.33
Gamma HHI0.450.330.620.410.33
Net GEX4.5K-31513.7K-1111.4K
Net DEX-19.4K-96.8K20.7K19.1K-96.8K
Net VEX-174-256-134-155-135
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.002.002.000.36
Total Volume15.261038038
Total OI23.56515351535

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$44.13$0.0012.0%6.5%10.6%3.9%0.0%2.0%1.3%-11119.1K-1550.00179.40N/AN/A00510
2014-10-02$44.05$0.0068.2%6.6%10.6%42.9%0.0%-17.3%-29.8%-5318.2K-1580.00176.79N/AN/A00510
2014-10-03$44.12$0.0011.3%6.6%10.2%3.4%0.0%2.3%1.6%-9818.8K-1550.00177.33N/AN/A00510
2014-10-06$44.21$0.0010.5%6.7%10.4%2.8%0.0%4.0%11.0%-4718.6K-1540.00178.12N/AN/A00510
2014-10-07$43.83$0.0011.4%6.7%10.5%3.5%0.0%3.3%12.2%-31520.7K-1460.00176.95N/AN/A00510
2014-10-08$44.65$0.0013.7%6.9%13.0%5.1%0.0%3.8%15.6%24618.9K-1502.00165.22N/AN/A510510
2014-10-09$44.40$0.0048.6%6.7%13.1%29.3%0.0%-4.3%14.6%-21414.3K-1630.00179.40N/AN/A00510
2014-10-10$44.33$0.0051.4%6.8%11.5%31.3%0.0%2.4%14.5%-2316.2K-1590.00179.40N/AN/A00510
2014-10-13$44.27$0.0014.9%6.8%11.4%5.9%0.0%4.2%8.2%3018.7K-1520.00179.40N/AN/A00510
2014-10-14$44.93$0.0013.7%8.3%12.6%5.0%0.0%7.1%16.6%59716.5K-1532.00145.10N/AN/A510510
2014-10-15$44.48$0.0020.3%8.7%13.0%9.7%0.0%8.8%11.0%16416.0K-1542.00142.56N/AN/A510510
2014-10-16$44.65$0.0014.5%6.8%13.1%5.6%0.0%6.7%11.0%19417.7K-1520.00176.18N/AN/A00510
2014-10-17$44.86$0.0013.3%6.4%12.8%4.8%0.0%3.8%10.4%32717.3K-1520.00182.73N/AN/A200510
2014-10-20$45.38$0.0012.3%7.1%13.3%4.1%0.0%5.0%0.8%11.4K-36.8K-2560.40171.93N/AN/A25102510
2014-10-21$45.76$0.009.8%8.2%13.1%2.4%0.0%3.4%0.9%13.7K-51.8K-2430.40141.16N/AN/A25102510
2014-10-22$45.66$0.0010.4%8.4%13.2%2.8%0.0%2.1%0.4%12.6K-49.2K-2490.40143.83N/AN/A25102510
2014-10-23$46.06$0.0010.7%7.0%12.6%3.0%0.0%4.2%0.2%12.9K-61.9K-2280.40180.58N/AN/A25102510
2014-10-24$46.14$0.0010.4%8.6%12.1%2.8%0.0%1.7%1.4%13.0K-65.6K-2190.40144.10N/AN/A25102510
2014-10-27$46.33$0.0010.7%6.9%11.8%3.0%0.0%2.4%0.6%12.2K-73.7K-1980.00189.88N/AN/A302510
2014-10-28$46.65$0.007.8%6.8%11.9%1.0%0.0%2.1%0.8%6.8K-79.0K-1340.00191.84N/AN/A002210
2014-10-29$46.43$0.0011.2%7.4%11.9%3.3%0.0%2.4%1.2%10.7K-75.2K-1970.40179.87N/AN/A25102510
2014-10-30$46.84$0.008.4%8.4%12.0%1.4%0.0%2.8%1.8%8.7K-87.4K-1410.40145.91N/AN/A25102510
2014-10-31$47.65$0.008.0%8.4%12.9%1.1%0.0%2.3%0.2%1.4K-96.8K-1350.36143.33N/AN/A28102510