RWO Options History — October 2015

In October 2015, RWO traded between $45.09 and $48.44. ATM implied volatility averaged 35.6%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 21.1% (HV 20d: 14.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.54.

Notable Days

  • 2015-10-26: Highest Volume — 16 contracts
  • 2015-10-19: Largest IV spike — 197.2% change
  • 2015-10-29: Highest IV Rank — 97.5%
  • 2015-10-29: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.39$45.09$48.44$45.09$47.81
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.6%13.7%57.0%22.3%56.0%
Expected Move9.5%3.9%16.3%6.4%16.1%
HV 20d14.5%12.2%16.7%16.0%12.2%
HV 60d18.1%17.3%18.4%17.3%18.4%
IV Rank55.1%12.2%97.5%24.4%95.7%
IV Percentile75.7%19.8%99.2%65.5%98.4%
Term Structure-1.8%-22.9%16.6%-1.7%-13.0%
VWIV30.3%13.1%50.5%23.5%50.5%
Skew 25d6.5%2.7%11.7%5.4%6.4%
Skew 10d9.7%1.9%17.9%1.9%15.8%
Call IV 25d39.4%14.0%72.7%23.2%72.7%
Put IV 25d45.9%16.7%79.1%28.6%79.1%
Bid-Ask Spread %140.64111.78169.61127.53169.61
Gamma HHI0.430.340.500.380.34
Net GEX-1.4K-4.7K-427-1.6K-937
Net DEX19.0K5.9K40.7K40.7K8.6K
Net VEX-242-263-179-240-259
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.004.504.501.29
Total Volume12.6362161116
Total OI26.86423312331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$45.09$0.0022.3%6.4%16.0%24.4%23.5%5.4%-1.7%-1.6K40.7K-2404.50127.53N/AN/A29320
2015-10-02$45.76$0.0019.3%5.5%16.7%19.5%29.8%11.7%-6.5%-72634.3K-2542.25130.50N/AN/A49520
2015-10-05$46.72$45.0019.2%4.1%16.2%23.0%15.2%2.7%9.0%-1.1K24.5K-2520.00136.22N/AN/A20520
2015-10-06$46.54$45.0021.8%4.6%15.8%28.2%17.3%9.3%11.3%-60822.6K-2582.25116.47N/AN/A49720
2015-10-07$46.77$45.0023.1%4.8%14.8%30.8%17.8%4.7%12.3%-42721.9K-2572.25111.89N/AN/A49720
2015-10-08$47.26$45.0021.9%3.9%15.0%28.4%13.1%5.5%16.6%-82416.4K-2532.25120.25N/AN/A49720
2015-10-09$47.03$45.0025.5%5.8%15.1%35.5%18.3%6.0%9.7%-70118.3K-2502.25111.78N/AN/A49720
2015-10-12$47.27$45.0030.7%4.9%15.0%45.7%15.8%6.2%16.1%-1.0K22.2K-2442.25120.55N/AN/A49620
2015-10-13$46.91$45.0032.8%5.7%15.3%49.8%18.2%3.7%9.3%-85823.7K-2442.25112.81N/AN/A49620
2015-10-14$46.77$45.0014.7%4.2%15.2%14.1%16.3%8.3%12.3%-74225.0K-2492.25121.79N/AN/A49620
2015-10-15$47.48$45.0013.7%3.9%15.9%12.2%13.8%8.7%11.7%-1.6K20.2K-2362.25123.50N/AN/A49620
2015-10-16$47.73$45.0015.6%4.5%14.9%16.0%15.9%7.5%10.2%-98719.7K-2402.25127.72N/AN/A49620
2015-10-19$48.13$45.0046.5%13.3%15.0%76.8%39.7%3.6%-10.2%-2.2K20.2K-2294.50161.29N/AN/A29620
2015-10-20$48.04$45.0050.8%14.6%13.7%85.4%43.7%6.6%-13.3%-1.8K19.5K-2314.50156.13N/AN/A29620
2015-10-21$47.90$45.0047.9%13.7%13.9%79.7%41.1%6.5%-11.6%-2.7K17.4K-2214.50164.75N/AN/A29620
2015-10-22$48.44$45.0049.7%14.3%14.0%83.3%42.8%6.5%-19.2%-4.7K8.0K-1794.50163.88N/AN/A29620
2015-10-23$48.24$45.0052.9%15.2%14.2%89.6%45.8%8.0%-13.6%-1.8K16.7K-2284.50162.68N/AN/A29620
2015-10-26$48.17$45.0050.9%14.6%12.9%85.6%45.7%5.2%-14.3%-1.8K18.8K-2281.29168.39N/AN/A79620
2015-10-27$48.15$45.0056.5%16.2%12.9%96.7%49.7%7.0%-15.2%-8456.7K-2631.29159.93N/AN/A791120
2015-10-28$48.19$45.0055.1%15.8%12.6%93.8%44.1%7.7%-15.8%-1.2K5.9K-2601.29163.67N/AN/A791120
2015-10-29$48.09$45.0057.0%16.3%12.6%97.5%48.3%6.1%-22.9%-9866.1K-2571.29162.63N/AN/A791120
2015-10-30$47.81$45.0056.0%16.1%12.2%95.7%50.5%6.4%-13.0%-9378.6K-2591.29169.61N/AN/A791120