RWO Options History — December 2015

In December 2015, RWO traded between $45.72 and $47.69. ATM implied volatility averaged 101.6%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 85.8% (HV 20d: 15.8%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2015-12-02: Highest Volume — 14 contracts
  • 2015-12-18: Largest IV spike — 484.7% change
  • 2015-12-01: Highest IV Rank — 100.0%
  • 2015-12-31: Largest Expected Move — 39.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.70$45.72$47.69$47.69$46.94
Max Pain$48.00$48.00$48.00$48.00$48.00
ATM IV101.6%18.2%155.7%122.7%139.0%
Expected Move26.5%5.2%39.9%35.2%39.9%
HV 20d15.8%13.8%18.0%15.9%14.8%
HV 60d15.0%14.3%15.5%14.5%14.4%
IV Rank65.0%5.6%100.0%100.0%88.4%
IV Percentile91.8%26.6%100.0%100.0%99.2%
Term Structure-31.6%-63.0%1.1%-48.0%-63.0%
VWIV138.2%138.2%138.2%138.2%138.2%
Skew 25d0.3%-50.6%14.7%9.9%3.2%
Skew 10d1.7%-18.1%14.7%9.9%3.2%
Call IV 25d101.4%17.7%145.1%133.9%145.1%
Put IV 25d101.7%18.7%148.3%143.8%148.3%
Bid-Ask Spread %185.09154.69200.00200.00175.43
Gamma HHI0.420.360.550.390.39
Net GEX-1.1K-3.1K512-967-914
Net DEX32.7K23.5K41.5K23.5K26.8K
Net VEX-166-190-143-190-168
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.801.801.801.801.80
Total Volume12.273014014
Total OI24.31820252525

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$47.69$48.00122.7%35.2%15.9%100.0%0.0%9.9%-48.0%-96723.5K-1900.00200.00N/AN/A00520
2015-12-02$46.79$48.00135.5%38.9%17.1%100.0%138.2%2.0%-49.4%-81528.3K-1871.80188.61N/AN/A59520
2015-12-03$46.31$0.00143.3%23.3%17.1%100.0%0.0%7.0%-14.5%-80629.1K-1841.80194.13N/AN/A59520
2015-12-04$47.03$0.00138.6%23.4%18.0%96.5%0.0%2.5%-28.4%-93529.6K-1831.80181.46N/AN/A59520
2015-12-07$46.82$0.00155.7%23.7%15.8%100.0%0.0%-0.3%-23.3%-94726.8K-1790.00200.00N/AN/A00520
2015-12-08$46.72$0.0028.5%5.6%13.9%12.7%0.0%3.6%-5.2%-3.1K35.8K-1711.80154.69N/AN/A59520
2015-12-09$46.40$0.0090.1%25.8%14.0%55.0%0.0%2.1%-19.4%-96929.6K-1741.80175.17N/AN/A59520
2015-12-10$46.06$0.0088.8%25.5%14.2%54.1%0.0%-0.7%-24.9%-86528.8K-1721.80178.92N/AN/A59520
2015-12-11$45.72$0.0091.6%26.3%14.4%56.0%0.0%-5.2%-26.4%-60440.5K-1581.80190.25N/AN/A59520
2015-12-14$45.98$0.0094.5%27.1%14.0%58.0%0.0%3.9%-23.9%-99941.5K-1531.80191.86N/AN/A59520
2015-12-15$46.38$0.0095.9%27.5%13.8%59.0%0.0%1.8%-26.4%-79141.4K-1531.80184.50N/AN/A59520
2015-12-16$47.34$0.0059.2%17.0%15.5%33.7%0.0%-50.6%-31.6%51234.2K-1501.80186.33N/AN/A59520
2015-12-17$46.88$0.0018.2%5.2%15.8%5.6%0.0%-2.3%1.1%-1.5K33.7K-1541.80177.00N/AN/A59520
2015-12-18$46.18$0.00106.5%30.5%16.5%65.7%0.0%2.7%-34.1%-1.2K39.6K-1501.80170.15N/AN/A59520
2015-12-21$46.21$0.00105.7%30.3%16.2%65.0%0.0%2.2%-36.9%-1.3K39.7K-1470.00187.68N/AN/A09020
2015-12-22$46.43$0.00109.5%31.4%16.4%67.7%0.0%-0.9%-36.8%-1.2K41.2K-1440.00192.12N/AN/A09020
2015-12-23$46.90$0.00109.6%31.4%16.7%67.8%0.0%-0.5%-41.6%-1.1K40.3K-1431.80189.50N/AN/A59020
2015-12-24$47.00$0.00114.3%32.8%16.7%71.1%0.0%-2.1%-48.2%-88928.5K-1791.80193.41N/AN/A59520
2015-12-28$47.00$0.0028.0%8.0%16.7%10.8%0.0%14.7%-3.2%-2.5K24.6K-1681.80171.54N/AN/A59520
2015-12-29$47.45$0.00128.2%36.8%17.0%80.8%0.0%6.9%-56.7%-90227.5K-1711.80194.40N/AN/A59520
2015-12-30$47.28$0.00130.5%37.4%16.1%82.4%0.0%6.1%-53.6%-87827.7K-1691.80194.72N/AN/A59520
2015-12-31$46.94$0.00139.0%39.9%14.8%88.4%0.0%3.2%-63.0%-91426.8K-1681.80175.43N/AN/A59520