RWO Options History — March 2017

In March 2017, RWO traded between $45.86 and $48.17. ATM implied volatility averaged 16.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 6.9% (HV 20d: 9.9%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.12.

Notable Days

  • 2017-03-10: Highest Volume — 39 contracts
  • 2017-03-15: Largest IV drop — 67.9% change
  • 2017-03-14: Highest IV Rank — 15.6%
  • 2017-03-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.87$45.86$48.17$48.17$47.10
Max Pain$48.00$48.00$48.00$48.00$48.00
ATM IV16.9%10.7%33.4%17.2%13.4%
Expected Move3.9%3.1%5.0%4.9%3.8%
HV 20d9.9%6.8%11.9%6.8%11.3%
HV 60d10.5%9.5%11.1%11.1%9.5%
IV Rank6.2%2.7%15.6%6.5%4.3%
IV Percentile44.3%0.8%81.7%60.3%22.2%
Term Structure-1.1%-4.5%1.7%-4.5%1.7%
VWIV13.4%11.7%15.2%15.2%13.2%
Skew 25d1.1%-3.4%4.8%1.4%0.2%
Skew 10d0.4%-6.3%4.9%4.5%-2.0%
Call IV 25d13.6%11.8%17.2%15.0%13.2%
Put IV 25d14.7%10.2%17.5%16.4%13.4%
Bid-Ask Spread %147.30135.21156.09145.86155.44
Gamma HHI0.490.380.720.620.38
Net GEX8.1K2.2K13.9K3.3K10.4K
Net DEX-66.5K-105.8K-11.7K-28.9K-102.9K
Net VEX-206-269-125-126-204
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.080.250.250.08
Total Volume32.56515391539
Total OI31.52215391539

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$48.17$0.0017.2%4.9%6.8%6.5%0.0%1.4%-4.5%3.3K-28.9K-1260.25145.86N/AN/A123123
2017-03-02$47.75$0.0017.3%5.0%7.3%6.5%0.0%1.3%-1.7%2.2K-24.4K-1320.25155.04N/AN/A123123
2017-03-03$47.68$0.0015.6%4.5%7.1%5.5%0.0%-0.4%-1.6%2.3K-24.1K-1310.19156.09N/AN/A163123
2017-03-06$47.52$48.0016.9%3.8%7.1%6.3%15.2%2.9%-2.0%4.7K-30.3K-1530.19141.12N/AN/A163163
2017-03-07$47.26$48.0019.6%3.2%7.3%7.8%14.1%1.1%-0.1%4.9K-26.4K-1500.19147.84N/AN/A163163
2017-03-08$46.70$48.0021.4%3.7%8.5%8.8%14.0%-0.2%-1.1%4.8K-21.0K-1440.19146.44N/AN/A163163
2017-03-09$46.15$48.0019.2%3.3%8.7%7.6%13.5%1.1%0.2%3.5K-16.2K-1350.19142.75N/AN/A163163
2017-03-10$45.94$48.0023.1%3.3%8.7%9.8%14.0%1.0%-0.2%4.0K-11.7K-1250.08145.45N/AN/A363163
2017-03-13$46.06$48.0028.9%3.5%8.5%13.1%13.9%4.4%-1.2%11.8K-70.5K-2590.08145.79N/AN/A363363
2017-03-14$45.86$48.0033.4%4.0%8.5%15.6%14.7%4.8%-0.9%10.3K-68.9K-2650.08135.21N/AN/A363363
2017-03-15$46.86$48.0010.7%3.1%11.9%2.7%12.8%3.9%1.3%10.5K-85.7K-2560.08148.03N/AN/A363363
2017-03-16$46.97$48.0013.6%3.9%11.9%4.4%11.7%3.5%0.8%8.9K-89.4K-2690.08143.49N/AN/A363363
2017-03-17$46.89$48.0012.3%3.5%11.9%3.7%11.8%1.8%-2.2%11.6K-95.3K-2510.08149.31N/AN/A363363
2017-03-20$46.84$48.0012.1%3.5%11.9%3.5%12.3%-0.6%-0.6%11.3K-93.5K-2460.08155.31N/AN/A363363
2017-03-21$46.66$48.0013.3%3.8%11.4%4.2%13.3%-3.4%0.2%8.8K-85.9K-2600.08148.37N/AN/A363363
2017-03-22$46.57$48.0014.7%4.2%11.4%5.0%13.2%1.1%-1.0%8.6K-85.0K-2580.08142.05N/AN/A363363
2017-03-23$46.86$48.0013.7%3.9%11.4%4.4%13.4%1.8%-2.1%9.7K-90.8K-2500.08148.92N/AN/A363363
2017-03-24$46.92$48.0014.3%4.1%11.4%4.8%12.8%-0.8%-2.5%13.9K-105.8K-2000.08151.12N/AN/A363363
2017-03-27$46.68$48.0015.0%4.3%11.4%5.2%13.9%1.4%-0.9%9.9K-93.1K-2320.08143.17N/AN/A363363
2017-03-28$46.77$48.0014.8%4.2%11.4%5.1%14.1%-1.1%-0.5%9.1K-88.9K-2390.08145.09N/AN/A363363
2017-03-29$46.86$48.0014.1%4.0%11.4%4.7%13.6%1.2%-2.9%12.3K-94.9K-2220.08144.59N/AN/A363363
2017-03-30$46.86$48.0013.1%3.8%11.1%4.1%13.3%-0.1%-2.3%10.3K-95.6K-2260.08151.40N/AN/A363363
2017-03-31$47.10$48.0013.4%3.8%11.3%4.3%13.2%0.2%1.7%10.4K-102.9K-2040.08155.44N/AN/A363363