RWO Options History — May 2017

In May 2017, RWO traded between $47.11 and $48.07. ATM implied volatility averaged 13.2%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.3% (HV 20d: 7.9%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-05-01: Highest Volume — 70 contracts
  • 2017-05-09: Largest IV spike — 46.5% change
  • 2017-05-09: Highest IV Rank — 4.8%
  • 2017-05-30: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.53$47.11$48.07$47.62$47.72
Max Pain$45.86$45.00$46.00$45.00$46.00
ATM IV13.2%9.7%16.7%12.6%12.1%
Expected Move3.8%3.1%4.6%3.6%3.5%
HV 20d7.9%7.1%8.6%7.3%7.1%
HV 60d8.8%8.6%8.9%8.7%8.6%
IV Rank2.3%0.0%4.8%1.3%1.6%
IV Percentile28.8%0.0%73.0%12.3%11.1%
Term Structure-1.8%-6.0%1.2%0.5%-0.7%
VWIV14.5%10.0%18.2%15.8%11.6%
Skew 25d2.7%-2.9%7.2%-2.9%3.2%
Skew 10d0.2%-5.4%7.5%-5.0%-0.9%
Call IV 25d12.7%10.7%16.5%14.4%14.0%
Put IV 25d15.4%10.4%18.7%11.4%17.2%
Bid-Ask Spread %145.37128.46162.68140.42147.57
Gamma HHI0.420.320.530.440.49
Net GEX1.0K-4.4K5.3K2.3K-2.6K
Net DEX-78.3K-143.1K-1.8K-115.9K-16.9K
Net VEX-198-313-95-265-95
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.672.600.672.60
Total Volume59.18236707036
Total OI59.18236707036

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$47.62$45.0012.6%3.6%7.3%1.3%15.8%-2.9%0.5%2.3K-115.9K-2650.67140.42N/AN/A42284228
2017-05-02$47.73$45.0014.1%4.1%7.3%2.4%16.9%0.4%-0.5%3.9K-117.6K-2780.67133.19N/AN/A42284228
2017-05-03$47.30$45.0015.6%4.5%8.0%3.4%18.2%1.1%-3.7%4.8K-93.3K-3130.67128.77N/AN/A42284228
2017-05-04$47.19$46.0016.5%3.9%8.0%4.0%16.3%5.4%-0.0%4.8K-101.3K-2850.67138.89N/AN/A42284228
2017-05-05$47.51$46.009.7%3.8%8.3%0.0%15.8%7.0%-1.7%5.1K-109.7K-2720.67138.70N/AN/A42284228
2017-05-08$47.34$46.0011.4%3.6%8.4%1.2%15.6%3.7%-1.4%4.4K-107.7K-2460.67136.28N/AN/A42284228
2017-05-09$47.11$46.0016.7%3.5%8.5%4.8%15.6%2.5%-1.5%5.2K-93.2K-2630.67136.58N/AN/A42284228
2017-05-10$47.47$46.0012.7%3.6%8.6%2.0%15.1%5.4%-1.1%5.0K-103.2K-2580.67140.53N/AN/A42284228
2017-05-11$47.35$46.0015.3%4.4%8.5%3.8%17.4%7.2%-4.8%3.3K-104.2K-2400.67128.46N/AN/A42284228
2017-05-12$47.21$46.0015.6%4.5%8.6%4.0%15.9%4.9%-6.0%4.7K-98.6K-2440.67137.39N/AN/A42284228
2017-05-15$47.36$46.0011.6%3.3%8.4%1.3%14.5%0.6%-4.4%-290-111.9K-1870.67151.90N/AN/A42284228
2017-05-16$47.25$46.0011.8%3.4%7.9%1.5%14.5%0.7%-1.3%1.1K-107.3K-1820.67150.70N/AN/A42284228
2017-05-17$47.34$46.0012.7%3.6%7.8%2.0%13.5%3.6%-0.5%5.3K-110.9K-1940.67158.34N/AN/A42284228
2017-05-18$47.42$46.0012.5%3.6%7.9%1.9%15.0%2.5%-4.1%-469-120.3K-1520.67152.85N/AN/A42284228
2017-05-19$47.64$46.0012.5%3.6%8.1%1.9%13.7%2.7%1.2%-3.6K-143.1K-1530.67162.68N/AN/A42284228
2017-05-22$47.76$46.0012.5%3.6%8.0%1.9%10.6%1.3%-1.2%-3.1K-9.7K-1362.60158.88N/AN/A10261026
2017-05-23$47.70$46.0014.5%4.2%7.7%3.3%10.4%-2.9%-4.2%-4.4K-1.8K-1402.60146.64N/AN/A10261026
2017-05-24$48.03$46.0012.9%3.7%7.9%2.2%10.0%3.7%-2.3%-3.8K-15.6K-1142.60146.37N/AN/A10261026
2017-05-25$48.07$46.0010.9%3.1%7.7%0.8%11.0%3.3%-1.2%-2.2K-20.0K-1022.60157.90N/AN/A10261026
2017-05-26$47.79$46.0010.9%3.1%7.3%0.8%14.4%4.2%0.6%-2.8K-14.0K-1152.60154.51N/AN/A10261026
2017-05-30$47.77$46.0015.9%4.6%7.1%4.2%16.2%2.3%-0.3%-3.6K-7.2K-1152.60150.60N/AN/A10261026
2017-05-31$47.72$46.0012.1%3.5%7.1%1.6%11.6%3.2%-0.7%-2.6K-16.9K-952.60147.57N/AN/A10261026