RWO Options History — August 2017

In August 2017, RWO traded between $47.48 and $48.79. ATM implied volatility averaged 12.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.7% (HV 20d: 7.9%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.18.

Notable Days

  • 2017-08-24: Highest Volume — 6 contracts
  • 2017-08-04: Largest IV spike — 41.1% change
  • 2017-08-28: Highest IV Rank — 25.6%
  • 2017-08-28: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.08$47.48$48.79$48.79$48.25
Max Pain$46.73$45.00$47.00$45.00$47.00
ATM IV12.6%9.3%15.4%12.1%14.2%
Expected Move3.6%2.5%4.4%3.5%4.1%
HV 20d7.9%6.5%9.4%9.4%8.7%
HV 60d8.3%7.8%8.7%7.9%8.6%
IV Rank13.6%0.0%25.6%11.1%20.5%
IV Percentile27.5%0.0%70.2%13.9%50.8%
Term Structure-0.6%-2.9%3.0%-2.2%-2.7%
VWIV15.1%11.6%21.1%20.6%21.1%
Skew 25d1.6%-3.0%5.0%0.6%0.7%
Skew 10d0.9%-3.7%4.8%4.8%1.1%
Call IV 25d11.8%8.1%14.6%11.1%14.6%
Put IV 25d13.5%9.3%16.6%11.7%15.3%
Bid-Ask Spread %148.75140.08156.79147.90153.07
Gamma HHI0.490.360.900.900.46
Net GEX1.3K6512.4K6512.4K
Net DEX-9.7K-18.6K-4.2K-4.2K-18.6K
Net VEX-31-63-18-21-60
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.330.330.00
Total Volume4.6093646
Total OI4.6523737

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$48.79$45.0012.1%3.5%9.4%11.1%20.6%0.6%-2.2%651-4.2K-210.33147.90N/AN/A3121
2017-08-02$48.47$45.0010.9%3.1%8.8%5.8%19.1%3.9%3.0%1.0K-7.9K-230.33140.08N/AN/A3131
2017-08-03$48.40$0.009.4%2.9%7.1%0.0%0.0%-0.5%-1.7%985-8.1K-240.33144.90N/AN/A3131
2017-08-04$48.51$0.0013.2%2.5%7.1%16.0%0.0%2.7%1.2%1.1K-8.1K-230.33151.65N/AN/A3131
2017-08-07$48.42$0.0011.7%4.0%6.8%9.5%0.0%4.2%0.3%909-8.0K-210.33143.07N/AN/A3131
2017-08-08$48.14$0.0014.1%3.2%7.1%19.8%0.0%0.6%-1.1%1.1K-7.5K-230.33154.08N/AN/A3131
2017-08-09$48.10$0.0010.8%3.1%6.5%6.1%0.0%1.4%0.9%1.0K-7.2K-220.33155.36N/AN/A3131
2017-08-10$47.75$0.0011.6%3.3%7.2%9.5%0.0%2.2%0.6%943-6.2K-220.33156.79N/AN/A3131
2017-08-11$47.48$0.0010.3%2.9%6.5%3.7%0.0%-1.1%0.1%936-5.4K-210.33152.00N/AN/A3131
2017-08-14$48.11$0.009.3%2.7%7.9%0.0%15.4%5.0%2.2%1.0K-6.7K-180.25148.43N/AN/A4131
2017-08-15$47.94$47.0012.2%3.5%8.0%12.1%13.3%2.0%-1.0%1.6K-10.1K-240.25148.15N/AN/A4141
2017-08-16$48.16$47.0012.8%3.7%7.8%14.9%14.0%1.2%-2.0%1.5K-11.1K-240.25149.66N/AN/A4141
2017-08-17$47.91$47.0014.1%4.0%8.0%20.1%11.6%1.6%-0.6%1.6K-10.4K-230.25140.26N/AN/A4141
2017-08-18$47.69$47.0014.1%4.1%8.1%20.3%13.4%1.6%-0.6%1.4K-13.6K-270.25148.24N/AN/A4151
2017-08-21$47.97$47.0012.2%3.5%8.4%12.3%11.8%4.3%-1.4%1.7K-9.6K-250.00143.09N/AN/A3040
2017-08-22$47.92$47.0014.0%4.0%8.4%19.5%13.2%1.7%-2.9%1.1K-6.8K-220.00148.56N/AN/A3030
2017-08-23$48.17$47.0012.8%3.7%8.2%14.7%15.9%4.3%-1.3%1.2K-7.2K-220.00149.73N/AN/A3030
2017-08-24$47.98$47.0014.3%4.1%8.3%21.0%14.8%-3.0%-1.9%1.2K-7.2K-220.00143.20N/AN/A6030
2017-08-25$48.16$47.0012.4%3.6%8.4%13.1%14.6%4.5%0.9%1.5K-12.0K-570.00154.25N/AN/A6060
2017-08-28$47.85$47.0015.4%4.4%8.7%25.6%15.4%-0.9%-2.7%2.0K-14.2K-560.00146.22N/AN/A6070
2017-08-29$47.79$47.0013.9%4.0%8.5%19.3%15.3%-0.4%0.3%1.9K-16.3K-630.00155.10N/AN/A6070
2017-08-30$47.91$47.0013.7%3.9%8.3%18.4%12.9%1.2%0.1%1.8K-16.2K-600.00147.53N/AN/A6070
2017-08-31$48.25$47.0014.2%4.1%8.7%20.5%21.1%0.7%-2.7%2.4K-18.6K-600.00153.07N/AN/A6070