RWO Options History — March 2020 In March 2020, RWO traded between $29.86 and $50.07. ATM implied volatility averaged 70.8%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 12.5% (HV 20d: 58.3%). Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2020-03-31 : Highest Volume — 7 contracts2020-03-16 : Largest IV spike — 85.5% change2020-03-10 : Highest IV Rank — 100.0%2020-03-19 : Largest Expected Move — 33.9%Monthly Statistics Metric Avg Min Max Open Close Price $39.46 $29.86 $50.07 $48.31 $35.68 ATM IV 70.8% 44.1% 118.2% 50.1% 51.1% Expected Move 18.8% 10.1% 33.9% 14.4% 14.6% HV 20d 58.3% 24.3% 90.5% 24.3% 88.9% HV 60d 36.4% 16.3% 53.9% 16.3% 53.8% IV Rank 67.7% 33.1% 100.0% 59.7% 39.5% IV Percentile 96.2% 86.1% 100.0% 96.4% 90.5% Term Structure -15.1% -27.8% 0.0% -12.8% -19.0% VWIV 58.8% 58.8% 58.8% 58.8% 58.8% Skew 25d 5.0% -23.5% 34.6% 20.1% 17.0% Skew 10d -10.5% -63.2% 19.9% -4.2% -40.5% Call IV 25d 68.6% 30.3% 132.2% 73.0% 43.3% Put IV 25d 73.6% 39.5% 120.7% 93.0% 60.3% Bid-Ask Spread % 160.12 113.89 190.22 189.83 143.20 Gamma HHI 0.96 0.58 1.00 1.00 0.58 Net GEX 10 -19 35 0 -19 Net DEX -164 -823 49 0 49 Net VEX -1 -4 0 0 -2 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.409 0 7 0 7 Total OI 0.545 0 2 0 2
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $48.31 $0.00 50.1% 14.4% 24.3% 59.7% 0.0% 20.1% -12.8% 0 0 0 0.00 189.83 N/A N/A 0 0 0 0 2020-03-03 $48.99 $0.00 52.5% 15.1% 24.9% 63.1% 0.0% 2.9% -19.4% 0 0 0 0.00 190.22 N/A N/A 0 0 0 0 2020-03-04 $50.07 $0.00 48.3% 13.8% 26.3% 57.2% 0.0% 5.6% -11.3% 0 0 0 0.00 186.74 N/A N/A 0 0 0 0 2020-03-05 $49.30 $0.00 56.2% 10.1% 26.7% 68.2% 0.0% 6.5% -3.9% 0 0 0 0.00 188.18 N/A N/A 0 0 0 0 2020-03-06 $48.33 $0.00 59.6% 10.7% 27.2% 73.0% 0.0% -1.3% -7.4% 0 0 0 0.00 183.24 N/A N/A 0 0 0 0 2020-03-09 $45.60 $0.00 55.1% 11.2% 33.3% 66.7% 0.0% 3.6% -1.7% 0 0 0 0.00 175.67 N/A N/A 0 0 0 0 2020-03-10 $45.84 $0.00 96.0% 11.9% 33.3% 100.0% 0.0% 34.6% -10.5% 0 0 0 0.00 168.16 N/A N/A 0 0 0 0 2020-03-11 $44.07 $0.00 44.5% 12.8% 35.0% 42.0% 0.0% 7.8% -3.8% 0 0 0 0.00 154.76 N/A N/A 0 0 0 0 2020-03-12 $39.51 $0.00 62.3% 17.9% 49.5% 62.0% 0.0% 20.9% -12.2% 0 0 0 0.00 158.35 N/A N/A 0 0 0 0 2020-03-13 $40.55 $0.00 53.2% 15.3% 51.3% 51.8% 0.0% 2.2% -10.2% 0 0 0 0.00 161.52 N/A N/A 0 0 0 0 2020-03-16 $35.64 $0.00 98.7% 28.3% 64.9% 100.0% 0.0% -23.5% -23.5% 0 0 0 0.00 154.75 N/A N/A 1 0 0 0 2020-03-17 $35.58 $0.00 104.9% 30.1% 64.8% 100.0% 0.0% 0.1% -23.9% 34 -823 -4 0.00 157.38 N/A N/A 0 0 1 0 2020-03-18 $31.81 $0.00 94.1% 27.0% 72.3% 88.9% 0.0% -12.0% -21.3% 21 -381 -2 0.00 148.24 N/A N/A 0 0 1 0 2020-03-19 $32.09 $0.00 118.2% 33.9% 72.6% 100.0% 0.0% -11.5% -27.8% 23 -555 -3 0.00 151.19 N/A N/A 0 0 1 0 2020-03-20 $31.43 $0.00 82.3% 23.6% 71.9% 67.6% 0.0% -6.7% -18.5% 16 -219 -2 0.00 155.70 N/A N/A 0 0 1 0 2020-03-23 $29.86 $0.00 105.3% 30.2% 72.3% 88.3% 0.0% -7.8% -24.8% 17 -287 -2 0.00 150.97 N/A N/A 0 0 1 0 2020-03-24 $32.56 $0.00 90.9% 26.1% 83.0% 75.4% 0.0% 10.0% -23.8% 24 -374 -2 0.00 162.25 N/A N/A 0 0 1 0 2020-03-25 $35.07 $0.00 91.3% 26.2% 89.8% 75.7% 0.0% 9.3% -27.1% 35 -576 -3 0.00 163.76 N/A N/A 0 0 1 0 2020-03-26 $35.74 $0.00 54.9% 15.7% 90.5% 42.9% 0.0% 8.5% -12.6% 28 -224 -2 0.00 141.68 N/A N/A 0 0 1 0 2020-03-27 $36.17 $0.00 44.1% 12.6% 90.5% 33.1% 0.0% -0.8% 0.0% 28 -186 -1 0.00 122.98 N/A N/A 0 0 1 0 2020-03-30 $36.00 $0.00 45.2% 12.9% 89.5% 34.1% 0.0% 25.2% -17.6% 7 -28 0 0.00 113.89 N/A N/A 0 1 1 0 2020-03-31 $35.68 $0.00 51.1% 14.6% 88.9% 39.5% 58.8% 17.0% -19.0% -19 49 -2 0.00 143.20 N/A N/A 0 7 1 1
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