RWO Options History — August 2020

In August 2020, RWO traded between $39.80 and $41.19. ATM implied volatility averaged 34.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 20.0% (HV 20d: 14.4%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days.

Notable Days

  • 2020-08-05: Highest Volume — 2 contracts
  • 2020-08-31: Largest IV spike — 101.8% change
  • 2020-08-11: Highest IV Rank — 41.9%
  • 2020-08-31: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.58$39.80$41.19$39.80$40.92
Max Pain$37.14$32.00$38.00$32.00$38.00
ATM IV34.4%18.9%54.2%29.1%44.8%
Expected Move9.0%5.3%12.9%8.4%12.9%
HV 20d14.4%13.1%16.9%16.9%13.7%
HV 60d26.6%22.2%31.0%31.0%22.2%
IV Rank23.9%9.8%41.9%19.1%33.4%
IV Percentile46.7%13.9%86.9%31.3%73.0%
Term Structure-5.6%-20.9%10.2%-10.5%-11.1%
Skew 25d-5.7%-35.6%22.5%-15.0%-35.6%
Skew 10d2.4%-26.8%32.0%-8.1%-13.7%
Call IV 25d35.3%17.8%53.0%46.0%53.0%
Put IV 25d29.6%16.2%45.0%31.0%17.3%
Bid-Ask Spread %162.33120.34183.96124.17181.21
Gamma HHI0.410.250.560.490.51
Net GEX-1.8K-6.9K353-418-1.3K
Net DEX6.2K-4.2K43.5K-3.1K5.5K
Net VEX-108-221-38-50-132
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.1430200
Total OI190.1436624123866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$39.80$32.0029.1%8.4%16.9%19.1%0.0%-15.0%-10.5%-418-3.1K-500.00124.17N/AN/A004234
2020-08-04$40.36$32.0035.9%10.3%15.4%25.2%0.0%-13.4%-20.9%-1.1K6.8K-1760.00120.34N/AN/A004234
2020-08-05$40.35$32.0018.9%5.4%15.4%9.8%0.0%-12.2%5.5%-584-2.6K-550.00124.67N/AN/A024234
2020-08-06$40.42$38.0031.2%5.3%14.5%21.0%0.0%-9.3%5.1%92-4.1K-440.00147.47N/AN/A004236
2020-08-07$40.72$38.0049.3%9.7%14.5%37.4%0.0%-0.9%-5.5%-4.6K18.9K-1820.00179.36N/AN/A004236
2020-08-10$40.97$38.0053.8%9.9%14.3%41.5%0.0%-0.9%-3.0%-4.5K16.2K-1710.00172.90N/AN/A004236
2020-08-11$40.69$38.0054.2%10.0%14.7%41.9%0.0%12.4%-5.9%-3.8K11.4K-1280.00175.01N/AN/A004236
2020-08-12$40.90$38.0028.9%8.3%14.5%18.9%0.0%22.5%-0.0%-1.2K-69-670.00167.28N/AN/A004236
2020-08-13$40.42$38.0036.7%10.5%14.2%26.0%0.0%-6.4%-8.5%-4.6K18.3K-1400.00179.13N/AN/A004236
2020-08-14$40.46$38.0029.4%8.4%14.0%19.4%0.0%-6.8%-7.7%-103-3.5K-390.00138.65N/AN/A004236
2020-08-17$40.78$38.0026.7%7.7%13.1%16.9%0.0%-4.0%-13.6%353-3.7K-380.00143.72N/AN/A004236
2020-08-18$40.58$38.0020.0%5.7%13.3%10.8%0.0%0.2%0.7%-682-2.9K-610.00172.41N/AN/A014236
2020-08-19$39.83$38.0037.3%10.7%14.6%26.5%0.0%-14.8%-8.0%-6.9K43.5K-1720.00181.80N/AN/A004237
2020-08-20$40.38$38.0020.9%6.0%15.0%11.7%0.0%0.5%10.2%-3.1K18.7K-2210.00164.42N/AN/A004237
2020-08-21$40.38$38.0035.4%10.2%14.9%24.8%0.0%-12.7%-4.0%-1.4K11.3K-1880.00169.93N/AN/A004237
2020-08-24$40.80$38.0039.8%11.4%15.1%28.8%0.0%2.6%-7.7%-1.4K11.1K-1900.00176.83N/AN/A00462
2020-08-25$40.79$38.0025.1%7.2%14.1%15.4%0.0%1.7%-8.5%131-3.2K-440.00166.65N/AN/A00462
2020-08-26$40.53$38.0041.0%11.7%13.3%29.9%0.0%1.8%-10.1%-1.0K-1.5K-710.00180.10N/AN/A00462
2020-08-27$40.87$38.0041.8%12.0%13.5%30.6%0.0%-32.3%-9.6%-419-2.9K-480.00183.96N/AN/A00462
2020-08-28$41.19$38.0022.2%6.4%13.5%12.8%0.0%2.9%-4.2%-583-4.2K-440.00158.95N/AN/A00462
2020-08-31$40.92$38.0044.8%12.9%13.7%33.4%0.0%-35.6%-11.1%-1.3K5.5K-1320.00181.21N/AN/A00462