RWO Options History — September 2020 In September 2020, RWO traded between $38.22 and $41.82. ATM implied volatility averaged 28.1%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.2% (HV 20d: 18.9%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days.
Notable Days 2020-09-11 : Largest IV spike — 120.9% change2020-09-08 : Highest IV Rank — 34.4%2020-09-28 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $40.22 $38.22 $41.82 $40.75 $39.35 Max Pain $38.00 $38.00 $38.00 $38.00 $38.00 ATM IV 28.1% 14.2% 46.0% 25.1% 23.6% Expected Move 7.8% 4.1% 11.3% 7.2% 6.8% HV 20d 18.9% 13.0% 26.1% 13.0% 26.1% HV 60d 18.1% 16.1% 21.7% 21.6% 18.8% IV Rank 18.1% 5.6% 34.4% 15.5% 13.7% IV Percentile 26.5% 5.6% 75.4% 17.1% 10.3% Term Structure -2.6% -19.3% 18.6% -8.4% 3.8% Skew 25d 5.7% -17.5% 29.3% 9.0% -17.5% Skew 10d 9.0% -38.3% 37.2% -30.7% 28.8% Call IV 25d 27.8% 12.9% 52.4% 28.6% 40.7% Put IV 25d 33.5% 23.2% 49.4% 37.6% 23.2% Bid-Ask Spread % 155.20 139.76 181.35 146.04 155.61 Gamma HHI 0.38 0.26 0.61 0.32 0.47 Net GEX 10 -1.3K 366 149 306 Net DEX -2.2K -5.6K 5.2K -4.0K -2.3K Net VEX -44 -101 -24 -42 -29 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 65.238 64 66 66 64
Daily Data (21 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 2020-09-01 $40.75 $38.00 25.1% 7.2% 13.0% 15.5% 0.0% 9.0% -8.4% 149 -4.0K -42 0.00 146.04 N/A N/A 0 0 4 62 2020-09-02 $41.49 $38.00 36.0% 10.3% 14.4% 25.4% 0.0% -7.6% -10.9% 103 -4.6K -42 0.00 156.96 N/A N/A 0 0 4 62 2020-09-03 $41.06 $0.00 26.2% 9.5% 15.0% 16.5% 0.0% 18.4% -11.7% -1.3K -1.7K -77 0.00 152.06 N/A N/A 0 0 4 62 2020-09-04 $41.07 $0.00 44.4% 10.1% 14.8% 33.0% 0.0% -11.8% -12.0% -188 -707 -69 0.00 156.48 N/A N/A 0 0 4 62 2020-09-08 $40.71 $0.00 46.0% 9.1% 14.9% 34.4% 0.0% 29.3% -16.7% -79 -3.5K -39 0.00 152.43 N/A N/A 0 0 4 62 2020-09-09 $40.95 $0.00 26.2% 7.5% 14.9% 16.5% 0.0% 11.2% -0.5% 153 -3.2K -41 0.00 152.25 N/A N/A 0 0 4 62 2020-09-10 $40.47 $0.00 14.2% 4.1% 15.4% 5.6% 0.0% 5.8% 8.2% 107 -2.0K -39 0.00 148.97 N/A N/A 0 0 4 62 2020-09-11 $40.22 $0.00 31.5% 9.0% 14.9% 21.3% 0.0% 6.9% -1.9% -4 -2.2K -39 0.00 162.88 N/A N/A 0 0 4 62 2020-09-14 $41.01 $0.00 22.2% 6.4% 16.5% 12.8% 0.0% -7.5% -7.2% 316 -4.2K -36 0.00 152.28 N/A N/A 0 0 4 62 2020-09-15 $41.32 $0.00 26.2% 7.5% 16.5% 16.4% 0.0% 10.2% -11.2% 231 -4.3K -37 0.00 143.75 N/A N/A 0 0 4 62 2020-09-16 $41.82 $0.00 36.7% 10.5% 16.8% 26.0% 0.0% 18.6% -13.6% 210 -5.6K -38 0.00 181.35 N/A N/A 0 0 4 62 2020-09-17 $41.33 $0.00 23.6% 6.8% 15.9% 14.1% 0.0% 2.5% 7.1% 159 -4.3K -36 0.00 173.27 N/A N/A 0 0 4 62 2020-09-18 $40.57 $0.00 19.6% 5.6% 16.8% 10.5% 0.0% 11.4% 18.6% 366 -4.1K -35 0.00 171.01 N/A N/A 0 0 4 62 2020-09-21 $38.86 $0.00 30.9% 8.9% 22.8% 20.7% 0.0% -6.4% -5.1% -254 787 -60 0.00 153.42 N/A N/A 0 0 4 60 2020-09-22 $39.20 $0.00 25.8% 7.4% 22.6% 16.1% 0.0% 10.8% 7.6% -86 -148 -49 0.00 159.85 N/A N/A 0 0 4 60 2020-09-23 $38.22 $0.00 23.3% 6.7% 24.1% 13.8% 0.0% 7.4% 7.3% -756 5.2K -101 0.00 145.86 N/A N/A 0 0 4 60 2020-09-24 $38.34 $0.00 19.2% 5.5% 24.2% 10.1% 0.0% 19.2% -2.0% 207 -707 -25 0.00 142.47 N/A N/A 0 0 4 60 2020-09-25 $38.77 $0.00 25.4% 7.3% 24.4% 15.7% 0.0% 13.8% 13.8% 18 -1.4K -28 0.00 157.49 N/A N/A 0 0 4 60 2020-09-28 $39.73 $0.00 39.2% 11.3% 26.0% 28.0% 0.0% 8.1% -19.3% 318 -2.0K -28 0.00 154.98 N/A N/A 0 0 4 60 2020-09-29 $39.29 $0.00 23.8% 6.8% 26.1% 13.9% 0.0% -12.2% -1.1% 225 -736 -24 0.00 139.76 N/A N/A 0 0 4 60 2020-09-30 $39.35 $0.00 23.6% 6.8% 26.1% 13.7% 0.0% -17.5% 3.8% 306 -2.3K -29 0.00 155.61 N/A N/A 0 0 4 60
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