RXRX Options History — December 2021

In December 2021, RXRX traded between $16.76 and $20.82. ATM implied volatility averaged 102.9%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 8.9% (HV 20d: 111.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-12-17: Highest Volume — 1,047 contracts
  • 2021-12-15: Largest IV drop — 45.4% change
  • 2021-12-14: Highest IV Rank — 77.5%
  • 2021-12-20: Largest Expected Move — 33.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.30$16.76$20.82$17.77$16.98
Max Pain$18.75$17.50$22.50$20.00$17.50
ATM IV102.9%87.2%159.8%87.9%101.0%
Expected Move27.9%25.0%33.3%25.2%29.0%
HV 20d111.8%87.8%139.9%124.7%87.8%
HV 60d99.6%96.1%101.8%97.5%96.1%
IV Rank30.4%17.3%77.5%29.3%28.7%
IV Percentile74.0%43.1%99.2%81.7%78.0%
Term Structure0.7%-21.1%51.2%13.5%4.8%
VWIV96.2%81.4%111.5%101.0%96.0%
Skew 25d6.4%-25.4%32.5%18.9%1.1%
Skew 10d10.2%-13.1%35.8%31.3%-2.5%
Call IV 25d92.6%81.4%113.5%102.5%91.1%
Put IV 25d99.0%82.0%121.5%121.5%92.2%
Bid-Ask Spread %82.3256.66103.7291.9894.18
Gamma HHI0.250.170.310.220.25
Net GEX27.2K12.1K47.0K20.6K22.8K
Net DEX-1.7M-2.5M-1.3M-1.3M-1.6M
Net VEX-7.3K-8.0K-6.3K-6.8K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.221.310.220.69
Total Volume460.3182911,047508300
Total OI3,558.3642,5824,1183,8083,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$17.77$20.0087.9%25.2%124.7%0.0%101.0%18.9%13.5%20.6K-1.3M-6.8K0.2291.98418903,260548
2021-12-02$19.00$20.00101.3%29.0%127.3%0.0%111.5%27.7%-8.6%30.5K-1.8M-7.8K0.2890.394261183,359562
2021-12-03$17.52$20.00110.4%31.7%130.1%0.0%97.0%9.7%-21.1%22.2K-1.4M-7.1K0.2896.204121163,369559
2021-12-06$18.56$17.50105.8%29.5%131.9%0.0%96.4%-9.1%-16.1%26.9K-1.7M-7.2K0.5170.54193983,380556
2021-12-07$20.82$17.50102.7%26.7%138.3%0.0%93.8%8.8%-10.8%47.0K-2.5M-7.9K0.3457.453131063,391556
2021-12-08$19.64$17.50108.4%29.0%139.9%0.0%97.5%8.6%-16.5%41.5K-2.1M-7.5K0.4161.31240993,428550
2021-12-09$19.13$17.50101.7%28.8%117.1%29.3%98.1%7.1%-10.4%34.4K-1.9M-7.1K0.3759.16267983,446556
2021-12-10$18.95$17.50102.0%25.7%109.0%29.5%90.9%8.2%0.8%26.7K-1.7M-7.1K0.3056.66331983,486557
2021-12-13$19.55$17.50117.5%27.2%109.3%42.4%85.1%18.3%-0.1%29.5K-1.9M-6.9K0.5560.203622003,442555
2021-12-14$18.67$17.50159.8%25.7%110.6%77.5%94.7%1.8%5.4%18.3K-1.6M-6.6K0.3578.302941023,472637
2021-12-15$19.58$17.5087.2%25.0%110.0%17.3%91.0%-1.6%1.9%21.6K-1.8M-6.7K0.7862.132912273,475643
2021-12-16$17.62$22.5095.1%27.3%115.9%23.8%92.4%-25.4%51.2%12.1K-1.3M-6.3K0.4586.013471563,506559
2021-12-17$17.88$20.00100.0%28.7%116.1%27.9%108.7%-17.0%-20.0%17.4K-1.5M-6.4K0.2591.598402073,529545
2021-12-20$19.19$20.00116.1%33.3%118.6%41.2%95.7%-5.7%2.8%32.7K-2.3M-7.9K0.3893.742801062,374208
2021-12-21$18.72$20.0096.8%27.8%105.2%25.2%81.4%16.7%13.5%36.1K-2.2M-8.0K0.4495.712361052,444211
2021-12-22$18.19$20.0093.9%26.9%104.1%22.8%98.9%1.6%16.2%33.3K-2.0M-7.6K0.5788.931991142,442217
2021-12-23$16.76$20.0094.5%27.1%93.1%23.3%90.6%5.9%-3.5%29.0K-1.6M-7.1K1.3183.122873752,522232
2021-12-27$16.83$20.00101.2%29.0%93.1%28.9%104.3%21.1%-4.9%22.9K-1.5M-7.6K0.31103.723641132,589518
2021-12-28$16.99$17.5098.6%28.3%93.2%26.7%96.1%-0.8%-1.2%25.1K-1.6M-7.7K0.7989.572431912,544517
2021-12-29$16.82$17.5091.1%26.1%93.2%20.5%103.9%32.5%17.0%23.6K-1.5M-7.6K0.86102.982422072,583581
2021-12-30$17.35$17.5091.6%26.3%91.2%21.0%90.7%11.6%1.8%24.7K-1.6M-7.8K0.6897.281881282,588598
2021-12-31$16.98$17.50101.0%29.0%87.8%28.7%96.0%1.1%4.8%22.8K-1.6M-7.5K0.6994.181781222,587603