RXRX Options History — September 2022

In September 2022, RXRX traded between $9.94 and $13.49. ATM implied volatility averaged 89.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 1.5% (HV 20d: 91.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2022-09-07: Highest Volume — 615 contracts
  • 2022-09-14: Largest IV spike — 27.7% change
  • 2022-09-14: Highest IV Rank — 10.4%
  • 2022-09-14: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.41$9.94$13.49$10.78$10.63
Max Pain$10.24$10.00$12.50$12.50$10.00
ATM IV89.6%63.4%102.7%86.7%93.9%
Expected Move26.4%24.4%29.5%24.8%26.9%
HV 20d91.1%79.1%105.2%102.7%94.2%
HV 60d88.7%84.7%96.2%95.2%90.0%
IV Rank6.7%0.0%10.4%5.1%8.1%
IV Percentile38.0%0.0%74.6%18.3%48.4%
Term Structure-4.1%-48.1%12.5%2.2%0.4%
VWIV90.8%66.4%116.4%89.7%96.3%
Skew 25d8.0%-9.2%23.2%-3.5%5.0%
Skew 10d19.1%-15.3%201.5%-1.2%-1.0%
Call IV 25d86.7%71.8%97.0%91.3%96.3%
Put IV 25d94.6%74.8%116.0%87.9%101.3%
Bid-Ask Spread %90.9561.26108.5498.1168.80
Gamma HHI0.400.340.490.430.39
Net GEX9.3K-5.9K27.7K-2.6K9.0K
Net DEX-409.6K-997.8K131.4K-44.0K-359.1K
Net VEX-3.0K-3.7K-2.4K-3.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.003.290.110.26
Total Volume241.9051661530399
Total OI2,349.7621,2892,9322,9132,059

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$10.78$12.5086.7%24.8%102.7%5.1%89.7%-3.5%2.2%-2.6K-44.0K-3.1K0.1198.112731,5361,377
2022-09-02$10.20$12.5085.2%24.4%104.0%4.7%66.4%20.7%5.4%-5.9K131.4K-2.9K0.0092.231801,5491,379
2022-09-06$10.89$10.0096.9%25.7%104.2%7.8%87.1%4.9%-11.8%506-144.8K-3.0K0.4291.892841181,5311,379
2022-09-07$12.05$10.0082.7%25.9%105.2%4.0%70.2%19.4%12.5%11.4K-487.9K-2.9K0.9692.513133021,4851,381
2022-09-08$12.86$10.0082.3%25.3%100.8%3.9%79.0%9.5%-10.1%21.9K-745.8K-2.9K1.0397.3370721,5071,287
2022-09-09$13.19$10.0063.4%24.8%93.4%0.0%89.7%-9.2%-3.4%25.8K-822.6K-2.7K0.22108.54103231,5021,290
2022-09-12$13.49$10.0068.8%24.9%90.0%1.4%84.9%-8.0%-2.3%26.0K-990.4K-2.6K0.0588.7515881,5411,279
2022-09-13$13.38$10.0080.4%25.3%86.9%4.5%85.4%10.7%-3.7%27.7K-997.8K-3.1K0.6591.012191421,6511,281
2022-09-14$12.64$10.00102.7%29.5%88.1%10.4%90.8%21.9%-3.1%13.6K-802.0K-2.9K0.3698.34115411,6091,281
2022-09-15$11.69$10.0087.8%25.2%86.8%6.5%116.4%17.3%-48.1%3.2K-388.8K-2.4K3.29106.1317561,6311,280
2022-09-16$10.77$10.0097.4%27.9%90.2%9.0%99.5%16.1%-13.0%3.2K-172.0K-2.5K1.1789.641742031,6251,282
2022-09-19$10.55$10.0094.7%27.2%84.3%8.3%88.9%-1.5%-10.1%3.0K-159.4K-2.4K0.0495.7628812758531
2022-09-20$10.98$10.0099.8%28.6%84.8%9.6%94.4%3.5%-0.7%5.9K-313.2K-3.1K0.7593.1924181,040532
2022-09-21$10.86$10.0094.2%27.0%84.4%8.1%81.7%7.7%-4.9%6.0K-281.1K-2.9K0.48105.8921101,055546
2022-09-22$10.72$10.0097.0%27.8%79.5%8.9%96.9%-3.0%0.9%5.9K-268.8K-2.9K0.0195.3215021,069536
2022-09-23$10.78$10.0097.7%28.0%79.1%9.1%96.2%-0.3%-16.5%7.3K-291.9K-3.1K1.0082.99881,210536
2022-09-26$9.94$10.0097.9%28.1%82.9%9.1%102.9%23.2%-1.1%6.0K-167.3K-2.7K0.5676.782511411,248534
2022-09-27$10.72$10.0088.8%25.4%86.4%6.7%95.9%16.5%3.6%8.2K-393.4K-3.5K0.4685.613051411,377619
2022-09-28$11.66$10.0087.2%25.0%90.8%6.3%93.1%-3.0%6.8%10.8K-538.0K-3.7K0.2761.26318861,384619
2022-09-29$10.80$10.0096.2%27.6%94.4%8.7%101.5%19.0%9.7%9.1K-365.3K-3.4K0.2589.95346861,402627
2022-09-30$10.63$10.0093.9%26.9%94.2%8.1%96.3%5.0%0.4%9.0K-359.1K-3.4K0.2668.80317821,432627