RXRX Options History — November 2022

In November 2022, RXRX traded between $8.29 and $12.92. ATM implied volatility averaged 93.1%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 13.9% (HV 20d: 79.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2022-11-17: Highest Volume — 628 contracts
  • 2022-11-08: Largest IV spike — 113.3% change
  • 2022-11-08: Highest IV Rank — 34.5%
  • 2022-11-29: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.17$8.29$12.92$10.58$9.13
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV93.1%80.1%193.9%86.6%90.9%
Expected Move25.1%23.0%27.9%24.8%26.0%
HV 20d79.2%58.0%101.7%63.1%101.7%
HV 60d82.2%77.0%87.0%87.0%85.9%
IV Rank7.8%4.4%34.5%6.1%7.3%
IV Percentile33.0%6.0%99.6%17.1%41.7%
Term Structure-0.8%-27.3%20.5%20.5%-6.5%
VWIV89.7%81.8%102.2%98.5%97.4%
Skew 25d4.6%-12.6%48.6%17.9%-12.6%
Skew 10d15.6%-11.0%58.5%26.6%32.4%
Call IV 25d90.8%73.7%103.3%99.1%86.8%
Put IV 25d95.4%72.5%137.9%117.0%74.2%
Bid-Ask Spread %91.7074.61120.36101.18108.47
Gamma HHI0.410.280.550.480.30
Net GEX8.6K35424.1K11.1K757
Net DEX-172.5K-860.6K213.8K-323.7K105.8K
Net VEX-2.1K-3.2K-817-2.8K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.102.280.940.10
Total Volume353.81262848222
Total OI2,397.192,2892,6182,2892,507

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$10.58$12.5086.6%24.8%63.1%6.1%98.5%17.9%20.5%11.1K-323.7K-2.8K0.94101.182492331,607682
2022-11-02$10.52$12.5085.8%24.6%63.0%5.9%102.2%14.0%9.2%10.7K-294.5K-2.8K2.28103.101022331,607682
2022-11-03$10.10$12.5096.8%25.6%64.0%8.8%84.1%13.5%4.1%9.1K-190.8K-2.4K2.0487.481142331,611682
2022-11-04$9.57$12.5088.2%23.9%58.6%6.5%83.1%-4.0%8.6%6.1K-62.2K-2.0K2.0174.611162331,628682
2022-11-07$9.47$12.5090.9%26.0%58.0%7.3%89.8%-5.5%-1.8%6.4K-74.4K-1.9K1.9479.411202331,621683
2022-11-08$9.56$12.50193.9%25.6%58.2%34.5%89.8%3.6%4.8%7.4K-125.6K-2.1K2.0082.601142281,621683
2022-11-09$10.21$12.5088.6%25.4%63.4%6.7%81.8%20.4%-2.1%7.9K-116.1K-2.0K2.0083.051142281,621682
2022-11-10$11.08$12.5086.3%24.7%70.2%6.0%81.8%8.3%-1.4%12.6K-289.8K-2.5K1.8884.141212281,621681
2022-11-11$12.54$12.5080.5%23.1%80.8%4.5%82.5%9.6%9.4%21.0K-669.7K-3.1K1.7287.051652841,626681
2022-11-14$12.92$12.5087.4%25.0%80.8%6.3%88.7%15.0%-2.9%24.1K-860.6K-3.2K1.9074.931542931,712679
2022-11-15$11.96$12.5080.8%23.2%85.3%4.6%90.5%-7.9%0.3%22.7K-582.8K-2.9K1.3885.151922651,721700
2022-11-16$11.27$12.5091.9%26.3%81.7%7.5%94.8%-8.1%-2.4%14.2K-365.7K-2.6K1.3892.421922651,724719
2022-11-17$10.91$12.5080.5%23.1%82.2%4.5%91.0%-2.3%4.3%11.3K-250.0K-2.3K1.0990.473013271,724699
2022-11-18$9.77$12.5097.1%27.8%88.4%8.9%90.5%-1.3%-7.1%5.4K-27.4K-1.9K0.9384.133172951,839779
2022-11-21$9.10$12.5090.5%25.9%91.3%7.1%92.2%-1.3%-12.8%2.6K56.4K-1.5K1.2783.622112691,663760
2022-11-22$9.17$12.5088.8%25.5%91.4%6.7%96.4%-3.6%-5.6%2.2K91.8K-1.4K1.3694.431992711,678784
2022-11-23$9.25$12.5080.1%23.0%91.3%4.4%82.2%-1.5%10.8%1.3K61.9K-1.5K1.3892.871972711,686795
2022-11-25$9.34$12.5083.0%23.8%91.0%5.2%83.1%-4.2%-7.8%1.7K34.8K-1.6K1.00112.19111,687796
2022-11-28$8.29$12.5089.2%25.6%97.4%6.8%94.1%48.6%-10.2%1.2K213.8K-8170.00103.960301,687795
2022-11-29$8.79$12.5097.4%27.9%100.3%9.0%97.4%-2.9%-27.3%35445.3K-1.4K1.25120.36451,687819
2022-11-30$9.13$12.5090.9%26.0%101.7%7.3%0.0%-12.6%-6.5%757105.8K-1.3K0.10108.472021,687820