RWO Options History — September 2013

Name: RWO Options Analytics - September 2013
Creator: Options Analysis Suite

In September 2013, RWO traded between $40.14 and $43.70. ATM implied volatility averaged 16.6%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 15.9%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 13.40.

Notable Days

2013-09-20: Highest Volume — 136 contracts
2013-09-18: Largest IV drop — 29.8% change
2013-09-03: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.99	$40.14	$43.70	$40.16	$42.30
Max Pain	$39.80	$38.00	$42.00	$42.00	$42.00
ATM IV	16.6%	12.6%	22.1%	22.1%	15.7%
Expected Move	4.9%	3.6%	6.3%	6.3%	4.5%
HV 20d	15.9%	13.4%	17.7%	13.4%	17.1%
HV 60d	16.8%	15.1%	19.0%	19.0%	15.4%
Term Structure	1.0%	-1.3%	2.1%	-0.2%	0.7%
VWIV	17.2%	16.1%	18.8%	16.1%	18.8%
Skew 25d	3.8%	1.7%	6.7%	6.7%	3.2%
Skew 10d	6.0%	-0.4%	11.8%	11.8%	3.2%
Call IV 25d	15.6%	11.3%	19.5%	17.9%	13.9%
Put IV 25d	19.4%	16.0%	24.6%	24.6%	17.1%
Bid-Ask Spread %	68.75	48.91	115.45	101.01	64.88
Gamma HHI	0.70	0.53	0.85	0.54	0.70
Net GEX	-29.4K	-49.7K	-10.3K	-19.8K	-22.6K
Net DEX	139.8K	-40.5K	303.2K	302.4K	68.0K
Net VEX	-377	-508	-206	-385	-432
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.40	0.00	67.00	0.00	67.00
Total Volume	9.5	0	136	0	0
Total OI	122.65	108	145	122	108

Daily Data (20 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
2013-09-03	$40.16	$42.00	22.1%	6.3%	13.4%	0.0%	0.0%	6.7%	-0.2%	-19.8K	302.4K	-385	0.00	101.01	N/A	N/A	0	0	10	112
2013-09-04	$40.46	$42.00	21.7%	6.2%	13.9%	0.0%	0.0%	3.2%	-1.3%	-21.8K	298.7K	-374	0.00	52.83	N/A	N/A	0	0	10	112
2013-09-05	$40.14	$42.00	20.5%	5.9%	13.9%	0.0%	0.0%	5.0%	0.5%	-20.3K	303.2K	-361	0.00	48.91	N/A	N/A	0	0	10	112
2013-09-06	$40.54	$38.00	16.1%	5.5%	14.4%	0.0%	0.0%	3.8%	1.2%	-24.1K	297.2K	-346	0.00	50.05	N/A	N/A	1	0	10	112
2013-09-09	$41.45	$38.00	19.7%	5.7%	16.7%	0.0%	0.0%	4.4%	0.3%	-36.2K	237.8K	-385	0.00	61.44	N/A	N/A	1	0	11	112
2013-09-10	$41.71	$38.00	14.4%	5.2%	16.7%	0.0%	0.0%	4.1%	1.0%	-42.7K	201.2K	-402	0.00	54.98	N/A	N/A	0	2	12	112
2013-09-11	$41.97	$38.00	13.1%	4.8%	16.7%	0.0%	0.0%	4.1%	1.7%	-49.7K	159.2K	-378	0.00	62.27	N/A	N/A	0	0	12	112
2013-09-12	$41.74	$38.00	16.9%	4.8%	16.8%	0.0%	0.0%	3.7%	1.5%	-47.6K	207.7K	-358	0.00	64.39	N/A	N/A	0	0	12	112
2013-09-13	$41.84	$38.00	16.5%	4.7%	15.9%	0.0%	16.1%	4.4%	2.1%	-49.7K	194.8K	-349	0.00	61.75	N/A	N/A	4	0	12	112
2013-09-16	$42.36	$38.00	17.6%	5.0%	14.6%	0.0%	0.0%	3.8%	1.5%	-32.0K	159.0K	-320	0.00	58.52	N/A	N/A	0	0	16	112
2013-09-17	$42.44	$38.00	17.9%	5.1%	13.7%	0.0%	0.0%	3.3%	0.8%	-47.8K	135.2K	-295	0.00	52.21	N/A	N/A	0	0	16	112
2013-09-18	$43.64	$38.00	12.6%	3.6%	15.8%	0.0%	0.0%	2.8%	0.9%	-32.2K	28.4K	-206	0.00	115.45	N/A	N/A	21	0	15	112
2013-09-19	$43.70	$38.00	15.3%	4.4%	15.0%	0.0%	0.0%	1.7%	1.4%	-10.3K	-40.5K	-274	0.00	109.34	N/A	N/A	0	0	33	112
2013-09-20	$42.77	$38.00	16.7%	4.8%	17.5%	0.0%	16.5%	3.0%	1.2%	-36.2K	-8.2K	-280	67.00	56.57	N/A	N/A	2	134	33	112
2013-09-23	$42.67	$42.00	15.4%	4.4%	17.4%	0.0%	18.8%	2.9%	1.4%	-16.6K	45.1K	-508	0.00	105.73	N/A	N/A	0	25	35	98
2013-09-24	$42.38	$42.00	15.6%	4.5%	17.7%	0.0%	0.0%	4.4%	0.9%	-19.8K	61.9K	-488	0.00	54.27	N/A	N/A	0	0	35	73
2013-09-25	$42.40	$42.00	15.2%	4.4%	17.1%	0.0%	0.0%	4.7%	1.0%	-19.7K	59.8K	-481	0.00	54.20	N/A	N/A	0	0	35	73
2013-09-26	$42.63	$42.00	13.9%	4.0%	17.0%	0.0%	0.0%	2.3%	1.4%	-19.3K	41.9K	-461	0.00	52.87	N/A	N/A	0	0	35	73
2013-09-27	$42.58	$42.00	14.2%	4.1%	17.1%	0.0%	0.0%	4.7%	1.2%	-19.7K	44.1K	-454	0.00	93.22	N/A	N/A	0	0	35	73
2013-09-30	$42.30	$42.00	15.7%	4.5%	17.1%	0.0%	0.0%	3.2%	0.7%	-22.6K	68.0K	-432	0.00	64.88	N/A	N/A	0	0	35	73