RWO Options History — October 2013 In October 2013, RWO traded between $41.63 and $44.70. ATM implied volatility averaged 13.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 2.3% (HV 20d: 15.8%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2013-10-17 : Highest Volume — 30 contracts2013-10-21 : Largest IV drop — 19.8% change2013-10-08 : Highest IV Rank — 22.2%2013-10-08 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.40 $41.63 $44.70 $42.73 $43.68 Max Pain $38.52 $38.00 $42.00 $42.00 $38.00 ATM IV 13.5% 10.3% 16.3% 14.6% 10.6% Expected Move 3.9% 3.0% 4.8% 4.2% 3.1% HV 20d 15.8% 13.9% 18.0% 17.3% 13.9% HV 60d 15.1% 14.1% 15.5% 15.5% 15.5% IV Rank 15.6% 8.2% 22.2% 19.7% 9.0% IV Percentile 28.4% 8.5% 50.0% 38.9% 12.4% Term Structure 1.9% 0.4% 3.2% 0.7% 3.2% VWIV 17.0% 11.0% 23.1% 23.1% 11.0% Skew 25d 2.9% -0.1% 4.6% 1.8% 2.6% Skew 10d 6.4% 1.3% 11.9% 3.5% 2.0% Call IV 25d 12.3% 9.6% 15.7% 14.8% 9.8% Put IV 25d 15.2% 10.5% 19.2% 16.6% 12.5% Bid-Ask Spread % 66.29 35.63 137.39 55.32 40.60 Gamma HHI 0.58 0.35 0.80 0.67 0.35 Net GEX -8.1K -36.3K 10.1K -20.3K 2.1K Net DEX 4.5K -73.2K 137.7K 30.3K 25.1K Net VEX -363 -517 -142 -406 -456 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.13 0 30 0 0 Total OI 102.304 65 130 108 93
Daily Data (23 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 2013-10-01 $42.73 $42.00 14.6% 4.2% 17.3% 0.0% 0.0% 1.8% 0.7% -20.3K 30.3K -406 0.00 55.32 N/A N/A 0 0 35 73 2013-10-02 $42.63 $42.00 14.2% 4.1% 17.3% 0.0% 0.0% 4.3% 1.0% -21.2K 34.8K -401 0.00 128.65 N/A N/A 0 0 35 73 2013-10-03 $42.11 $42.00 16.3% 4.7% 17.7% 0.0% 0.0% 2.9% 0.4% -24.6K 83.3K -411 0.00 67.96 N/A N/A 0 0 35 73 2013-10-04 $42.13 $38.00 15.0% 4.6% 17.5% 19.7% 0.0% 3.7% 1.8% -27.6K 79.8K -401 0.00 75.52 N/A N/A 0 0 35 73 2013-10-07 $41.98 $38.00 15.6% 4.8% 15.9% 21.2% 0.0% 3.1% 1.1% -30.2K 93.6K -370 0.00 57.46 N/A N/A 0 4 35 73 2013-10-08 $41.63 $38.00 16.0% 4.8% 16.0% 22.2% 0.0% 3.1% 1.3% -31.8K 137.7K -355 0.00 98.21 N/A N/A 0 0 35 77 2013-10-09 $41.90 $38.00 15.7% 4.7% 16.1% 21.5% 23.1% 4.4% 1.8% -36.3K 106.5K -356 0.00 49.54 N/A N/A 0 2 35 77 2013-10-10 $42.89 $38.00 15.5% 4.4% 17.9% 20.9% 0.0% 2.7% 2.0% -25.9K -923 -293 0.00 44.22 N/A N/A 0 0 35 77 2013-10-11 $43.20 $38.00 15.0% 4.3% 18.0% 19.7% 0.0% 3.3% 2.2% -16.1K -41.8K -219 0.00 43.59 N/A N/A 0 0 35 77 2013-10-14 $43.33 $38.00 15.5% 4.4% 17.6% 21.0% 0.0% 3.6% 1.6% 6.3K -67.9K -149 0.00 46.22 N/A N/A 0 0 35 77 2013-10-15 $43.01 $38.00 15.2% 4.4% 17.9% 20.3% 0.0% 4.6% 2.0% -20.8K -53.6K -170 0.00 117.05 N/A N/A 0 0 35 77 2013-10-16 $43.63 $38.00 13.9% 4.0% 15.6% 17.1% 0.0% 3.5% 2.4% 5.0K -73.2K -150 0.00 52.07 N/A N/A 0 0 35 77 2013-10-17 $44.23 $38.00 13.8% 3.9% 16.4% 16.7% 0.0% 4.1% 2.6% 8.0K -71.9K -142 0.00 45.46 N/A N/A 0 30 31 77 2013-10-18 $44.40 $38.00 13.5% 3.9% 14.1% 16.1% 0.0% 3.7% 3.2% 4.4K -21.2K -367 0.00 35.63 N/A N/A 0 0 31 99 2013-10-21 $44.14 $38.00 10.8% 3.1% 14.3% 9.5% 11.0% 2.1% 2.5% 2.9K -11.0K -335 0.00 36.85 N/A N/A 10 0 31 34 2013-10-22 $44.54 $38.00 10.6% 3.0% 14.2% 8.9% 0.0% 2.6% 1.9% 10.1K -54.5K -395 0.00 111.39 N/A N/A 0 26 41 34 2013-10-23 $44.38 $38.00 12.0% 3.4% 14.3% 12.5% 0.0% 2.7% 1.7% 4.4K -17.5K -517 0.00 47.93 N/A N/A 0 0 41 52 2013-10-24 $44.38 $38.00 11.6% 3.3% 14.3% 11.4% 0.0% 2.3% 1.7% 4.6K -20.4K -512 0.00 42.42 N/A N/A 0 0 41 52 2013-10-25 $44.70 $38.00 10.3% 3.0% 14.4% 8.2% 0.0% 1.2% 2.0% 6.9K -37.8K -497 0.00 100.03 N/A N/A 0 0 41 52 2013-10-28 $44.40 $38.00 11.9% 3.4% 14.4% 12.1% 0.0% -0.1% 2.2% 5.8K -17.2K -485 0.00 137.39 N/A N/A 0 0 41 52 2013-10-29 $44.27 $38.00 12.5% 3.6% 14.2% 13.7% 0.0% 2.7% 1.9% 5.0K -10.9K -485 0.00 39.67 N/A N/A 0 0 41 52 2013-10-30 $43.91 $38.00 11.4% 3.3% 14.6% 10.9% 0.0% 2.3% 1.7% 2.9K 11.1K -468 0.00 51.55 N/A N/A 0 0 41 52 2013-10-31 $43.68 $38.00 10.6% 3.1% 13.9% 9.0% 0.0% 2.6% 3.2% 2.1K 25.1K -456 0.00 40.60 N/A N/A 0 0 41 52
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