RWO Options History — February 2014

In February 2014, RWO traded between $40.96 and $43.72. ATM implied volatility averaged 33.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 20.4% (HV 20d: 12.9%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.33.

Notable Days

2014-02-13: Highest Volume — 40 contracts
2014-02-11: Largest IV spike — 887.9% change
2014-02-12: Highest IV Rank — 59.8%
2014-02-25: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.78	$40.96	$43.72	$40.96	$43.72
Max Pain	$43.67	$43.00	$44.00	$44.00	$43.00
ATM IV	33.3%	8.5%	88.5%	41.2%	9.9%
Expected Move	7.9%	2.8%	15.9%	11.8%	2.8%
HV 20d	12.9%	9.6%	14.3%	12.6%	9.6%
HV 60d	11.3%	10.8%	11.6%	11.2%	10.8%
IV Rank	19.3%	1.1%	59.8%	25.1%	2.1%
IV Percentile	58.4%	1.9%	99.1%	93.8%	8.4%
Term Structure	-4.8%	-43.4%	30.6%	-23.2%	-0.8%
VWIV	12.2%	12.2%	12.2%	12.2%	12.2%
Skew 25d	4.9%	1.4%	12.3%	1.8%	1.4%
Skew 10d	6.4%	1.9%	19.4%	4.4%	2.5%
Call IV 25d	34.7%	6.9%	75.3%	72.4%	9.2%
Put IV 25d	39.6%	9.7%	76.7%	74.2%	10.6%
Bid-Ask Spread %	119.24	35.51	197.24	107.18	83.10
Gamma HHI	0.50	0.22	1.00	0.26	0.50
Net GEX	-2.2K	-4.2K	55	-2.9K	55
Net DEX	45.5K	-286	126.9K	126.9K	-286
Net VEX	-152	-315	-96	-162	-102
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.67	0.00	0.00
Total Volume	3.105	0	40	0	0
Total OI	33.526	12	63	47	14

Daily Data (19 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
2014-02-03	$40.96	$44.00	41.2%	11.8%	12.6%	25.1%	0.0%	1.8%	-23.2%	-2.9K	126.9K	-162	0.00	107.18	N/A	N/A	0	0	4	43
2014-02-04	$41.53	$44.00	42.2%	12.1%	13.6%	25.8%	0.0%	2.0%	-25.1%	-3.3K	119.2K	-158	0.00	107.25	N/A	N/A	0	0	4	43
2014-02-05	$41.41	$44.00	43.1%	12.4%	13.5%	26.5%	0.0%	1.4%	30.6%	-3.1K	119.9K	-162	0.00	157.37	N/A	N/A	0	0	4	43
2014-02-06	$41.82	$44.00	10.9%	3.1%	13.8%	2.8%	0.0%	3.6%	1.1%	-2.8K	113.0K	-145	0.00	35.51	N/A	N/A	0	0	4	43
2014-02-07	$42.25	$0.00	10.0%	3.4%	14.3%	2.2%	0.0%	3.5%	0.5%	-4.2K	105.7K	-132	0.00	71.73	N/A	N/A	0	0	4	43
2014-02-10	$42.43	$0.00	8.5%	3.6%	13.9%	1.1%	0.0%	3.6%	-0.1%	-3.4K	107.1K	-130	0.00	87.88	N/A	N/A	15	0	4	43
2014-02-11	$42.78	$0.00	84.4%	8.2%	13.9%	56.8%	0.0%	2.1%	-16.9%	-4.0K	30.9K	-307	0.00	131.63	N/A	N/A	1	0	19	43
2014-02-12	$42.79	$0.00	88.5%	7.6%	13.8%	59.8%	0.0%	10.5%	19.6%	-4.2K	27.8K	-315	0.00	177.56	N/A	N/A	0	0	20	43
2014-02-13	$42.90	$0.00	11.1%	3.2%	13.8%	3.0%	0.0%	2.7%	0.4%	-3.0K	52.9K	-243	1.67	96.56	N/A	N/A	15	25	20	43
2014-02-14	$42.99	$0.00	46.3%	13.3%	13.8%	28.8%	0.0%	7.7%	-17.9%	-1.2K	9.4K	-151	0.00	197.24	N/A	N/A	0	0	5	18
2014-02-18	$43.28	$0.00	49.0%	14.0%	13.9%	30.8%	0.0%	10.8%	-19.5%	-1.2K	8.0K	-138	0.00	195.63	N/A	N/A	1	0	5	18
2014-02-19	$43.31	$0.00	12.0%	3.4%	13.8%	3.7%	0.0%	5.9%	0.2%	-1.5K	7.5K	-106	0.00	97.59	N/A	N/A	0	0	1	18
2014-02-20	$43.40	$0.00	50.6%	14.5%	13.8%	32.0%	0.0%	12.3%	-20.5%	-1.9K	7.1K	-101	0.00	143.12	N/A	N/A	0	0	1	18
2014-02-21	$43.38	$0.00	11.5%	3.3%	13.2%	3.3%	0.0%	5.3%	0.9%	-1.1K	6.9K	-105	0.00	87.53	N/A	N/A	0	0	1	18
2014-02-24	$43.45	$0.00	34.3%	9.8%	11.6%	20.0%	0.0%	3.7%	23.6%	-1.1K	5.7K	-97	0.00	114.77	N/A	N/A	0	0	1	11
2014-02-25	$43.50	$0.00	55.3%	15.9%	11.3%	35.5%	0.0%	10.1%	-43.4%	-870	9.9K	-118	0.00	195.24	N/A	N/A	0	0	1	11
2014-02-26	$43.49	$0.00	12.0%	3.4%	11.1%	3.7%	12.2%	2.2%	-0.6%	-1.1K	6.2K	-96	0.00	90.20	N/A	N/A	2	0	1	11
2014-02-27	$43.49	$43.00	12.7%	3.6%	10.3%	4.2%	0.0%	2.6%	-1.1%	7	1.4K	-111	0.00	88.50	N/A	N/A	0	0	3	11
2014-02-28	$43.72	$43.00	9.9%	2.8%	9.6%	2.1%	0.0%	1.4%	-0.8%	55	-286	-102	0.00	83.10	N/A	N/A	0	0	3	11