RWO Options History — June 2014 In June 2014, RWO traded between $46.21 and $47.30. ATM implied volatility averaged 28.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 20.7% (HV 20d: 7.9%). Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-06-23 : Highest Volume — 2 contracts2014-06-09 : Largest IV spike — 262.2% change2014-06-11 : Highest IV Rank — 52.0%2014-06-04 : Largest Expected Move — 17.4%Monthly Statistics Metric Avg Min Max Open Close Price $46.59 $46.21 $47.30 $46.69 $46.65 ATM IV 28.5% 6.4% 81.8% 19.4% 17.8% Expected Move 6.8% 1.8% 17.4% 5.5% 4.8% HV 20d 7.9% 6.9% 8.5% 6.9% 7.8% HV 60d 7.8% 7.2% 8.4% 8.3% 7.2% IV Rank 15.0% 0.0% 52.0% 8.3% 7.9% IV Percentile 48.1% 0.0% 96.4% 55.6% 50.4% Term Structure -3.1% -24.7% 19.9% 19.9% -2.5% Skew 25d 3.7% -25.0% 37.4% 11.9% -1.7% Skew 10d 5.6% -25.0% 37.4% 15.9% 6.9% Call IV 25d 24.1% 7.4% 69.7% 19.7% 20.5% Put IV 25d 27.8% 9.1% 86.4% 31.6% 18.8% Bid-Ask Spread % 152.54 55.03 200.00 171.87 189.17 Gamma HHI 0.81 0.48 1.00 0.81 0.48 Net GEX -280 -725 536 -654 108 Net DEX 2.3K -3.7K 8.0K 5.6K -3.6K Net VEX -29 -51 0 -44 -30 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 0.19 0 2 0 2 Total OI 11.476 11 13 11 13
Daily Data (21 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 2014-06-02 $46.69 $0.00 19.4% 5.5% 6.9% 8.3% 0.0% 11.9% 19.9% -654 5.6K -44 0.00 171.87 N/A N/A 0 0 0 11 2014-06-03 $46.66 $0.00 20.2% 5.8% 7.0% 8.8% 0.0% 2.3% -0.7% -564 3.4K -30 0.00 163.16 N/A N/A 0 0 0 11 2014-06-04 $46.67 $0.00 60.6% 17.4% 6.9% 37.2% 0.0% 16.7% -24.7% -671 6.8K -49 0.00 188.75 N/A N/A 0 0 0 11 2014-06-05 $47.20 $0.00 19.9% 5.7% 7.1% 8.7% 0.0% 3.5% -0.6% -462 2.5K -22 0.00 161.99 N/A N/A 0 0 0 11 2014-06-06 $47.30 $0.00 20.3% 6.0% 7.1% 8.9% 0.0% 3.6% -2.2% -454 2.5K -22 0.00 195.00 N/A N/A 0 0 0 11 2014-06-09 $46.94 $0.00 73.4% 11.6% 7.8% 46.1% 0.0% 6.3% -23.8% -657 6.4K -47 0.00 195.15 N/A N/A 0 0 0 11 2014-06-10 $46.60 $0.00 76.8% 9.6% 8.3% 48.5% 0.0% -25.0% -10.5% -679 6.1K -42 0.00 200.00 N/A N/A 0 0 0 11 2014-06-11 $46.49 $0.00 81.8% 12.1% 8.4% 52.0% 0.0% 3.0% -10.0% -695 7.3K -51 0.00 200.00 N/A N/A 0 0 0 11 2014-06-12 $46.34 $0.00 26.2% 7.5% 8.4% 13.0% 0.0% 2.0% -9.9% -615 3.7K -28 0.00 190.99 N/A N/A 0 0 0 11 2014-06-13 $46.39 $0.00 22.9% 6.6% 8.4% 10.8% 0.0% 3.6% -2.9% -580 3.4K -28 0.00 200.00 N/A N/A 0 0 0 11 2014-06-16 $46.21 $0.00 34.1% 9.8% 8.1% 18.6% 0.0% 37.4% 10.5% -725 7.7K -49 0.00 200.00 N/A N/A 0 0 0 11 2014-06-17 $46.26 $0.00 46.2% 13.2% 8.1% 27.0% 0.0% 0.9% -12.7% -718 8.0K -48 0.00 200.00 N/A N/A 0 0 0 11 2014-06-18 $46.54 $0.00 22.6% 6.5% 8.0% 10.5% 0.0% 2.2% -2.4% -561 3.1K -23 0.00 199.59 N/A N/A 0 0 0 11 2014-06-19 $46.81 $0.00 7.3% 2.1% 8.2% 0.0% 0.0% -0.1% 0.8% 0 0 0 0.00 151.63 N/A N/A 0 0 0 11 2014-06-20 $46.54 $0.00 6.4% 1.8% 8.5% 0.0% 0.0% 2.5% 0.8% -12 16 0 0.00 108.33 N/A N/A 0 0 0 11 2014-06-23 $46.34 $0.00 8.5% 3.5% 8.4% 1.5% 0.0% 2.0% 1.3% 0 0 0 0.00 58.08 N/A N/A 2 0 0 11 2014-06-24 $46.25 $0.00 8.9% 3.5% 8.2% 1.7% 0.0% 1.6% 1.1% 508 -3.2K -22 0.00 61.81 N/A N/A 0 0 2 11 2014-06-25 $46.39 $0.00 9.0% 3.6% 7.8% 1.8% 0.0% 2.3% 1.5% 512 -3.3K -22 0.00 56.57 N/A N/A 0 0 2 11 2014-06-26 $46.44 $0.00 9.8% 3.6% 7.7% 2.4% 0.0% 1.9% 0.8% 494 -3.4K -22 0.00 55.03 N/A N/A 0 0 2 11 2014-06-27 $46.73 $0.00 7.2% 3.4% 7.8% 0.6% 0.0% 1.7% 1.6% 536 -3.7K -23 0.00 56.23 N/A N/A 0 0 2 11 2014-06-30 $46.65 $0.00 17.8% 4.8% 7.8% 7.9% 0.0% -1.7% -2.5% 108 -3.6K -30 0.00 189.17 N/A N/A 0 2 2 11
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