RWO Options History — July 2014 In July 2014, RWO traded between $46.54 and $47.52. ATM implied volatility averaged 16.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 10.4% (HV 20d: 6.4%). Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days.
Notable Days 2014-07-28 : Largest IV spike — 661.8% change2014-07-02 : Highest IV Rank — 38.7%2014-07-07 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $47.02 $46.54 $47.52 $46.84 $46.54 ATM IV 16.8% 6.7% 62.0% 18.0% 9.3% Expected Move 3.5% 2.2% 4.8% 4.8% 3.3% HV 20d 6.4% 5.6% 8.2% 7.9% 8.2% HV 60d 7.0% 6.6% 7.7% 7.2% 7.7% IV Rank 7.2% 0.2% 38.7% 8.1% 2.0% IV Percentile 24.7% 0.4% 90.1% 52.0% 9.5% Term Structure -1.5% -26.4% 4.6% -2.5% 1.3% Skew 25d 1.9% -11.2% 12.6% 2.1% 2.1% Skew 10d 4.8% -28.1% 27.8% 8.2% 3.5% Call IV 25d 19.2% 6.7% 72.0% 21.0% 9.5% Put IV 25d 21.1% 8.1% 81.8% 23.2% 11.7% Bid-Ask Spread % 133.19 93.03 189.17 189.17 118.51 Gamma HHI 0.85 0.45 1.00 0.57 1.00 Net GEX -523 -2.4K 786 -707 585 Net DEX -606 -4.8K 6.3K 1.1K -3.7K Net VEX -30 -69 -20 -37 -20 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 14.182 13 15 15 13
Daily Data (22 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 2014-07-01 $46.84 $0.00 18.0% 4.8% 7.9% 8.1% 0.0% 2.1% -2.5% -707 1.1K -37 0.00 189.17 N/A N/A 0 0 2 13 2014-07-02 $46.82 $0.00 62.0% 4.8% 7.9% 38.7% 0.0% 12.6% -24.3% -670 6.3K -69 0.00 189.17 N/A N/A 0 0 2 13 2014-07-03 $46.61 $0.00 43.2% 4.8% 6.9% 25.5% 0.0% 9.8% -26.4% -828 6.1K -64 0.00 189.17 N/A N/A 0 0 2 13 2014-07-07 $46.55 $0.00 22.4% 4.8% 6.8% 11.1% 0.0% 3.4% 1.7% -536 2.3K -34 0.00 176.24 N/A N/A 0 0 2 13 2014-07-08 $46.54 $0.00 22.2% 3.0% 6.3% 11.0% 0.0% 3.2% 1.9% -551 2.3K -34 0.00 93.03 N/A N/A 0 0 2 13 2014-07-09 $46.65 $0.00 8.2% 3.1% 5.8% 1.2% 0.0% 1.3% 3.3% -1.5K 2.6K -27 0.00 124.00 N/A N/A 0 0 2 13 2014-07-10 $46.81 $0.00 8.3% 3.2% 5.9% 1.3% 0.0% 1.7% 4.0% -1.6K 1.7K -28 0.00 127.44 N/A N/A 0 0 2 13 2014-07-11 $46.80 $0.00 24.3% 3.0% 5.7% 12.4% 0.0% 1.9% 3.5% -722 3.5K -43 0.00 99.84 N/A N/A 0 0 2 13 2014-07-14 $47.01 $0.00 8.3% 3.2% 5.9% 1.3% 0.0% 0.8% 2.2% -1.9K 484 -26 0.00 121.19 N/A N/A 0 0 2 13 2014-07-15 $47.05 $0.00 8.2% 3.2% 5.6% 1.2% 0.0% 0.5% 1.7% -2.2K 231 -26 0.00 126.36 N/A N/A 0 0 2 13 2014-07-16 $47.25 $0.00 7.3% 3.3% 5.8% 0.6% 0.0% 1.7% 3.2% -1.6K -947 -25 0.00 118.83 N/A N/A 0 0 2 13 2014-07-17 $46.96 $0.00 8.6% 3.2% 6.0% 1.5% 0.0% 0.1% 1.4% -2.4K 806 -25 0.00 123.00 N/A N/A 0 0 2 13 2014-07-18 $47.38 $0.00 6.7% 3.2% 6.4% 0.2% 0.0% 2.2% 4.6% -1.7K -2.0K -24 0.00 123.27 N/A N/A 0 0 2 13 2014-07-21 $47.24 $0.00 8.0% 3.3% 6.1% 1.1% 0.0% 1.8% 2.2% 637 -4.4K -22 0.00 124.06 N/A N/A 0 0 2 11 2014-07-22 $47.45 $0.00 7.6% 3.3% 6.0% 0.9% 0.0% 1.5% 1.8% 635 -4.7K -22 0.00 123.30 N/A N/A 0 0 2 11 2014-07-23 $47.52 $0.00 7.4% 2.2% 5.8% 0.7% 0.0% 1.6% 0.5% 786 -4.6K -21 0.00 126.16 N/A N/A 0 0 2 11 2014-07-24 $47.51 $0.00 7.6% 2.6% 5.8% 0.8% 0.0% 1.7% 0.9% 632 -4.8K -22 0.00 125.34 N/A N/A 0 0 2 11 2014-07-25 $47.14 $0.00 7.6% 3.4% 6.7% 0.9% 0.0% 0.4% 2.2% 633 -4.4K -21 0.00 119.06 N/A N/A 0 0 2 11 2014-07-28 $47.38 $0.00 58.3% 4.0% 6.5% 36.0% 0.0% -11.2% -21.3% 186 -2.3K -33 0.00 147.56 N/A N/A 0 0 2 11 2014-07-29 $47.21 $0.00 7.7% 3.4% 6.7% 0.9% 0.0% 1.7% 2.4% 637 -4.5K -21 0.00 124.51 N/A N/A 0 0 2 11 2014-07-30 $47.17 $0.00 8.3% 3.3% 6.6% 1.3% 0.0% 2.0% 2.5% 659 -4.3K -21 0.00 121.05 N/A N/A 0 0 2 11 2014-07-31 $46.54 $0.00 9.3% 3.3% 8.2% 2.0% 0.0% 2.1% 1.3% 585 -3.7K -20 0.00 118.51 N/A N/A 0 0 2 11
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