RWO Options History — September 2014 In September 2014, RWO traded between $44.11 and $47.89. ATM implied volatility averaged 13.6%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.6% (HV 20d: 9.0%). Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days.
Notable Days 2014-09-25 : Highest Volume — 10 contracts2014-09-25 : Largest IV spike — 394.2% change2014-09-25 : Highest IV Rank — 35.0%2014-09-30 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $45.94 $44.11 $47.89 $47.56 $44.33 ATM IV 13.6% 7.4% 56.8% 7.9% 11.3% Expected Move 3.7% 2.7% 6.5% 2.7% 6.5% HV 20d 9.0% 7.1% 11.3% 8.0% 11.2% HV 60d 8.6% 7.5% 9.6% 7.7% 9.6% IV Rank 5.0% 0.7% 35.0% 1.1% 3.4% IV Percentile 27.6% 2.8% 87.7% 7.1% 30.6% Term Structure -0.4% -22.4% 25.7% -1.9% 2.8% Skew 25d 0.3% -20.0% 4.4% 1.3% 2.2% Skew 10d 3.2% -20.0% 57.5% 2.0% 0.1% Call IV 25d 14.2% 7.6% 77.5% 10.4% 10.0% Put IV 25d 14.5% 9.3% 57.5% 11.7% 12.2% Bid-Ask Spread % 129.56 111.80 179.40 130.67 179.40 Gamma HHI 0.52 0.41 0.58 0.50 0.41 Net GEX 1.3K -481 1.9K 1.7K -42 Net DEX -5.9K -15.8K 19.1K -14.7K 18.5K Net VEX -53 -163 -24 -41 -156 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.476 0 10 0 0 Total OI 6.429 5 15 5 15
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 2014-09-02 $47.56 $0.00 7.9% 2.7% 8.0% 1.1% 0.0% 1.3% -1.9% 1.7K -14.7K -41 0.00 130.67 N/A N/A 0 0 5 0 2014-09-03 $47.85 $0.00 8.2% 3.1% 7.1% 1.2% 0.0% 1.2% -1.5% 1.7K -15.8K -40 0.00 127.07 N/A N/A 0 0 5 0 2014-09-04 $47.63 $0.00 8.6% 2.7% 7.1% 1.6% 0.0% 1.4% -1.9% 1.7K -14.9K -41 0.00 129.87 N/A N/A 0 0 5 0 2014-09-05 $47.89 $0.00 7.4% 2.7% 7.1% 0.7% 0.0% 1.6% 0.6% 1.9K -15.8K -39 0.00 128.76 N/A N/A 0 0 5 0 2014-09-08 $47.61 $0.00 9.5% 2.7% 7.4% 2.2% 0.0% 1.1% -0.1% 1.9K -15.1K -40 0.00 128.69 N/A N/A 0 0 5 0 2014-09-09 $47.27 $0.00 11.2% 3.2% 7.8% 3.4% 0.0% 1.7% 0.5% 1.8K -13.5K -40 0.00 130.28 N/A N/A 0 0 5 0 2014-09-10 $46.88 $0.00 10.1% 3.3% 8.4% 2.6% 0.0% 0.7% 0.3% 1.9K -12.3K -41 0.00 124.67 N/A N/A 0 0 5 0 2014-09-11 $46.77 $0.00 9.2% 3.0% 7.1% 1.9% 0.0% 0.9% -1.2% 1.8K -11.6K -40 0.00 130.32 N/A N/A 0 0 5 0 2014-09-12 $45.89 $0.00 11.8% 3.8% 9.6% 3.8% 0.0% 4.0% 0.3% 1.5K -8.3K -37 0.00 123.15 N/A N/A 0 0 5 0 2014-09-15 $45.61 $0.00 11.7% 3.6% 9.8% 3.7% 0.0% 4.4% 1.7% 1.5K -7.4K -34 0.00 123.86 N/A N/A 0 0 5 0 2014-09-16 $45.84 $0.00 10.9% 3.6% 9.5% 3.1% 0.0% 3.4% 2.2% 1.6K -8.0K -35 0.00 125.00 N/A N/A 0 0 5 0 2014-09-17 $45.61 $0.00 10.5% 3.3% 9.3% 2.9% 0.0% 1.1% 1.2% 1.6K -7.4K -35 0.00 127.25 N/A N/A 0 0 5 0 2014-09-18 $45.58 $0.00 10.6% 3.2% 9.3% 2.9% 0.0% 1.8% 1.4% 1.6K -7.2K -33 0.00 126.33 N/A N/A 0 0 5 0 2014-09-19 $45.15 $0.00 10.9% 3.7% 9.5% 3.1% 0.0% 2.0% 1.2% 1.5K -5.8K -29 0.00 116.14 N/A N/A 0 0 5 0 2014-09-22 $44.91 $0.00 11.7% 3.7% 9.5% 3.7% 0.0% 0.5% 0.9% 1.4K -5.4K -28 0.00 113.02 N/A N/A 0 0 5 0 2014-09-23 $44.52 $0.00 11.6% 3.7% 9.6% 3.6% 0.0% 1.3% 1.0% 1.3K -4.6K -25 0.00 111.80 N/A N/A 0 0 5 0 2014-09-24 $44.61 $0.00 11.5% 3.6% 9.7% 3.5% 0.0% 2.2% 0.9% 1.3K -4.4K -24 0.00 111.90 N/A N/A 0 0 5 0 2014-09-25 $44.11 $0.00 56.8% 6.4% 9.9% 35.0% 0.0% -20.0% -20.8% 585 -8.6K -34 0.00 174.47 N/A N/A 0 10 5 0 2014-09-26 $44.63 $0.00 35.0% 3.4% 11.3% 19.9% 0.0% -8.0% -22.4% -302 18.3K -163 0.00 122.97 N/A N/A 0 0 5 10 2014-09-29 $44.40 $0.00 10.1% 5.2% 11.2% 2.5% 0.0% 1.8% 25.7% -481 19.1K -160 0.00 135.10 N/A N/A 0 0 5 10 2014-09-30 $44.33 $0.00 11.3% 6.5% 11.2% 3.4% 0.0% 2.2% 2.8% -42 18.5K -156 0.00 179.40 N/A N/A 0 0 5 10
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