RWO Options History — November 2014 In November 2014, RWO traded between $46.92 and $48.09. ATM implied volatility averaged 9.9%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.2% (HV 20d: 11.1%). Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.64.
Notable Days 2014-11-03 : Highest Volume — 38 contracts2014-11-24 : Largest IV drop — 34.1% change2014-11-20 : Highest IV Rank — 3.9%2014-11-17 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $47.43 $46.92 $48.09 $47.84 $48.09 ATM IV 9.9% 7.5% 12.0% 10.3% 9.2% Expected Move 8.4% 6.9% 9.1% 8.7% 7.8% HV 20d 11.1% 10.0% 12.9% 12.9% 10.0% HV 60d 11.6% 11.5% 11.8% 11.5% 11.7% IV Rank 2.4% 0.8% 3.9% 2.7% 1.9% IV Percentile 23.5% 4.4% 42.5% 23.8% 16.7% Term Structure 11.3% -1.4% 23.4% -0.4% 0.2% Skew 25d 1.9% -2.6% 7.7% 0.4% 0.1% Skew 10d 3.3% -2.1% 9.4% 1.9% 2.3% Call IV 25d 9.5% 8.2% 13.0% 9.8% 9.1% Put IV 25d 11.4% 8.6% 16.9% 10.1% 9.2% Bid-Ask Spread % 157.56 131.68 189.57 131.68 185.12 Gamma HHI 0.56 0.27 0.84 0.65 0.69 Net GEX 5.5K -1.1K 8.9K 4.2K -887 Net DEX -81.1K -120.3K 11.3K -120.3K 10.1K Net VEX -150 -174 -133 -148 -138 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.00 5.00 0.36 5.00 Total Volume 26.737 0 38 38 0 Total OI 33.211 12 40 40 12
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 2014-11-03 $47.84 $0.00 10.3% 8.7% 12.9% 2.7% 0.0% 0.4% -0.4% 4.2K -120.3K -148 0.36 131.68 N/A N/A 28 10 30 10 2014-11-04 $47.72 $0.00 9.7% 8.1% 12.3% 2.3% 0.0% 2.6% 0.9% 6.6K -111.5K -174 0.36 141.89 N/A N/A 28 10 30 10 2014-11-05 $47.51 $0.00 8.8% 8.6% 11.4% 1.7% 0.0% 1.2% -0.3% 7.3K -109.6K -174 0.36 143.29 N/A N/A 28 10 30 10 2014-11-06 $46.97 $0.00 9.8% 8.7% 12.2% 2.4% 0.0% -2.6% 2.1% 8.9K -104.0K -169 0.36 158.08 N/A N/A 28 10 30 10 2014-11-07 $46.92 $0.00 9.8% 8.7% 12.2% 2.3% 0.0% 4.3% 22.2% 8.9K -103.7K -164 0.36 148.27 N/A N/A 28 10 30 10 2014-11-10 $47.34 $0.00 10.2% 8.6% 12.2% 2.6% 0.0% 2.3% 20.3% 7.9K -106.5K -166 0.36 144.20 N/A N/A 28 10 30 10 2014-11-11 $47.36 $0.00 9.3% 8.7% 11.5% 2.0% 0.0% 0.9% 20.0% 3.9K -94.2K -146 0.36 138.83 N/A N/A 28 10 25 10 2014-11-12 $47.09 $0.00 9.9% 8.6% 10.9% 2.5% 0.0% 1.3% 21.6% 8.6K -108.0K -149 0.36 144.48 N/A N/A 28 10 30 10 2014-11-13 $47.30 $0.00 10.6% 8.6% 11.0% 2.9% 0.0% 1.8% 20.4% 8.4K -109.2K -156 0.36 145.18 N/A N/A 28 10 30 10 2014-11-14 $47.27 $0.00 10.6% 6.9% 11.0% 2.9% 0.0% 1.6% 13.7% 7.0K -95.1K -150 0.00 188.88 N/A N/A 0 0 27 10 2014-11-17 $47.26 $0.00 10.8% 9.1% 10.5% 3.0% 0.0% 1.8% 22.5% 8.9K -111.8K -137 0.36 145.05 N/A N/A 28 10 30 10 2014-11-18 $47.43 $0.00 10.3% 8.9% 10.3% 2.7% 0.0% -0.6% 23.4% 7.2K -114.2K -137 0.36 143.51 N/A N/A 28 10 30 10 2014-11-19 $47.16 $0.00 10.5% 7.6% 10.5% 2.8% 0.0% 1.4% 16.2% 8.3K -95.4K -136 0.00 189.32 N/A N/A 4 0 27 10 2014-11-20 $47.07 $0.00 12.0% 9.1% 10.3% 3.9% 0.0% 7.7% 17.5% 7.5K -94.7K -153 0.37 147.74 N/A N/A 27 10 27 10 2014-11-21 $47.49 $0.00 11.4% 7.3% 10.6% 3.5% 0.0% 4.7% 15.3% 4.3K -103.3K -143 0.37 169.40 N/A N/A 27 10 27 10 2014-11-24 $47.62 $0.00 7.5% 7.7% 10.6% 0.8% 0.0% 1.3% -0.2% -1.1K 9.2K -133 0.00 189.57 N/A N/A 0 0 2 10 2014-11-25 $47.74 $0.00 9.6% 9.0% 10.4% 2.2% 0.0% 4.8% -0.3% -975 11.3K -141 5.00 154.07 N/A N/A 2 10 2 10 2014-11-26 $48.08 $0.00 8.1% 7.7% 10.4% 1.2% 0.0% 0.4% -1.4% -892 10.3K -143 0.00 185.12 N/A N/A 0 0 2 10 2014-11-28 $48.09 $0.00 9.2% 7.8% 10.0% 1.9% 0.0% 0.1% 0.2% -887 10.1K -138 0.00 185.12 N/A N/A 0 0 2 10
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