RWO Options History — February 2015 In February 2015, RWO traded between $49.73 and $51.52. ATM implied volatility averaged 33.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 18.4% (HV 20d: 15.1%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 5.00.
Notable Days 2015-02-03 : Highest Volume — 12 contracts2015-02-06 : Largest IV spike — 18.8% change2015-02-06 : Highest IV Rank — 23.1%2015-02-17 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $50.35 $49.73 $51.52 $50.63 $49.84 ATM IV 33.5% 30.3% 39.7% 30.5% 30.4% Expected Move 9.3% 8.2% 10.3% 8.7% 8.7% HV 20d 15.1% 12.0% 16.3% 12.0% 16.2% HV 60d 11.9% 10.3% 12.8% 10.5% 12.8% IV Rank 18.8% 16.6% 23.1% 16.7% 16.7% IV Percentile 66.4% 61.1% 71.8% 63.9% 61.1% Term Structure -4.5% -17.9% 0.8% -4.9% -0.8% Skew 25d -5.5% -16.4% 8.0% 7.0% -16.4% Skew 10d -3.8% -16.4% 19.7% 17.7% -16.4% Call IV 25d 28.7% 10.1% 34.1% 31.7% 34.1% Put IV 25d 23.3% 15.1% 40.6% 38.7% 17.6% Bid-Ask Spread % 162.21 146.52 200.00 169.30 158.90 Gamma HHI 0.60 0.51 0.66 0.64 0.60 Net GEX -503 -670 -196 -563 -555 Net DEX 1.1K -7.9K 5.9K -182 4.4K Net VEX -74 -90 -14 -81 -80 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.00 5.00 5.00 5.00 5.00 Total Volume 10.105 0 12 0 12 Total OI 12 12 12 12 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 2015-02-02 $50.63 $0.00 30.5% 8.7% 12.0% 16.7% 0.0% 7.0% -4.9% -563 -182 -81 0.00 169.30 N/A N/A 0 0 2 10 2015-02-03 $51.02 $0.00 31.0% 8.9% 12.0% 17.1% 0.0% 5.0% -2.5% -196 -7.9K -14 5.00 160.03 N/A N/A 2 10 2 10 2015-02-04 $50.70 $0.00 31.9% 9.2% 12.4% 17.7% 0.0% 7.9% -2.0% -323 865 -82 5.00 151.78 N/A N/A 2 10 2 10 2015-02-05 $51.52 $0.00 33.4% 8.2% 12.2% 18.8% 0.0% 0.8% -0.8% -431 -4.4K -56 5.00 153.42 N/A N/A 2 10 2 10 2015-02-06 $50.32 $0.00 39.7% 9.4% 15.2% 23.1% 0.0% 1.3% -11.8% -624 1.8K -84 5.00 153.63 N/A N/A 2 10 2 10 2015-02-09 $49.95 $0.00 39.0% 9.6% 15.5% 22.6% 0.0% 8.0% -5.8% -604 4.3K -90 5.00 147.99 N/A N/A 2 10 2 10 2015-02-10 $50.11 $0.00 39.5% 9.6% 15.4% 23.0% 0.0% -5.9% -5.4% -500 4.2K -88 5.00 146.52 N/A N/A 2 10 2 10 2015-02-11 $49.87 $0.00 33.1% 9.5% 15.5% 18.6% 0.0% -7.8% -1.9% -609 3.1K -83 5.00 146.76 N/A N/A 2 10 2 10 2015-02-12 $50.54 $0.00 32.3% 9.3% 16.0% 18.0% 0.0% -12.2% -6.2% -576 124 -77 5.00 172.82 N/A N/A 2 10 2 10 2015-02-13 $50.50 $0.00 34.6% 9.9% 16.0% 19.6% 0.0% -10.9% -5.6% -259 500 -72 5.00 149.14 N/A N/A 2 10 2 10 2015-02-17 $50.32 $0.00 35.9% 10.3% 15.5% 20.5% 0.0% -12.3% -7.5% -531 1.6K -74 5.00 151.86 N/A N/A 2 10 2 10 2015-02-18 $50.66 $0.00 34.7% 10.0% 15.5% 19.7% 0.0% -11.4% -2.8% -436 1.9K -78 5.00 150.85 N/A N/A 2 10 2 10 2015-02-19 $49.92 $0.00 32.5% 9.3% 16.3% 18.1% 0.0% -13.7% -6.2% -625 1.6K -80 0.00 200.00 N/A N/A 0 0 2 10 2015-02-20 $50.33 $0.00 32.5% 9.3% 16.1% 18.1% 0.0% 7.8% -17.9% -377 -4.6K -46 0.00 200.00 N/A N/A 0 0 2 10 2015-02-23 $50.51 $0.00 30.3% 8.7% 16.2% 16.6% 0.0% -11.2% 0.8% -511 3.4K -82 5.00 170.14 N/A N/A 2 10 2 10 2015-02-24 $50.05 $0.00 31.4% 9.0% 16.2% 17.4% 0.0% -12.2% -1.7% -617 2.4K -77 5.00 170.31 N/A N/A 2 10 2 10 2015-02-25 $50.12 $0.00 31.5% 9.0% 16.2% 17.5% 0.0% -13.2% 0.0% -670 2.0K -78 5.00 170.85 N/A N/A 2 10 2 10 2015-02-26 $49.73 $0.00 32.0% 9.2% 16.2% 17.8% 0.0% -14.4% -1.8% -554 5.9K -86 5.00 157.75 N/A N/A 2 10 2 10 2015-02-27 $49.84 $0.00 30.4% 8.7% 16.2% 16.7% 0.0% -16.4% -0.8% -555 4.4K -80 5.00 158.90 N/A N/A 2 10 2 10
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