RWO Options History — May 2015

In May 2015, RWO traded between $47.65 and $49.45. ATM implied volatility averaged 20.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.4% (HV 20d: 13.7%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.08.

Notable Days

2015-05-01: Highest Volume — 19 contracts
2015-05-13: Largest IV drop — 52.5% change
2015-05-29: Highest IV Rank — 20.7%
2015-05-29: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.59	$47.65	$49.45	$48.65	$47.89
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	20.1%	15.1%	32.8%	18.3%	22.0%
Expected Move	4.8%	4.1%	6.3%	5.2%	6.3%
HV 20d	13.7%	10.0%	15.7%	10.5%	14.9%
HV 60d	14.3%	13.8%	14.6%	14.6%	14.5%
IV Rank	13.0%	6.4%	20.7%	8.2%	20.7%
IV Percentile	62.8%	50.8%	84.9%	59.1%	69.8%
Term Structure	16.9%	-10.2%	40.7%	-1.9%	-10.2%
VWIV	28.3%	28.3%	28.3%	28.3%	28.3%
Skew 25d	4.1%	1.0%	7.4%	3.0%	4.9%
Skew 10d	2.3%	-0.6%	5.1%	5.1%	2.8%
Call IV 25d	15.9%	13.3%	20.8%	19.7%	20.8%
Put IV 25d	20.0%	15.0%	25.7%	22.7%	25.7%
Bid-Ask Spread %	138.77	89.70	154.53	142.36	130.66
Gamma HHI	0.50	0.37	0.61	0.37	0.60
Net GEX	-290	-1.0K	360	-118	-200
Net DEX	3.5K	-4.4K	8.3K	-288	5.5K
Net VEX	-72	-90	-61	-84	-64
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.08	1.25	3.75	3.75	1.25
Total Volume	10.15	0	19	19	9
Total OI	13.3	7	19	19	7

Daily Data (20 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
2015-05-01	$48.65	$44.00	18.3%	5.2%	10.5%	8.2%	28.3%	3.0%	-1.9%	-118	-288	-84	3.75	142.36	N/A	N/A	4	15	4	15
2015-05-04	$48.77	$0.00	19.5%	4.1%	10.0%	9.1%	0.0%	1.6%	35.4%	-639	6.1K	-77	0.00	150.54	N/A	N/A	0	0	2	15
2015-05-05	$47.92	$0.00	26.3%	4.5%	11.3%	13.8%	0.0%	1.1%	40.7%	-773	4.2K	-90	3.75	134.42	N/A	N/A	4	15	4	15
2015-05-06	$47.65	$0.00	23.2%	4.9%	11.1%	11.6%	0.0%	4.8%	37.6%	-505	4.5K	-84	3.75	127.70	N/A	N/A	4	15	4	15
2015-05-07	$48.02	$0.00	25.7%	4.6%	11.1%	13.4%	0.0%	5.4%	34.0%	-412	2.6K	-83	3.75	133.66	N/A	N/A	4	15	4	15
2015-05-08	$48.92	$0.00	21.2%	4.1%	13.3%	10.3%	0.0%	2.6%	36.2%	-447	5.5K	-74	0.00	150.28	N/A	N/A	0	0	2	15
2015-05-11	$48.28	$0.00	29.1%	4.3%	13.8%	15.7%	0.0%	1.0%	34.7%	-582	6.3K	-72	0.00	148.50	N/A	N/A	0	0	2	15
2015-05-12	$48.31	$0.00	32.8%	4.3%	13.7%	18.3%	0.0%	5.3%	39.8%	306	-441	-73	3.75	141.91	N/A	N/A	4	15	4	15
2015-05-13	$48.28	$0.00	15.6%	4.5%	13.7%	6.4%	0.0%	4.6%	39.6%	360	-1.8K	-72	3.75	143.09	N/A	N/A	4	15	4	15
2015-05-14	$48.98	$0.00	15.6%	4.5%	14.7%	6.4%	0.0%	6.0%	36.4%	211	-2.7K	-71	3.75	138.96	N/A	N/A	4	15	4	15
2015-05-15	$49.45	$0.00	15.3%	4.4%	14.9%	11.8%	0.0%	3.8%	38.7%	-209	-4.4K	-69	3.75	147.60	N/A	N/A	4	15	4	15
2015-05-18	$49.14	$0.00	15.3%	4.4%	15.0%	11.8%	0.0%	2.9%	-1.1%	-222	5.0K	-69	0.00	154.53	N/A	N/A	0	0	2	5
2015-05-19	$49.11	$0.00	15.1%	4.3%	15.0%	11.6%	0.0%	3.1%	-1.9%	-222	5.0K	-68	0.00	154.51	N/A	N/A	0	0	2	5
2015-05-20	$49.10	$0.00	16.8%	4.8%	15.0%	13.8%	0.0%	3.0%	-5.4%	-209	5.3K	-68	2.50	146.19	N/A	N/A	2	5	2	5
2015-05-21	$48.94	$0.00	17.7%	5.1%	15.0%	14.9%	0.0%	6.2%	-2.4%	-205	5.3K	-67	2.50	134.91	N/A	N/A	2	5	2	5
2015-05-22	$48.84	$0.00	17.6%	5.0%	15.0%	14.8%	0.0%	7.4%	-3.1%	-215	5.3K	-67	2.50	136.14	N/A	N/A	2	5	2	5
2015-05-26	$48.35	$0.00	18.9%	5.4%	15.3%	16.5%	0.0%	5.0%	-3.8%	-494	7.0K	-65	2.50	135.30	N/A	N/A	2	5	2	5
2015-05-27	$48.74	$0.00	15.8%	4.5%	15.7%	12.4%	0.0%	4.7%	-1.8%	-1.0K	8.3K	-61	2.50	89.70	N/A	N/A	2	5	2	5
2015-05-28	$48.48	$0.00	20.7%	5.9%	15.1%	19.0%	0.0%	5.4%	-4.5%	-213	4.4K	-64	2.50	134.34	N/A	N/A	2	5	2	5
2015-05-29	$47.89	$0.00	22.0%	6.3%	14.9%	20.7%	0.0%	4.9%	-10.2%	-200	5.5K	-64	1.25	130.66	N/A	N/A	4	5	2	5