RWO Options History — July 2015

In July 2015, RWO traded between $46.29 and $47.82. ATM implied volatility averaged 22.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 10.0% (HV 20d: 12.3%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.61.

Notable Days

2015-07-27: Highest Volume — 19 contracts
2015-07-15: Largest IV drop — 50.7% change
2015-07-14: Highest IV Rank — 44.5%
2015-07-01: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.11	$46.29	$47.82	$46.33	$47.59
Max Pain	$48.64	$45.00	$49.00	$45.00	$49.00
ATM IV	22.3%	15.4%	34.1%	24.3%	17.9%
Expected Move	5.3%	4.3%	7.0%	7.0%	5.1%
HV 20d	12.3%	9.4%	13.8%	13.6%	9.5%
HV 60d	13.1%	12.5%	13.5%	12.9%	12.5%
IV Rank	25.2%	13.5%	44.5%	28.7%	17.6%
IV Percentile	68.1%	47.2%	91.7%	74.6%	56.3%
Term Structure	11.6%	-9.0%	38.1%	-9.0%	-1.7%
VWIV	16.9%	12.2%	28.3%	28.3%	13.8%
Skew 25d	6.5%	3.2%	9.1%	7.3%	4.1%
Skew 10d	4.4%	-0.9%	7.4%	4.5%	0.5%
Call IV 25d	17.3%	14.0%	21.6%	21.1%	18.1%
Put IV 25d	23.7%	19.0%	28.3%	28.3%	22.1%
Bid-Ask Spread %	124.65	89.58	146.84	136.35	127.40
Gamma HHI	0.42	0.26	0.56	0.40	0.27
Net GEX	-912	-2.4K	-337	-613	-2.1K
Net DEX	11.5K	2.5K	34.2K	11.6K	34.2K
Net VEX	-101	-246	-59	-62	-243
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	1.50	5.33	1.50	5.00
Total Volume	11.273	8	19	10	18
Total OI	13.091	10	24	10	24

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
2015-07-01	$46.33	$45.00	24.3%	7.0%	13.6%	28.7%	28.3%	7.3%	-9.0%	-613	11.6K	-62	1.50	136.35	N/A	N/A	4	6	4	6
2015-07-02	$46.40	$45.00	21.9%	6.3%	13.6%	24.8%	26.8%	5.2%	-5.1%	-638	10.8K	-63	1.50	146.84	N/A	N/A	4	6	4	6
2015-07-06	$46.30	$49.00	27.7%	4.3%	13.0%	34.2%	17.3%	6.9%	5.0%	-550	11.7K	-59	1.50	127.91	N/A	N/A	4	6	4	6
2015-07-07	$46.74	$49.00	22.2%	4.7%	13.4%	25.3%	15.9%	8.2%	32.0%	-678	9.6K	-64	1.50	119.32	N/A	N/A	4	6	4	6
2015-07-08	$46.29	$49.00	29.9%	5.2%	13.8%	37.8%	18.1%	4.9%	38.1%	-636	11.1K	-59	2.00	118.76	N/A	N/A	3	6	4	6
2015-07-09	$46.40	$49.00	30.0%	5.2%	12.8%	38.0%	18.1%	5.8%	31.7%	-620	7.2K	-70	2.00	116.62	N/A	N/A	3	6	5	6
2015-07-10	$46.86	$49.00	27.7%	5.0%	13.3%	34.2%	17.1%	8.9%	30.6%	-707	6.1K	-74	2.00	120.49	N/A	N/A	3	6	5	6
2015-07-13	$47.17	$49.00	34.0%	4.9%	13.5%	44.4%	14.1%	4.7%	36.8%	-796	5.5K	-71	2.00	122.21	N/A	N/A	3	6	5	6
2015-07-14	$47.33	$49.00	34.1%	4.8%	13.5%	44.5%	13.6%	9.1%	36.3%	-778	5.1K	-69	2.00	125.35	N/A	N/A	3	6	5	6
2015-07-15	$47.34	$49.00	16.8%	4.8%	13.3%	16.4%	13.6%	8.9%	36.6%	-752	5.1K	-69	2.00	127.39	N/A	N/A	3	6	5	6
2015-07-16	$47.82	$49.00	18.4%	5.3%	13.8%	19.1%	13.3%	4.9%	31.1%	-766	2.5K	-71	2.00	121.20	N/A	N/A	3	6	5	6
2015-07-17	$47.70	$49.00	15.9%	4.6%	13.2%	15.0%	13.8%	6.0%	31.1%	-795	2.9K	-69	2.00	130.09	N/A	N/A	3	6	5	6
2015-07-20	$47.64	$49.00	16.5%	4.7%	12.2%	15.9%	14.4%	6.3%	-0.9%	-830	3.0K	-67	1.67	132.34	N/A	N/A	3	5	5	5
2015-07-21	$47.55	$49.00	15.4%	4.4%	12.1%	13.5%	12.2%	5.1%	0.5%	-451	4.9K	-65	1.67	89.58	N/A	N/A	3	5	5	5
2015-07-22	$47.57	$49.00	18.6%	5.3%	11.4%	18.8%	14.2%	3.2%	-1.1%	-459	3.6K	-65	1.67	124.80	N/A	N/A	3	5	5	5
2015-07-23	$47.00	$49.00	20.3%	5.8%	12.2%	21.5%	18.1%	7.0%	-7.8%	-337	4.7K	-63	1.67	119.25	N/A	N/A	3	5	5	5
2015-07-24	$47.12	$49.00	20.4%	5.8%	11.9%	21.7%	17.7%	7.0%	-6.8%	-693	12.5K	-117	3.00	125.63	N/A	N/A	3	9	5	9
2015-07-27	$47.08	$49.00	21.3%	6.1%	11.9%	23.3%	19.0%	8.0%	-6.5%	-880	12.9K	-111	5.33	123.20	N/A	N/A	3	16	5	9
2015-07-28	$47.34	$49.00	21.3%	6.1%	9.6%	23.2%	17.3%	7.8%	-7.6%	-1.8K	26.4K	-204	5.33	126.05	N/A	N/A	3	16	5	16
2015-07-29	$47.55	$49.00	16.6%	4.8%	9.7%	15.4%	17.6%	7.9%	-1.2%	-2.4K	30.4K	-238	5.00	128.72	N/A	N/A	3	15	5	19
2015-07-30	$47.32	$49.00	19.5%	5.6%	9.4%	20.3%	17.6%	5.6%	-6.4%	-1.8K	30.5K	-246	5.00	132.86	N/A	N/A	3	15	5	19
2015-07-31	$47.59	$49.00	17.9%	5.1%	9.5%	17.6%	13.8%	4.1%	-1.7%	-2.1K	34.2K	-243	5.00	127.40	N/A	N/A	3	15	5	19