RWO Options History — August 2015

In August 2015, RWO traded between $44.08 and $48.19. ATM implied volatility averaged 24.2%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 13.1% (HV 20d: 11.2%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.52.

Notable Days

2015-08-04: Highest Volume — 18 contracts
2015-08-27: Largest IV spike — 152.7% change
2015-08-27: Highest IV Rank — 83.6%
2015-08-27: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$44.08	$48.19	$47.72	$44.71
Max Pain	$46.50	$45.00	$49.00	$49.00	$45.00
ATM IV	24.2%	13.7%	58.2%	15.0%	26.9%
Expected Move	6.7%	3.7%	16.7%	4.3%	7.7%
HV 20d	11.2%	6.3%	21.5%	9.5%	21.5%
HV 60d	12.3%	10.8%	15.5%	12.4%	15.5%
IV Rank	27.9%	10.7%	83.6%	12.8%	32.0%
IV Percentile	62.9%	31.7%	99.6%	40.9%	76.6%
Term Structure	3.5%	-21.2%	15.1%	-2.3%	-13.1%
VWIV	34.6%	15.7%	61.7%	15.7%	23.0%
Skew 25d	3.5%	-13.2%	12.6%	2.5%	5.3%
Skew 10d	5.0%	-13.2%	12.6%	3.7%	8.5%
Call IV 25d	26.7%	13.1%	72.1%	16.8%	30.8%
Put IV 25d	30.2%	16.8%	84.7%	19.2%	36.1%
Bid-Ask Spread %	136.47	113.80	174.73	150.73	118.93
Gamma HHI	0.34	0.26	0.49	0.33	0.49
Net GEX	-2.7K	-4.8K	-1.6K	-3.4K	-3.9K
Net DEX	36.1K	25.8K	55.7K	35.6K	55.7K
Net VEX	-243	-299	-200	-235	-299
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.52	4.67	14.00	5.00	14.00
Total Volume	14.095	0	18	0	15
Total OI	24.667	22	31	22	31

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
2015-08-03	$47.72	$49.00	15.0%	4.3%	9.5%	12.8%	0.0%	2.5%	-2.3%	-3.4K	35.6K	-235	0.00	150.73	N/A	N/A	0	0	3	19
2015-08-04	$47.57	$49.00	19.7%	5.6%	9.1%	20.5%	15.7%	2.6%	-2.8%	-2.1K	28.8K	-240	5.00	130.86	N/A	N/A	3	15	5	19
2015-08-05	$47.59	$49.00	20.7%	5.9%	8.2%	22.2%	20.0%	2.3%	-3.0%	-3.0K	29.8K	-220	5.00	129.25	N/A	N/A	3	15	5	19
2015-08-06	$47.52	$0.00	18.9%	4.3%	8.3%	19.3%	0.0%	3.0%	14.5%	-2.0K	31.8K	-238	5.00	129.78	N/A	N/A	3	15	5	19
2015-08-07	$47.65	$0.00	18.1%	4.7%	7.6%	18.0%	0.0%	3.8%	10.3%	-2.1K	31.0K	-237	5.00	122.36	N/A	N/A	3	15	5	19
2015-08-10	$47.69	$0.00	20.2%	3.7%	7.3%	21.4%	0.0%	0.3%	14.8%	-2.9K	25.8K	-221	5.00	140.27	N/A	N/A	3	15	5	19
2015-08-11	$47.65	$0.00	18.9%	4.1%	7.3%	19.2%	0.0%	3.6%	14.4%	-3.4K	37.0K	-224	0.00	157.71	N/A	N/A	0	0	3	19
2015-08-12	$47.68	$0.00	16.1%	4.6%	7.3%	14.7%	0.0%	4.3%	12.8%	-1.8K	32.8K	-229	5.00	113.80	N/A	N/A	3	15	5	19
2015-08-13	$47.77	$0.00	16.8%	4.8%	6.3%	15.8%	0.0%	4.5%	11.6%	-2.7K	33.1K	-224	5.00	125.83	N/A	N/A	3	15	5	19
2015-08-14	$48.03	$0.00	16.0%	4.6%	6.5%	14.4%	0.0%	7.0%	13.9%	-2.4K	31.2K	-226	5.00	120.34	N/A	N/A	3	15	5	19
2015-08-17	$48.19	$0.00	15.3%	4.4%	6.6%	13.3%	0.0%	7.3%	14.9%	-3.1K	30.8K	-216	5.00	133.28	N/A	N/A	3	15	5	19
2015-08-18	$48.13	$0.00	18.1%	5.2%	6.6%	17.9%	0.0%	4.7%	13.0%	-3.6K	28.3K	-200	5.00	125.75	N/A	N/A	3	15	5	19
2015-08-19	$47.90	$0.00	13.7%	3.9%	6.8%	10.7%	0.0%	2.8%	14.9%	-4.8K	33.9K	-205	0.00	152.45	N/A	N/A	0	0	3	19
2015-08-20	$47.41	$0.00	18.4%	5.3%	6.4%	18.2%	0.0%	8.9%	15.1%	-1.9K	35.2K	-204	4.67	124.03	N/A	N/A	3	14	5	19
2015-08-21	$46.56	$0.00	21.6%	6.2%	9.1%	23.4%	0.0%	3.2%	5.6%	-1.6K	55.5K	-285	4.67	119.00	N/A	N/A	3	14	5	25
2015-08-24	$44.40	$0.00	53.7%	15.4%	19.0%	76.2%	55.5%	-13.2%	-14.4%	-1.9K	27.8K	-263	12.00	174.73	N/A	N/A	1	12	3	20
2015-08-25	$44.08	$45.00	58.1%	16.7%	18.8%	83.5%	58.3%	1.2%	-15.9%	-1.8K	39.4K	-282	12.00	158.46	N/A	N/A	1	12	3	23
2015-08-26	$44.81	$45.00	23.0%	6.6%	19.9%	25.7%	20.0%	-0.3%	-7.1%	-2.7K	47.2K	-284	12.00	137.00	N/A	N/A	1	12	3	23
2015-08-27	$45.60	$45.00	58.2%	16.7%	21.2%	83.6%	61.7%	12.6%	-21.2%	-2.2K	44.8K	-289	12.00	174.27	N/A	N/A	1	12	3	23
2015-08-28	$45.44	$45.00	21.4%	6.1%	21.0%	23.1%	22.3%	7.8%	-2.0%	-2.5K	43.0K	-287	14.00	126.97	N/A	N/A	1	14	3	23
2015-08-31	$44.71	$45.00	26.9%	7.7%	21.5%	32.0%	23.0%	5.3%	-13.1%	-3.9K	55.7K	-299	14.00	118.93	N/A	N/A	1	14	3	28