RWO Options History — September 2015

In September 2015, RWO traded between $43.44 and $45.33. ATM implied volatility averaged 22.5%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.8% (HV 20d: 23.3%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.05.

Notable Days

2015-09-09: Highest Volume — 16 contracts
2015-09-21: Largest IV spike — 31.4% change
2015-09-03: Highest IV Rank — 33.6%
2015-09-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.41	$43.44	$45.33	$43.55	$45.17
Max Pain	$43.40	$43.00	$45.00	$45.00	$43.00
ATM IV	22.5%	16.6%	27.9%	27.1%	25.9%
Expected Move	6.2%	4.8%	7.8%	7.8%	7.4%
HV 20d	23.3%	16.4%	26.8%	23.0%	16.4%
HV 60d	17.1%	16.4%	17.5%	16.4%	17.4%
IV Rank	24.7%	15.0%	33.6%	32.4%	30.4%
IV Percentile	64.6%	40.9%	78.2%	76.6%	74.2%
Term Structure	5.5%	-10.2%	20.4%	-8.0%	-10.2%
VWIV	21.9%	18.0%	28.0%	26.8%	28.0%
Skew 25d	5.5%	-5.2%	13.8%	-5.2%	8.2%
Skew 10d	6.7%	-1.8%	17.9%	-1.8%	3.6%
Call IV 25d	23.3%	18.0%	31.2%	31.2%	23.7%
Put IV 25d	28.8%	19.5%	36.7%	26.0%	31.9%
Bid-Ask Spread %	122.11	94.01	134.71	134.71	120.78
Gamma HHI	0.45	0.37	0.58	0.49	0.37
Net GEX	-3.0K	-5.5K	-1.3K	-4.0K	-1.3K
Net DEX	55.1K	38.9K	72.7K	66.7K	41.5K
Net VEX	-262	-290	-236	-286	-239
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.05	0.00	14.00	14.00	4.50
Total Volume	12.429	0	16	15	11
Total OI	28.333	23	32	31	23

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
2015-09-01	$43.55	$45.00	27.1%	7.8%	23.0%	32.4%	26.8%	-5.2%	-8.0%	-4.0K	66.7K	-286	14.00	134.71	N/A	N/A	1	14	3	28
2015-09-02	$44.10	$45.00	23.4%	6.7%	23.7%	26.2%	24.6%	11.4%	-4.3%	-3.0K	55.2K	-290	14.00	129.53	N/A	N/A	1	14	3	28
2015-09-03	$44.25	$0.00	27.9%	5.9%	23.8%	33.6%	0.0%	-2.3%	7.9%	-4.1K	62.9K	-290	14.00	123.95	N/A	N/A	1	14	3	28
2015-09-04	$43.44	$0.00	24.7%	6.1%	24.3%	28.5%	0.0%	-1.6%	5.5%	-3.7K	66.1K	-279	14.00	113.59	N/A	N/A	1	14	3	28
2015-09-08	$44.12	$0.00	27.0%	5.2%	25.2%	32.1%	18.4%	1.2%	14.0%	-4.6K	66.5K	-277	0.00	130.16	N/A	N/A	1	0	3	28
2015-09-09	$43.58	$43.00	22.1%	6.3%	25.4%	24.0%	20.2%	-0.4%	11.3%	-3.8K	63.3K	-274	7.00	118.57	N/A	N/A	2	14	4	28
2015-09-10	$43.78	$43.00	18.3%	5.3%	25.5%	17.8%	20.2%	6.3%	18.6%	-3.8K	63.5K	-277	7.00	117.38	N/A	N/A	2	14	4	28
2015-09-11	$44.24	$43.00	18.5%	5.3%	26.0%	18.0%	18.0%	5.7%	20.4%	-4.7K	65.3K	-275	7.00	125.22	N/A	N/A	2	14	4	28
2015-09-14	$44.21	$43.00	22.9%	6.6%	25.8%	25.3%	25.6%	13.8%	9.0%	-4.7K	67.0K	-266	7.00	94.01	N/A	N/A	2	14	4	28
2015-09-15	$44.61	$43.00	16.6%	4.8%	26.1%	15.0%	0.0%	1.7%	18.3%	-5.5K	64.0K	-264	0.00	134.02	N/A	N/A	0	0	4	28
2015-09-16	$45.04	$43.00	20.2%	5.8%	26.5%	20.8%	20.0%	13.0%	17.0%	-4.0K	55.6K	-270	7.00	113.07	N/A	N/A	2	14	4	28
2015-09-17	$45.33	$43.00	21.0%	6.0%	26.7%	22.2%	22.9%	6.2%	14.1%	-5.0K	52.0K	-266	7.00	134.63	N/A	N/A	2	14	4	28
2015-09-18	$44.77	$43.00	19.8%	5.7%	26.8%	20.2%	20.6%	10.9%	20.4%	-1.6K	72.7K	-258	7.00	123.13	N/A	N/A	2	14	4	28
2015-09-21	$45.03	$0.00	26.0%	7.5%	26.3%	30.5%	22.6%	8.6%	15.4%	-1.6K	38.9K	-251	4.50	104.52	N/A	N/A	2	9	3	20
2015-09-22	$44.40	$0.00	21.4%	6.1%	20.7%	22.8%	20.0%	8.9%	-1.4%	-1.5K	42.4K	-242	4.50	126.18	N/A	N/A	2	9	3	20
2015-09-23	$44.61	$0.00	19.0%	5.4%	20.6%	18.9%	20.7%	7.4%	-5.0%	-1.4K	43.1K	-240	4.50	128.88	N/A	N/A	2	9	3	20
2015-09-24	$44.55	$0.00	20.5%	5.9%	19.7%	21.4%	19.9%	4.4%	-7.3%	-1.5K	43.7K	-241	4.50	126.16	N/A	N/A	2	9	3	20
2015-09-25	$44.92	$0.00	25.5%	7.3%	18.9%	29.7%	21.6%	7.6%	-8.7%	-1.3K	41.0K	-244	4.50	119.09	N/A	N/A	2	9	3	20
2015-09-28	$44.32	$0.00	22.3%	6.4%	19.4%	24.3%	20.7%	-1.3%	-0.2%	-1.5K	41.5K	-236	4.50	122.52	N/A	N/A	2	9	3	20
2015-09-29	$44.61	$0.00	22.7%	6.5%	18.7%	24.9%	23.6%	11.7%	-10.2%	-1.4K	43.1K	-236	4.50	124.21	N/A	N/A	2	9	3	20
2015-09-30	$45.17	$0.00	25.9%	7.4%	16.4%	30.4%	28.0%	8.2%	-10.2%	-1.3K	41.5K	-239	4.50	120.78	N/A	N/A	2	9	3	20