RWO Options History — November 2015

In November 2015, RWO traded between $45.54 and $48.39. ATM implied volatility averaged 58.5%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 44.0% (HV 20d: 14.5%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2015-11-02: Highest Volume — 16 contracts
2015-11-30: Largest IV spike — 107.3% change
2015-11-02: Highest IV Rank — 100.0%
2015-11-30: Largest Expected Move — 34.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.81	$45.54	$48.39	$48.39	$46.99
Max Pain	$47.55	$45.00	$48.00	$45.00	$48.00
ATM IV	58.5%	31.7%	121.5%	58.6%	121.5%
Expected Move	15.2%	9.1%	34.8%	16.8%	34.8%
HV 20d	14.5%	10.7%	15.8%	10.7%	15.6%
HV 60d	17.8%	14.8%	19.8%	18.5%	14.8%
IV Rank	73.6%	33.9%	100.0%	100.0%	100.0%
IV Percentile	94.9%	78.2%	100.0%	100.0%	100.0%
Term Structure	-18.5%	-44.1%	9.2%	-20.6%	-44.1%
VWIV	54.4%	43.3%	64.9%	53.3%	64.9%
Skew 25d	-1.6%	-10.3%	9.3%	-1.7%	1.4%
Skew 10d	-0.4%	-10.3%	15.5%	11.2%	1.4%
Call IV 25d	65.0%	10.5%	135.2%	78.5%	135.2%
Put IV 25d	63.4%	19.7%	136.5%	76.8%	136.5%
Bid-Ask Spread %	177.50	154.64	200.00	173.26	200.00
Gamma HHI	0.37	0.34	0.44	0.35	0.39
Net GEX	-957	-1.9K	3.9K	-771	-951
Net DEX	17.4K	2.5K	30.7K	3.7K	26.4K
Net VEX	-224	-252	-192	-249	-192
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	1.29	1.80	1.29	1.80
Total Volume	11	0	16	16	0
Total OI	29.4	25	31	31	25

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
2015-11-02	$48.39	$45.00	58.6%	16.8%	10.7%	100.0%	53.3%	-1.7%	-20.6%	-771	3.7K	-249	1.29	173.26	N/A	N/A	7	9	11	20
2015-11-03	$48.08	$45.00	62.5%	17.9%	11.0%	100.0%	55.4%	5.0%	-24.3%	-1.2K	6.7K	-249	1.29	172.65	N/A	N/A	7	9	11	20
2015-11-04	$47.60	$45.00	65.5%	18.8%	11.6%	100.0%	55.6%	8.6%	-27.6%	-946	9.3K	-252	1.29	171.18	N/A	N/A	7	9	11	20
2015-11-05	$47.81	$48.00	66.6%	12.4%	11.2%	100.0%	43.3%	9.3%	-14.2%	-1.7K	2.5K	-243	1.29	154.64	N/A	N/A	7	9	11	20
2015-11-06	$46.65	$48.00	68.4%	11.3%	14.2%	100.0%	0.0%	-3.4%	-15.1%	-1.2K	11.9K	-246	0.00	191.24	N/A	N/A	0	0	11	20
2015-11-09	$45.73	$48.00	78.8%	12.0%	15.6%	100.0%	0.0%	-10.3%	-15.6%	-1.2K	21.3K	-240	0.00	186.06	N/A	N/A	0	0	11	20
2015-11-10	$46.09	$48.00	66.2%	12.1%	15.8%	82.3%	49.5%	-4.2%	-15.9%	-595	19.2K	-237	1.29	176.30	N/A	N/A	7	9	11	20
2015-11-11	$46.19	$48.00	43.6%	12.5%	15.8%	50.5%	50.1%	-2.0%	-15.1%	-843	18.6K	-236	1.29	176.34	N/A	N/A	7	9	11	20
2015-11-12	$46.03	$48.00	50.2%	14.4%	14.7%	59.9%	50.8%	-1.6%	-15.5%	-800	18.9K	-232	1.29	157.73	N/A	N/A	7	9	11	20
2015-11-13	$45.54	$48.00	44.7%	12.8%	14.8%	52.1%	52.0%	-6.0%	-13.2%	-996	20.1K	-229	1.29	172.71	N/A	N/A	7	9	11	20
2015-11-16	$46.04	$48.00	46.1%	13.2%	15.1%	54.1%	0.0%	-8.8%	-18.4%	-1.2K	18.8K	-223	0.00	184.01	N/A	N/A	0	0	11	20
2015-11-17	$46.19	$48.00	49.3%	14.1%	15.2%	58.6%	54.1%	-0.7%	-16.3%	-907	19.2K	-220	1.29	168.09	N/A	N/A	7	9	11	20
2015-11-18	$46.57	$48.00	48.9%	14.0%	15.6%	58.1%	55.3%	-2.4%	-20.9%	-1.1K	17.5K	-217	1.29	169.74	N/A	N/A	7	9	11	20
2015-11-19	$46.87	$48.00	31.7%	9.1%	15.2%	33.9%	57.4%	-4.1%	9.2%	3.9K	17.4K	-207	1.29	160.45	N/A	N/A	7	9	10	20
2015-11-20	$47.21	$48.00	50.6%	14.5%	15.5%	60.4%	57.0%	3.1%	-20.3%	-1.7K	5.1K	-206	1.29	184.47	N/A	N/A	7	9	10	20
2015-11-23	$47.11	$48.00	51.0%	14.6%	15.5%	61.0%	0.0%	-0.2%	-14.6%	-1.9K	27.1K	-202	0.00	196.77	N/A	N/A	0	0	5	20
2015-11-24	$46.91	$48.00	52.2%	15.0%	15.5%	62.6%	0.0%	-2.1%	-16.9%	-1.8K	26.3K	-201	0.00	193.67	N/A	N/A	0	0	5	20
2015-11-25	$47.05	$48.00	55.1%	15.8%	15.6%	66.4%	62.9%	-6.7%	-23.2%	-1.5K	30.7K	-199	1.80	187.87	N/A	N/A	5	9	5	20
2015-11-27	$47.17	$48.00	58.6%	16.8%	15.6%	71.4%	64.9%	-6.0%	-28.2%	-1.6K	27.7K	-196	1.80	172.80	N/A	N/A	5	9	5	20
2015-11-30	$46.99	$48.00	121.5%	34.8%	15.6%	100.0%	0.0%	1.4%	-44.1%	-951	26.4K	-192	0.00	200.00	N/A	N/A	0	0	5	20