RWO Options History — January 2016

In January 2016, RWO traded between $42.91 and $46.78. ATM implied volatility averaged 83.8%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 65.7% (HV 20d: 18.1%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.61.

Notable Days

2016-01-04: Highest Volume — 14 contracts
2016-01-12: Largest IV spike — 925.6% change
2016-01-04: Highest IV Rank — 100.0%
2016-01-27: Largest Expected Move — 33.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.70	$42.91	$46.78	$46.15	$45.02
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	83.8%	7.8%	177.6%	166.1%	117.0%
Expected Move	20.7%	4.9%	33.9%	22.8%	33.5%
HV 20d	18.1%	15.4%	23.1%	15.6%	23.1%
HV 60d	16.2%	14.8%	18.4%	14.8%	18.4%
IV Rank	44.9%	0.0%	100.0%	100.0%	64.3%
IV Percentile	79.6%	0.0%	100.0%	100.0%	94.8%
Term Structure	-25.4%	-58.6%	3.7%	-38.9%	-38.9%
VWIV	67.4%	15.8%	118.8%	83.4%	22.8%
Skew 25d	5.1%	-6.6%	15.2%	6.0%	9.5%
Skew 10d	4.9%	-6.5%	16.5%	6.0%	9.5%
Call IV 25d	80.8%	16.9%	138.6%	94.1%	137.3%
Put IV 25d	85.8%	22.5%	146.8%	100.1%	146.8%
Bid-Ask Spread %	172.66	119.57	199.09	183.22	199.09
Gamma HHI	0.39	0.37	0.45	0.39	0.38
Net GEX	-2.0K	-6.1K	-864	-864	-987
Net DEX	41.2K	29.5K	70.7K	31.6K	34.5K
Net VEX	-136	-169	-90	-157	-116
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	1.60	1.80	1.80	1.60
Total Volume	12.368	0	14	14	0
Total OI	26.789	25	27	25	27

Daily Data (19 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
2016-01-04	$46.15	$46.00	166.1%	22.8%	15.6%	100.0%	83.4%	6.0%	-38.9%	-864	31.6K	-157	1.80	183.22	N/A	N/A	5	9	5	20
2016-01-05	$46.78	$46.00	38.2%	6.6%	15.4%	16.7%	23.4%	9.4%	-1.6%	-3.3K	29.5K	-153	1.60	170.99	N/A	N/A	5	8	5	20
2016-01-06	$46.44	$46.00	177.6%	23.9%	15.5%	100.0%	84.2%	4.3%	-32.4%	-1.1K	31.4K	-169	1.60	165.66	N/A	N/A	5	8	5	22
2016-01-07	$45.70	$46.00	71.8%	10.4%	16.5%	35.9%	34.7%	15.2%	-7.4%	-2.3K	33.9K	-165	1.60	182.48	N/A	N/A	5	8	5	22
2016-01-08	$44.89	$46.00	102.2%	24.2%	17.4%	54.3%	87.3%	10.8%	-38.2%	-894	33.0K	-163	1.60	179.50	N/A	N/A	5	8	5	22
2016-01-11	$45.13	$46.00	7.8%	24.8%	17.5%	0.0%	87.2%	5.1%	-42.9%	-909	35.4K	-156	1.60	185.03	N/A	N/A	5	8	5	22
2016-01-12	$45.06	$46.00	80.4%	9.0%	17.3%	42.7%	30.1%	11.4%	3.7%	-2.7K	44.3K	-153	1.60	163.29	N/A	N/A	5	8	5	22
2016-01-13	$44.51	$46.00	90.8%	26.0%	17.6%	48.8%	89.8%	6.2%	-44.6%	-906	34.6K	-151	1.60	186.90	N/A	N/A	5	8	5	22
2016-01-14	$44.56	$46.00	96.3%	27.6%	17.2%	52.1%	58.9%	0.2%	-58.6%	-898	37.4K	-149	1.60	182.43	N/A	N/A	5	8	5	22
2016-01-15	$43.93	$46.00	95.6%	27.4%	15.5%	51.7%	91.7%	-2.6%	-49.6%	-890	37.7K	-145	1.60	175.63	N/A	N/A	5	8	5	22
2016-01-19	$44.15	$46.00	103.6%	29.7%	15.6%	56.4%	98.6%	1.3%	-20.4%	-943	37.0K	-138	1.60	178.25	N/A	N/A	5	8	5	22
2016-01-20	$42.91	$46.00	105.0%	30.1%	17.6%	57.2%	100.1%	-6.6%	-30.0%	-866	36.5K	-132	1.60	185.63	N/A	N/A	5	8	5	22
2016-01-21	$43.15	$46.00	34.8%	10.0%	17.9%	15.9%	39.1%	10.3%	-6.0%	-2.7K	62.6K	-106	1.60	158.65	N/A	N/A	5	8	5	22
2016-01-22	$44.22	$46.00	17.3%	4.9%	20.3%	5.5%	15.8%	5.6%	-0.2%	-6.1K	70.7K	-90	1.60	119.57	N/A	N/A	5	8	5	22
2016-01-25	$43.90	$46.00	28.2%	8.1%	19.8%	12.0%	33.1%	3.6%	-2.6%	-3.8K	56.5K	-111	1.60	172.53	N/A	N/A	5	8	5	22
2016-01-26	$44.73	$46.00	118.0%	33.8%	21.2%	64.9%	118.8%	-1.8%	-35.8%	-980	35.4K	-123	1.60	162.67	N/A	N/A	5	8	5	22
2016-01-27	$44.05	$46.00	118.1%	33.9%	21.7%	65.0%	113.5%	-1.5%	-34.1%	-981	37.3K	-119	1.60	179.51	N/A	N/A	5	8	5	22
2016-01-28	$44.02	$46.00	23.1%	6.6%	21.2%	9.0%	22.8%	9.9%	-3.4%	-5.3K	62.9K	-94	1.60	149.54	N/A	N/A	5	8	5	22
2016-01-29	$45.02	$46.00	117.0%	33.5%	23.1%	64.3%	0.0%	9.5%	-38.9%	-987	34.5K	-116	0.00	199.09	N/A	N/A	0	0	5	22