RWO Options History — February 2016

In February 2016, RWO traded between $42.30 and $45.41. ATM implied volatility averaged 114.3%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded above realized volatility by 91.2% (HV 20d: 23.2%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2016-02-01: Highest Volume — 13 contracts
2016-02-05: Largest IV spike — 510.2% change
2016-02-09: Highest IV Rank — 100.0%
2016-02-03: Largest Expected Move — 39.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.20	$42.30	$45.41	$45.27	$44.99
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	114.3%	24.7%	186.2%	127.3%	130.7%
Expected Move	29.3%	5.2%	39.9%	36.5%	37.5%
HV 20d	23.2%	19.7%	25.8%	23.2%	19.7%
HV 60d	19.1%	18.2%	19.9%	18.4%	19.6%
IV Rank	60.6%	9.9%	100.0%	70.4%	68.9%
IV Percentile	90.8%	54.0%	100.0%	96.4%	95.6%
Term Structure	-41.1%	-62.5%	-1.1%	-37.3%	-51.7%
VWIV	132.1%	128.1%	136.0%	128.1%	136.0%
Skew 25d	11.9%	-7.8%	91.0%	4.2%	17.6%
Skew 10d	12.2%	-7.8%	91.0%	4.2%	17.6%
Call IV 25d	108.8%	14.8%	162.3%	152.6%	138.9%
Put IV 25d	120.7%	26.6%	166.1%	156.8%	156.4%
Bid-Ask Spread %	174.41	136.75	184.40	178.25	175.44
Gamma HHI	0.56	0.38	1.00	0.38	1.00
Net GEX	-1.5K	-7.2K	0	-1.1K	0
Net DEX	45.4K	0	98.2K	37.9K	0
Net VEX	-36	-106	0	-106	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	1.60	1.60	1.60	1.60
Total Volume	9.1	0	13	13	0
Total OI	18.9	0	27	27	0

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
2016-02-01	$45.27	$46.00	127.3%	36.5%	23.2%	70.4%	128.1%	4.2%	-37.3%	-1.1K	37.9K	-106	1.60	178.25	N/A	N/A	5	8	5	22
2016-02-02	$44.45	$46.00	135.6%	38.9%	23.3%	75.3%	132.3%	4.1%	-44.2%	-917	35.1K	-103	1.60	180.90	N/A	N/A	5	8	5	22
2016-02-03	$45.02	$46.00	139.2%	39.9%	23.3%	77.4%	136.0%	3.8%	-56.4%	-973	36.4K	-100	1.60	184.40	N/A	N/A	5	8	5	22
2016-02-04	$45.02	$0.00	24.7%	5.2%	23.2%	9.9%	0.0%	7.1%	-1.1%	-7.2K	58.0K	-82	1.60	144.34	N/A	N/A	5	8	5	22
2016-02-05	$44.20	$0.00	150.7%	24.5%	23.4%	84.1%	0.0%	6.8%	-36.3%	-938	34.7K	-93	1.60	179.65	N/A	N/A	5	8	5	22
2016-02-08	$43.22	$0.00	103.6%	5.8%	23.9%	56.4%	0.0%	8.1%	-1.1%	-2.1K	48.6K	-78	1.60	136.75	N/A	N/A	5	8	5	22
2016-02-09	$42.58	$0.00	186.2%	28.1%	24.1%	100.0%	0.0%	11.2%	-39.2%	-1.2K	47.9K	-72	1.60	181.70	N/A	N/A	5	8	5	22
2016-02-10	$42.81	$0.00	94.0%	27.0%	24.3%	48.3%	0.0%	12.7%	-40.1%	-1.1K	44.9K	-71	1.60	183.91	N/A	N/A	5	8	5	22
2016-02-11	$42.30	$0.00	100.6%	28.8%	24.3%	52.0%	0.0%	-7.8%	-44.6%	-663	92.2K	-3	1.60	170.44	N/A	N/A	5	8	5	22
2016-02-12	$42.71	$0.00	102.4%	29.3%	24.6%	53.0%	0.0%	91.0%	-37.9%	-1.6K	91.5K	-8	1.60	165.20	N/A	N/A	5	8	5	22
2016-02-16	$43.59	$0.00	103.1%	29.6%	25.4%	53.4%	0.0%	10.3%	-53.1%	-1.9K	94.4K	-3	1.60	181.83	N/A	N/A	5	8	5	22
2016-02-17	$44.12	$0.00	102.9%	29.5%	25.8%	53.3%	0.0%	12.6%	-48.5%	-4.7K	93.1K	-5	1.60	175.15	N/A	N/A	5	8	5	22
2016-02-18	$44.30	$0.00	107.6%	30.8%	23.5%	55.9%	0.0%	9.3%	-62.5%	-5.0K	94.7K	-3	1.60	183.79	N/A	N/A	5	8	5	22
2016-02-19	$44.63	$0.00	102.4%	29.4%	23.5%	53.0%	0.0%	-3.9%	-57.4%	0	98.2K	0	1.60	180.42	N/A	N/A	5	8	5	22
2016-02-22	$44.99	$0.00	112.7%	32.3%	22.1%	58.8%	0.0%	4.1%	-42.3%	0	0	0	0.00	177.52	N/A	N/A	0	0	0	0
2016-02-23	$44.60	$0.00	113.0%	32.4%	22.2%	59.0%	0.0%	8.9%	-41.7%	0	0	0	0.00	170.24	N/A	N/A	0	0	0	0
2016-02-24	$44.70	$0.00	113.5%	32.5%	21.2%	59.2%	0.0%	16.2%	-39.7%	0	0	0	0.00	177.93	N/A	N/A	0	0	0	0
2016-02-25	$45.41	$0.00	117.3%	33.6%	21.1%	61.4%	0.0%	10.0%	-47.4%	0	0	0	0.00	178.22	N/A	N/A	0	0	0	0
2016-02-26	$45.10	$0.00	119.5%	34.3%	21.3%	62.6%	0.0%	11.8%	-39.4%	0	0	0	0.00	182.11	N/A	N/A	0	0	0	0
2016-02-29	$44.99	$0.00	130.7%	37.5%	19.7%	68.9%	0.0%	17.6%	-51.7%	0	0	0	0.00	175.44	N/A	N/A	0	0	0	0