RWO Options History — March 2016 In March 2016, RWO traded between $46.20 and $49.03. ATM implied volatility averaged 96.4%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 79.4% (HV 20d: 16.9%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days.
Notable Days 2016-03-07 : Largest IV spike — 513.0% change2016-03-08 : Highest IV Rank — 91.5%2016-03-02 : Largest Expected Move — 38.2%Monthly Statistics Metric Avg Min Max Open Close Price $47.57 $46.20 $49.03 $46.20 $49.03 ATM IV 96.4% 16.7% 171.1% 130.3% 129.4% Expected Move 24.9% 4.8% 38.2% 37.4% 37.1% HV 20d 16.9% 14.5% 21.8% 21.8% 14.5% HV 60d 19.9% 19.6% 20.2% 20.0% 19.8% IV Rank 49.6% 5.0% 91.5% 68.7% 68.1% IV Percentile 76.6% 18.7% 99.2% 94.8% 92.9% Term Structure -29.2% -61.2% 48.5% -57.3% -61.2% Skew 25d 19.6% -3.8% 45.5% 22.7% 45.5% Skew 10d 19.5% -3.4% 45.5% 22.7% 45.5% Call IV 25d 92.0% 14.9% 139.4% 139.4% 136.1% Put IV 25d 111.5% 14.4% 181.6% 162.2% 181.6% Bid-Ask Spread % 173.79 132.33 190.96 177.78 174.67 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (22 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 2016-03-01 $46.20 $0.00 130.3% 37.4% 21.8% 68.7% 0.0% 22.7% -57.3% 0 0 0 0.00 177.78 N/A N/A 0 0 0 0 2016-03-02 $46.49 $0.00 133.1% 38.2% 20.6% 70.2% 0.0% 30.7% -56.9% 0 0 0 0.00 177.65 N/A N/A 0 0 0 0 2016-03-03 $46.73 $0.00 135.3% 24.4% 20.3% 71.5% 0.0% 13.9% -20.0% 0 0 0 0.00 160.30 N/A N/A 0 0 0 0 2016-03-04 $46.91 $0.00 25.5% 5.1% 20.3% 9.9% 0.0% 3.8% -3.8% 0 0 0 0.00 153.23 N/A N/A 0 0 0 0 2016-03-07 $46.80 $0.00 156.6% 25.0% 18.9% 83.4% 0.0% 4.9% -28.3% 0 0 0 0.00 186.84 N/A N/A 0 0 0 0 2016-03-08 $46.44 $0.00 171.1% 26.5% 16.9% 91.5% 0.0% 16.4% -23.1% 0 0 0 0.00 159.07 N/A N/A 0 0 0 0 2016-03-09 $46.60 $0.00 16.7% 4.8% 15.5% 5.0% 0.0% 6.0% 1.1% 0 0 0 0.00 132.33 N/A N/A 0 0 0 0 2016-03-10 $46.50 $0.00 91.2% 26.1% 15.6% 46.7% 0.0% 5.5% -25.2% 0 0 0 0.00 180.92 N/A N/A 0 0 0 0 2016-03-11 $47.64 $0.00 18.7% 5.4% 16.0% 6.1% 0.0% 3.8% -4.7% 0 0 0 0.00 146.76 N/A N/A 0 0 0 0 2016-03-14 $47.51 $0.00 92.2% 26.4% 16.2% 47.3% 0.0% 20.7% -26.1% 0 0 0 0.00 174.78 N/A N/A 0 0 0 0 2016-03-15 $47.57 $0.00 94.7% 27.1% 15.2% 48.7% 0.0% 18.1% -31.3% 0 0 0 0.00 184.11 N/A N/A 0 0 0 0 2016-03-16 $48.14 $0.00 95.9% 27.5% 15.2% 49.4% 0.0% 17.9% -33.3% 0 0 0 0.00 183.40 N/A N/A 0 0 0 0 2016-03-17 $48.86 $0.00 17.6% 5.1% 15.6% 5.5% 0.0% -3.8% 48.5% 0 0 0 0.00 164.74 N/A N/A 0 0 0 0 2016-03-18 $48.40 $0.00 98.5% 28.2% 16.4% 50.9% 0.0% 30.9% -29.6% 0 0 0 0.00 183.01 N/A N/A 0 0 0 0 2016-03-21 $48.11 $0.00 105.7% 30.3% 16.7% 54.9% 0.0% 29.9% -36.9% 0 0 0 0.00 187.51 N/A N/A 0 0 0 0 2016-03-22 $47.99 $0.00 105.2% 30.2% 16.3% 54.6% 0.0% 26.5% -43.4% 0 0 0 0.00 182.25 N/A N/A 0 0 0 0 2016-03-23 $47.70 $0.00 108.7% 31.2% 16.6% 56.6% 0.0% 26.8% -44.3% 0 0 0 0.00 181.88 N/A N/A 0 0 0 0 2016-03-24 $47.47 $0.00 22.5% 6.5% 16.2% 8.2% 0.0% 6.0% -7.4% 0 0 0 0.00 165.57 N/A N/A 0 0 0 0 2016-03-28 $47.77 $0.00 123.6% 35.4% 15.9% 64.9% 0.0% 31.9% -50.8% 0 0 0 0.00 190.96 N/A N/A 0 0 0 0 2016-03-29 $48.72 $0.00 120.8% 34.6% 16.8% 63.3% 0.0% 28.5% -51.7% 0 0 0 0.00 188.19 N/A N/A 0 0 0 0 2016-03-30 $48.94 $0.00 126.6% 36.3% 14.5% 66.6% 0.0% 43.7% -56.4% 0 0 0 0.00 187.41 N/A N/A 0 0 0 0 2016-03-31 $49.03 $0.00 129.4% 37.1% 14.5% 68.1% 0.0% 45.5% -61.2% 0 0 0 0.00 174.67 N/A N/A 0 0 0 0
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