RWO Options History — May 2016 In May 2016, RWO traded between $47.83 and $50.35. ATM implied volatility averaged 88.1%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 74.2% (HV 20d: 13.8%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2016-05-12 : Highest Volume — 2 contracts2016-05-04 : Largest IV spike — 523.7% change2016-05-09 : Highest IV Rank — 78.8%2016-05-04 : Largest Expected Move — 35.5%Monthly Statistics Metric Avg Min Max Open Close Price $49.04 $47.83 $50.35 $49.25 $48.90 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 88.1% 17.5% 148.0% 116.7% 122.4% Expected Move 22.8% 5.0% 35.5% 33.5% 35.1% HV 20d 13.8% 11.4% 15.8% 12.0% 14.2% HV 60d 14.3% 13.6% 15.8% 15.8% 13.6% IV Rank 45.6% 6.5% 78.8% 61.5% 64.6% IV Percentile 66.9% 11.9% 95.6% 86.1% 87.3% Term Structure -25.8% -51.7% 55.1% -45.1% -47.3% VWIV 77.8% 17.6% 117.4% 20.8% 117.4% Skew 25d 7.5% -1.0% 44.9% 40.6% 0.1% Skew 10d 8.6% -1.0% 52.6% 47.8% 0.1% Call IV 25d 83.7% 11.9% 132.1% 125.0% 132.1% Put IV 25d 91.3% 17.7% 176.3% 165.6% 132.2% Bid-Ask Spread % 171.21 115.20 189.35 183.07 186.84 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -143 -912 0 0 -138 Net DEX 2.7K 0 6.1K 0 4.5K Net VEX -6 -12 0 0 -8 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.238 0 2 0 2 Total OI 1.143 0 2 0 2
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 2016-05-02 $49.25 $0.00 116.7% 33.5% 12.0% 61.5% 0.0% 40.6% -45.1% 0 0 0 0.00 183.07 N/A N/A 0 0 0 0 2016-05-03 $48.99 $0.00 19.8% 5.7% 11.9% 7.8% 0.0% 5.4% -5.4% 0 0 0 0.00 151.97 N/A N/A 0 0 0 0 2016-05-04 $49.27 $0.00 123.7% 35.5% 11.9% 65.3% 0.0% 44.9% -51.7% 0 0 0 0.00 174.42 N/A N/A 0 0 0 0 2016-05-05 $49.33 $0.00 130.8% 23.2% 11.5% 69.3% 0.0% 5.3% -26.4% 0 0 0 0.00 166.93 N/A N/A 0 0 0 0 2016-05-06 $49.68 $0.00 129.7% 22.1% 11.4% 68.7% 0.0% 3.1% -26.8% 0 0 0 0.00 182.66 N/A N/A 0 0 0 0 2016-05-09 $50.06 $0.00 148.0% 23.9% 11.6% 78.8% 0.0% 6.4% -27.6% 0 0 0 0.00 165.50 N/A N/A 0 0 0 0 2016-05-10 $50.35 $0.00 28.1% 5.0% 11.6% 12.3% 0.0% 5.0% -4.4% 0 0 0 0.00 153.58 N/A N/A 0 0 0 0 2016-05-11 $49.35 $0.00 87.8% 25.2% 13.9% 45.5% 0.0% 7.3% -32.1% 0 0 0 0.00 166.07 N/A N/A 0 0 0 0 2016-05-12 $49.39 $0.00 17.9% 5.1% 13.7% 6.7% 20.8% 8.3% -0.2% 0 0 0 0.00 138.58 N/A N/A 0 2 0 0 2016-05-13 $48.90 $49.00 85.8% 24.6% 14.1% 44.3% 81.8% 6.0% -35.4% -145 4.5K -12 0.00 180.27 N/A N/A 0 2 0 2 2016-05-16 $49.48 $49.00 87.4% 25.0% 14.6% 45.2% 85.1% 5.8% -37.6% -138 4.5K -11 0.00 186.26 N/A N/A 0 2 0 2 2016-05-17 $49.25 $49.00 17.5% 5.0% 14.7% 6.5% 17.6% 5.8% -1.6% -912 4.6K -11 0.00 115.20 N/A N/A 0 2 0 2 2016-05-18 $48.33 $49.00 93.1% 26.7% 15.8% 48.4% 86.3% 0.4% -30.8% -133 4.6K -11 0.00 189.35 N/A N/A 0 2 0 2 2016-05-19 $47.83 $49.00 97.1% 27.8% 15.4% 50.6% 88.4% -1.0% -37.8% -136 4.5K -11 0.00 178.58 N/A N/A 0 2 0 2 2016-05-20 $48.18 $49.00 96.1% 27.5% 15.5% 50.0% 89.6% 0.5% -39.6% -133 4.5K -11 0.00 182.89 N/A N/A 0 2 0 2 2016-05-23 $48.16 $49.00 20.0% 5.7% 15.1% 7.9% 19.5% 4.9% 55.1% -700 6.1K -9 0.00 169.40 N/A N/A 0 2 0 2 2016-05-24 $48.74 $49.00 103.7% 29.7% 15.6% 54.3% 96.6% 1.2% -39.5% -140 4.6K -10 0.00 184.56 N/A N/A 0 2 0 2 2016-05-25 $48.77 $49.00 106.2% 30.5% 15.6% 55.7% 100.2% 3.9% -37.1% -143 4.5K -10 0.00 174.93 N/A N/A 0 2 0 2 2016-05-26 $48.81 $49.00 107.8% 30.9% 15.4% 56.5% 102.2% 2.4% -40.0% -140 4.5K -9 0.00 176.88 N/A N/A 0 2 0 2 2016-05-27 $48.92 $49.00 109.5% 31.4% 15.3% 57.5% 106.4% 1.7% -29.9% -139 4.4K -9 0.00 187.51 N/A N/A 0 2 0 2 2016-05-31 $48.90 $49.00 122.4% 35.1% 14.2% 64.6% 117.4% 0.1% -47.3% -138 4.5K -8 0.00 186.84 N/A N/A 0 2 0 2
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