RWO Options History — June 2016

In June 2016, RWO traded between $47.91 and $50.25. ATM implied volatility averaged 34.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 20.8% (HV 20d: 13.4%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.07.

Notable Days

2016-06-30: Highest Volume — 13 contracts
2016-06-07: Largest IV spike — 328.0% change
2016-06-07: Highest IV Rank — 83.5%
2016-06-01: Largest Expected Move — 36.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.22	$47.91	$50.25	$48.75	$50.25
Max Pain	$48.09	$48.00	$49.00	$49.00	$48.00
ATM IV	34.2%	12.6%	156.4%	126.1%	13.7%
Expected Move	7.7%	3.6%	36.1%	36.1%	3.9%
HV 20d	13.4%	9.5%	19.3%	14.2%	19.3%
HV 60d	13.2%	12.0%	15.2%	13.6%	15.2%
IV Rank	15.7%	3.8%	83.5%	66.7%	4.4%
IV Percentile	21.4%	0.8%	96.8%	88.5%	3.2%
Term Structure	2.4%	-47.7%	57.9%	-47.7%	0.3%
VWIV	24.3%	13.7%	118.2%	118.2%	17.3%
Skew 25d	4.3%	-8.7%	14.1%	-1.6%	8.2%
Skew 10d	6.0%	-7.7%	14.0%	-1.6%	8.7%
Call IV 25d	28.2%	11.8%	139.6%	139.6%	15.1%
Put IV 25d	32.6%	13.6%	138.0%	138.0%	23.3%
Bid-Ask Spread %	133.78	101.06	190.11	189.72	115.08
Gamma HHI	0.79	0.34	1.00	1.00	0.34
Net GEX	-703	-2.9K	298	-142	-532
Net DEX	4.7K	-3.8K	17.5K	4.6K	-226
Net VEX	-55	-120	-3	-8	-120
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	1.50	4.00	4.00	2.25
Total Volume	6.773	2	13	2	13
Total OI	6.182	2	12	2	12

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
2016-06-01	$48.75	$49.00	126.1%	36.1%	14.2%	66.7%	118.2%	-1.6%	-47.7%	-142	4.6K	-8	0.00	189.72	N/A	N/A	0	2	0	2
2016-06-02	$48.85	$0.00	45.0%	7.9%	14.0%	21.7%	0.0%	14.1%	-5.6%	-510	5.1K	-8	0.00	188.67	N/A	N/A	0	2	0	2
2016-06-03	$49.36	$0.00	132.4%	22.7%	14.5%	70.2%	0.0%	4.4%	-21.6%	-148	4.4K	-8	0.00	190.11	N/A	N/A	0	2	0	2
2016-06-06	$49.20	$0.00	36.5%	6.4%	14.3%	17.0%	0.0%	-0.2%	-9.0%	-621	4.4K	-7	0.00	172.47	N/A	N/A	0	2	0	2
2016-06-07	$49.42	$0.00	156.4%	23.7%	14.1%	83.5%	0.0%	4.6%	-24.1%	-143	4.4K	-6	0.00	187.35	N/A	N/A	0	2	0	2
2016-06-08	$49.71	$0.00	29.6%	8.5%	14.1%	13.2%	0.0%	-8.7%	4.8%	-278	3.8K	-6	0.00	182.49	N/A	N/A	0	2	0	2
2016-06-09	$49.68	$0.00	12.9%	3.7%	12.1%	3.9%	0.0%	4.2%	-1.1%	-2.9K	2.4K	-4	0.00	135.60	N/A	N/A	0	2	0	2
2016-06-10	$49.17	$0.00	13.1%	3.7%	12.7%	4.0%	0.0%	4.0%	54.9%	-1.4K	4.5K	-5	0.00	120.97	N/A	N/A	0	2	0	2
2016-06-13	$48.94	$0.00	14.1%	4.0%	12.3%	4.6%	0.0%	7.7%	57.9%	-1.7K	5.1K	-4	0.00	118.03	N/A	N/A	0	2	0	2
2016-06-14	$48.62	$0.00	14.4%	4.1%	11.7%	4.8%	0.0%	7.2%	49.9%	-1.7K	6.2K	-3	0.00	116.42	N/A	N/A	0	8	0	2
2016-06-15	$49.05	$0.00	14.0%	4.0%	12.1%	4.5%	0.0%	6.9%	0.4%	-2.7K	17.5K	-78	0.00	123.12	N/A	N/A	0	8	0	8
2016-06-16	$49.15	$0.00	13.9%	4.0%	9.9%	4.4%	15.2%	6.9%	-0.1%	-2.7K	17.5K	-76	4.00	119.99	N/A	N/A	2	8	0	8
2016-06-17	$48.79	$48.00	14.4%	4.1%	9.5%	4.7%	16.0%	7.7%	-0.6%	-388	16.5K	-85	4.00	121.42	N/A	N/A	2	8	2	8
2016-06-20	$49.35	$48.00	15.3%	4.4%	9.9%	5.2%	13.7%	5.2%	-0.9%	-365	3.6K	-81	1.50	122.80	N/A	N/A	4	6	2	6
2016-06-21	$49.71	$48.00	13.4%	3.8%	10.1%	4.2%	15.1%	3.3%	-1.3%	-14	-2.4K	-103	1.50	101.06	N/A	N/A	4	6	4	6
2016-06-22	$49.53	$48.00	14.1%	4.1%	9.5%	4.6%	16.0%	4.6%	-0.8%	106	-1.1K	-104	1.50	102.41	N/A	N/A	4	6	4	6
2016-06-23	$50.02	$48.00	12.6%	3.6%	10.0%	3.8%	15.5%	3.9%	-0.5%	35	-3.8K	-98	1.50	104.97	N/A	N/A	4	6	4	6
2016-06-24	$48.41	$48.00	16.4%	4.7%	15.7%	5.8%	16.5%	2.8%	-0.3%	214	4.4K	-105	1.50	113.82	N/A	N/A	4	6	4	6
2016-06-27	$47.91	$48.00	16.4%	4.7%	16.1%	5.9%	16.3%	2.4%	-0.5%	298	7.3K	-101	1.50	106.74	N/A	N/A	4	6	4	6
2016-06-28	$49.10	$48.00	13.8%	4.0%	18.4%	4.4%	15.5%	0.4%	0.1%	286	456	-102	1.50	108.20	N/A	N/A	4	6	4	6
2016-06-29	$49.85	$48.00	13.3%	3.8%	19.1%	4.1%	16.5%	7.0%	-1.5%	-64	-1.9K	-101	2.00	101.74	N/A	N/A	4	8	4	6
2016-06-30	$50.25	$48.00	13.7%	3.9%	19.3%	4.4%	17.3%	8.2%	0.3%	-532	-226	-120	2.25	115.08	N/A	N/A	4	9	4	8