RWO Options History — September 2016

In September 2016, RWO traded between $48.60 and $51.80. ATM implied volatility averaged 15.1%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.8% (HV 20d: 15.9%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2016-09-16: Highest Volume — 109 contracts
2016-09-29: Largest IV spike — 62.3% change
2016-09-13: Highest IV Rank — 12.4%
2016-09-29: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.10	$48.60	$51.80	$50.87	$49.95
Max Pain	$49.25	$49.00	$50.00	$50.00	$49.00
ATM IV	15.1%	11.1%	28.3%	14.1%	13.0%
Expected Move	3.8%	3.2%	6.0%	4.0%	3.7%
HV 20d	15.9%	7.7%	19.5%	7.7%	19.4%
HV 60d	14.1%	13.1%	15.8%	13.1%	13.3%
IV Rank	5.2%	2.9%	12.4%	4.6%	4.0%
IV Percentile	18.3%	2.8%	44.8%	18.3%	14.3%
Term Structure	0.9%	-3.5%	2.4%	-0.7%	0.7%
VWIV	12.5%	8.4%	20.6%	14.9%	12.5%
Skew 25d	2.6%	-4.4%	6.1%	-4.4%	1.1%
Skew 10d	2.8%	-1.3%	6.8%	-1.3%	1.4%
Call IV 25d	12.3%	7.9%	21.5%	18.0%	12.0%
Put IV 25d	14.9%	12.4%	22.4%	13.6%	13.0%
Bid-Ask Spread %	130.87	106.02	174.41	136.09	137.70
Gamma HHI	0.42	0.28	0.54	0.41	0.42
Net GEX	18.3K	-2.7K	27.6K	27.6K	22.1K
Net DEX	-61.1K	-167.7K	38.8K	-98.9K	-64.3K
Net VEX	-284	-364	-155	-324	-320
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.16	0.44	0.44	0.26
Total Volume	60.524	49	109	49	67
Total OI	62.762	60	63	63	63

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
2016-09-01	$50.87	$50.00	14.1%	4.0%	7.7%	4.6%	14.9%	-4.4%	-0.7%	27.6K	-98.9K	-324	0.44	136.09	N/A	N/A	34	15	46	17
2016-09-02	$51.20	$50.00	13.1%	3.8%	8.1%	4.0%	14.5%	-2.9%	1.0%	23.0K	-110.6K	-324	0.44	140.14	N/A	N/A	34	15	46	17
2016-09-06	$51.69	$0.00	15.7%	3.2%	8.8%	5.5%	0.0%	4.2%	0.1%	24.5K	-143.6K	-264	0.44	127.41	N/A	N/A	34	15	46	17
2016-09-07	$51.80	$0.00	15.3%	3.2%	8.7%	5.2%	0.0%	5.3%	-0.5%	19.1K	-167.7K	-220	0.44	127.92	N/A	N/A	34	15	46	17
2016-09-08	$51.39	$0.00	15.5%	3.7%	9.2%	5.3%	0.0%	2.8%	0.1%	22.5K	-133.5K	-263	0.44	130.54	N/A	N/A	34	15	46	17
2016-09-09	$49.68	$0.00	20.9%	4.3%	14.8%	8.4%	0.0%	1.1%	0.2%	19.0K	-27.2K	-259	0.44	115.03	N/A	N/A	34	15	46	17
2016-09-12	$50.20	$0.00	22.3%	4.1%	15.4%	9.1%	0.0%	5.0%	0.5%	23.3K	-53.9K	-241	0.44	125.34	N/A	N/A	34	15	46	17
2016-09-13	$48.92	$0.00	28.3%	4.7%	17.6%	12.4%	0.0%	2.5%	0.5%	9.9K	21.6K	-187	0.44	119.35	N/A	N/A	34	15	46	17
2016-09-14	$48.97	$0.00	15.0%	4.3%	17.6%	5.1%	0.0%	5.8%	2.2%	12.1K	14.1K	-185	0.44	112.08	N/A	N/A	34	15	46	17
2016-09-15	$49.20	$0.00	13.8%	4.0%	17.7%	4.4%	0.0%	5.8%	1.9%	15.7K	11.2K	-176	0.44	122.22	N/A	N/A	34	15	46	17
2016-09-16	$48.60	$0.00	13.8%	4.0%	18.0%	4.4%	12.0%	3.7%	1.2%	-2.7K	38.8K	-155	0.16	125.98	N/A	N/A	94	15	46	17
2016-09-19	$48.97	$50.00	12.8%	3.7%	18.2%	3.9%	12.0%	4.8%	2.1%	11.8K	-7.1K	-308	0.26	125.76	N/A	N/A	54	14	44	16
2016-09-20	$49.10	$49.00	11.2%	3.2%	18.2%	3.0%	8.4%	4.8%	1.2%	15.8K	-14.8K	-296	0.26	106.02	N/A	N/A	54	14	46	16
2016-09-21	$49.64	$49.00	11.1%	3.2%	18.7%	2.9%	10.9%	6.1%	1.5%	17.1K	-40.9K	-352	0.26	133.67	N/A	N/A	53	14	46	16
2016-09-22	$50.39	$49.00	11.5%	3.3%	19.5%	3.1%	10.3%	2.1%	2.2%	21.8K	-89.5K	-364	0.26	139.60	N/A	N/A	53	14	47	16
2016-09-23	$50.39	$49.00	11.5%	3.3%	19.5%	3.2%	10.6%	1.9%	1.8%	22.4K	-88.7K	-364	0.26	137.88	N/A	N/A	53	14	47	16
2016-09-26	$50.46	$49.00	12.7%	3.6%	19.1%	3.8%	11.6%	2.1%	1.9%	22.2K	-89.3K	-352	0.26	137.40	N/A	N/A	53	14	47	16
2016-09-27	$50.23	$49.00	12.4%	3.5%	19.0%	3.6%	12.4%	0.0%	2.4%	21.5K	-83.2K	-341	0.26	136.26	N/A	N/A	53	14	47	16
2016-09-28	$50.44	$49.00	12.9%	3.7%	19.1%	3.9%	11.9%	1.4%	1.7%	22.5K	-87.6K	-335	0.26	137.42	N/A	N/A	53	14	47	16
2016-09-29	$49.92	$49.00	21.0%	6.0%	19.4%	8.4%	20.6%	0.9%	-3.5%	13.5K	-67.2K	-344	0.26	174.41	N/A	N/A	53	14	47	16
2016-09-30	$49.95	$49.00	13.0%	3.7%	19.4%	4.0%	12.5%	1.1%	0.7%	22.1K	-64.3K	-320	0.26	137.70	N/A	N/A	53	14	47	16