RWO Options History — October 2016

In October 2016, RWO traded between $46.18 and $49.21. ATM implied volatility averaged 15.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.3% (HV 20d: 15.0%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.26.

Notable Days

2016-10-20: Highest Volume — 114 contracts
2016-10-28: Largest IV spike — 46.4% change
2016-10-28: Highest IV Rank — 10.3%
2016-10-28: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.40	$46.18	$49.21	$49.21	$46.77
Max Pain	$49.62	$49.00	$50.00	$49.00	$49.00
ATM IV	15.4%	10.7%	24.4%	13.8%	18.2%
Expected Move	4.4%	3.1%	7.0%	4.0%	5.2%
HV 20d	15.0%	12.1%	20.3%	19.8%	14.2%
HV 60d	14.0%	13.3%	14.6%	13.3%	14.6%
IV Rank	5.3%	2.7%	10.3%	4.4%	6.8%
IV Percentile	26.5%	1.2%	45.6%	20.2%	40.1%
Term Structure	14.7%	-5.4%	38.6%	1.7%	-5.4%
VWIV	15.3%	11.6%	26.4%	13.8%	17.2%
Skew 25d	3.0%	-5.4%	6.8%	0.7%	3.4%
Skew 10d	1.9%	-1.3%	5.7%	-0.8%	3.3%
Call IV 25d	13.8%	9.1%	25.2%	13.7%	16.6%
Put IV 25d	16.9%	13.8%	24.4%	14.4%	20.0%
Bid-Ask Spread %	126.11	115.56	142.70	136.59	133.71
Gamma HHI	0.28	0.22	0.41	0.41	0.22
Net GEX	1.3K	-3.4K	16.6K	16.6K	84
Net DEX	-9.5K	-43.7K	60.3K	-21.5K	-25.5K
Net VEX	-439	-584	-147	-267	-510
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.20	0.36	0.26	0.30
Total Volume	91	67	114	67	74
Total OI	82.286	63	106	63	66

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
2016-10-03	$49.21	$49.00	13.8%	4.0%	19.8%	4.4%	13.8%	0.7%	1.7%	16.6K	-21.5K	-267	0.26	136.59	N/A	N/A	53	14	47	16
2016-10-04	$48.41	$49.00	15.9%	4.6%	19.9%	5.6%	14.6%	4.4%	1.7%	10.2K	-4.7K	-247	0.30	115.56	N/A	N/A	53	16	47	16
2016-10-05	$47.68	$49.00	15.8%	4.5%	20.3%	5.5%	17.9%	0.1%	-0.1%	3.6K	33.7K	-198	0.30	125.46	N/A	N/A	53	16	47	18
2016-10-06	$47.44	$50.00	17.0%	4.9%	20.2%	6.2%	15.4%	4.9%	30.4%	4.1K	31.6K	-212	0.36	117.34	N/A	N/A	53	19	47	18
2016-10-07	$47.24	$50.00	16.0%	4.7%	16.9%	5.6%	15.0%	0.5%	30.1%	1.7K	49.4K	-183	0.35	118.53	N/A	N/A	54	19	47	20
2016-10-10	$47.36	$50.00	16.7%	4.5%	16.3%	6.0%	14.2%	4.8%	-1.0%	-3.4K	60.3K	-147	0.20	117.28	N/A	N/A	94	19	45	20
2016-10-11	$46.75	$50.00	16.7%	4.6%	14.4%	6.0%	14.2%	2.8%	-3.0%	2.2K	44.4K	-341	0.20	118.40	N/A	N/A	94	19	85	20
2016-10-12	$47.06	$50.00	15.9%	4.6%	14.7%	5.6%	13.9%	3.5%	34.9%	-301	-24.3K	-576	0.20	122.58	N/A	N/A	94	19	85	20
2016-10-13	$47.39	$50.00	16.1%	4.6%	14.9%	5.7%	15.1%	5.3%	31.4%	-393	-33.4K	-584	0.20	121.92	N/A	N/A	94	19	85	20
2016-10-14	$47.32	$50.00	15.2%	4.4%	14.4%	5.2%	13.3%	6.8%	36.1%	-219	-33.7K	-579	0.20	123.26	N/A	N/A	94	19	85	20
2016-10-17	$47.25	$50.00	14.8%	4.2%	14.0%	4.9%	13.8%	6.4%	37.3%	-1.0K	-31.6K	-565	0.20	119.81	N/A	N/A	94	19	85	20
2016-10-18	$47.57	$50.00	12.4%	3.6%	14.2%	3.6%	13.0%	3.7%	38.5%	-1.5K	-30.1K	-567	0.20	127.25	N/A	N/A	94	19	85	20
2016-10-19	$47.82	$50.00	12.0%	3.4%	13.7%	3.4%	12.3%	4.8%	38.6%	-1.6K	-32.8K	-565	0.20	126.38	N/A	N/A	94	19	85	20
2016-10-20	$47.75	$50.00	10.7%	3.1%	12.2%	2.7%	11.8%	1.2%	35.4%	-2.3K	-43.7K	-560	0.20	124.15	N/A	N/A	95	19	85	20
2016-10-21	$47.57	$50.00	11.3%	3.2%	12.1%	3.0%	11.6%	5.9%	1.1%	1.7K	24.3K	-426	0.20	117.61	N/A	N/A	95	19	86	20
2016-10-24	$47.64	$50.00	14.6%	4.2%	12.1%	4.8%	14.7%	5.7%	-1.5%	-1.4K	-37.4K	-555	0.31	139.41	N/A	N/A	54	17	45	19
2016-10-25	$47.71	$49.00	13.5%	3.9%	12.2%	4.3%	13.8%	4.0%	1.3%	-780	-39.9K	-555	0.31	142.70	N/A	N/A	54	17	47	19
2016-10-26	$47.16	$49.00	15.5%	4.4%	12.3%	5.3%	17.1%	1.5%	0.8%	-220	-38.9K	-546	0.31	137.79	N/A	N/A	54	17	47	19
2016-10-27	$46.18	$49.00	16.7%	4.8%	13.6%	6.0%	22.7%	-5.4%	2.0%	313	-26.4K	-530	0.32	121.19	N/A	N/A	53	17	47	19
2016-10-28	$46.18	$49.00	24.4%	7.0%	13.6%	10.3%	26.4%	-0.8%	-2.4%	519	-19.9K	-516	0.31	141.48	N/A	N/A	55	17	47	19
2016-10-31	$46.77	$49.00	18.2%	5.2%	14.2%	6.8%	17.2%	3.4%	-5.4%	84	-25.5K	-510	0.30	133.71	N/A	N/A	57	17	47	19