RWO Options History — November 2016

In November 2016, RWO traded between $44.90 and $46.64. ATM implied volatility averaged 18.3%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 14.8%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2016-11-17: Highest Volume — 75 contracts
2016-11-29: Largest IV spike — 34.8% change
2016-11-29: Highest IV Rank — 10.7%
2016-11-29: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.59	$44.90	$46.64	$46.02	$45.87
Max Pain	$45.90	$45.00	$49.00	$49.00	$45.00
ATM IV	18.3%	14.4%	25.1%	18.5%	20.9%
Expected Move	5.0%	3.6%	7.2%	5.3%	6.0%
HV 20d	14.8%	13.0%	16.5%	14.1%	13.0%
HV 60d	15.6%	14.9%	16.0%	14.9%	15.9%
IV Rank	6.9%	4.7%	10.7%	7.0%	8.4%
IV Percentile	40.4%	25.8%	54.4%	40.9%	50.0%
Term Structure	20.6%	-10.3%	46.9%	-0.5%	-10.3%
VWIV	18.1%	11.1%	26.9%	20.9%	22.8%
Skew 25d	4.9%	-2.6%	11.3%	0.1%	9.7%
Skew 10d	3.0%	-0.7%	7.9%	1.3%	6.5%
Call IV 25d	17.1%	13.2%	26.0%	20.0%	18.6%
Put IV 25d	22.0%	17.7%	37.4%	20.1%	28.4%
Bid-Ask Spread %	135.58	116.71	166.14	134.14	127.43
Gamma HHI	0.26	0.21	0.34	0.24	0.25
Net GEX	2.3K	1.1K	3.5K	1.1K	3.4K
Net DEX	-23.5K	-71.6K	42.7K	-20.2K	-70.1K
Net VEX	-420	-500	-149	-500	-405
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.11	0.30	0.30	0.11
Total Volume	65.762	49	75	74	49
Total OI	62	49	69	68	50

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
2016-11-01	$46.02	$49.00	18.5%	5.3%	14.1%	7.0%	20.9%	0.1%	-0.5%	1.1K	-20.2K	-500	0.30	134.14	N/A	N/A	57	17	49	19
2016-11-02	$45.76	$49.00	19.4%	5.6%	13.4%	7.5%	21.8%	5.4%	-5.3%	1.3K	-15.9K	-491	0.30	130.96	N/A	N/A	57	17	49	19
2016-11-03	$45.58	$46.00	21.3%	6.1%	13.4%	8.6%	23.3%	4.0%	34.3%	1.2K	-16.1K	-479	0.30	116.71	N/A	N/A	57	17	49	19
2016-11-04	$45.70	$46.00	20.6%	4.7%	13.4%	8.2%	16.0%	0.1%	1.4%	2.6K	42.7K	-299	0.30	132.45	N/A	N/A	57	17	49	19
2016-11-07	$46.19	$46.00	22.5%	4.3%	14.1%	9.2%	14.6%	3.9%	42.0%	1.9K	-7.6K	-462	0.30	132.60	N/A	N/A	57	17	49	19
2016-11-08	$46.64	$46.00	19.3%	3.6%	13.9%	7.4%	11.1%	5.9%	46.5%	1.6K	-18.1K	-480	0.30	132.77	N/A	N/A	57	17	49	19
2016-11-09	$46.00	$46.00	18.0%	5.2%	14.4%	6.7%	16.3%	7.8%	41.7%	1.2K	-22.6K	-479	0.30	166.14	N/A	N/A	57	17	49	19
2016-11-10	$45.11	$46.00	17.6%	5.1%	15.5%	6.5%	20.4%	-2.6%	43.2%	1.6K	-9.8K	-448	0.30	124.44	N/A	N/A	57	17	49	19
2016-11-11	$45.15	$46.00	17.0%	4.9%	15.5%	6.2%	15.5%	4.7%	42.5%	1.9K	-4.5K	-437	0.30	132.04	N/A	N/A	57	17	49	19
2016-11-14	$45.63	$46.00	16.9%	4.9%	16.2%	6.2%	14.5%	10.7%	46.9%	1.8K	-5.7K	-432	0.30	134.92	N/A	N/A	57	17	49	19
2016-11-15	$45.42	$46.00	16.7%	4.8%	15.9%	6.0%	19.3%	4.1%	43.7%	2.0K	-6.2K	-429	0.30	132.88	N/A	N/A	57	17	49	19
2016-11-16	$45.15	$46.00	15.4%	4.4%	15.7%	5.3%	15.7%	3.5%	44.3%	2.2K	-2.8K	-423	0.30	136.39	N/A	N/A	57	17	49	19
2016-11-17	$45.09	$46.00	14.4%	4.1%	15.7%	4.7%	18.2%	3.8%	43.6%	2.2K	-3.7K	-420	0.29	127.77	N/A	N/A	58	17	49	19
2016-11-18	$45.02	$45.00	15.0%	4.3%	15.7%	5.1%	15.5%	3.9%	42.0%	3.2K	-3.2K	-422	0.29	138.13	N/A	N/A	58	17	50	19
2016-11-21	$44.90	$45.00	15.5%	4.4%	15.6%	5.4%	18.2%	-1.1%	-1.5%	3.1K	-61.4K	-413	0.11	138.12	N/A	N/A	44	5	43	6
2016-11-22	$45.45	$45.00	15.7%	4.5%	16.5%	5.5%	15.4%	4.0%	-2.6%	3.5K	-67.0K	-419	0.11	143.66	N/A	N/A	44	5	44	6
2016-11-23	$45.31	$45.00	18.2%	5.2%	16.1%	6.9%	16.5%	7.9%	-5.6%	3.4K	-62.9K	-418	0.11	133.54	N/A	N/A	44	5	44	6
2016-11-25	$45.50	$45.00	18.3%	5.3%	14.6%	6.9%	17.1%	8.1%	-2.1%	3.3K	-69.4K	-415	0.11	136.27	N/A	N/A	44	5	44	6
2016-11-28	$45.77	$45.00	18.6%	5.3%	14.8%	7.1%	19.5%	7.7%	-6.4%	3.3K	3.7K	-149	0.11	134.99	N/A	N/A	44	5	44	6
2016-11-29	$46.06	$45.00	25.1%	7.2%	14.2%	10.7%	26.9%	11.3%	-5.6%	3.3K	-71.6K	-408	0.11	160.83	N/A	N/A	44	5	44	6
2016-11-30	$45.87	$45.00	20.9%	6.0%	13.0%	8.4%	22.8%	9.7%	-10.3%	3.4K	-70.1K	-405	0.11	127.43	N/A	N/A	44	5	44	6