RWO Options History — February 2017

In February 2017, RWO traded between $46.67 and $48.38. ATM implied volatility averaged 15.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.0% (HV 20d: 9.0%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.16.

Notable Days

2017-02-01: Highest Volume — 60 contracts
2017-02-08: Largest IV drop — 25.7% change
2017-02-06: Highest IV Rank — 6.9%
2017-02-28: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.58	$46.67	$48.38	$46.67	$48.13
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	15.0%	13.1%	18.3%	15.4%	16.5%
Expected Move	4.1%	3.5%	4.7%	4.4%	4.7%
HV 20d	9.0%	7.2%	11.4%	11.4%	7.4%
HV 60d	12.1%	11.6%	13.2%	13.2%	11.6%
IV Rank	5.1%	4.0%	6.9%	5.3%	6.0%
IV Percentile	38.2%	17.5%	58.3%	42.5%	56.3%
Term Structure	20.0%	-5.7%	43.2%	-1.4%	-5.4%
VWIV	18.9%	18.9%	18.9%	18.9%	18.9%
Skew 25d	2.6%	-0.7%	7.0%	1.8%	-0.7%
Skew 10d	3.5%	0.2%	7.8%	7.8%	1.7%
Call IV 25d	13.8%	12.7%	15.9%	15.6%	15.9%
Put IV 25d	16.4%	14.5%	19.7%	17.4%	15.2%
Bid-Ask Spread %	143.11	129.99	150.78	129.99	145.49
Gamma HHI	0.38	0.21	0.67	0.32	0.54
Net GEX	943	-450	2.9K	985	534
Net DEX	-24.8K	-31.7K	-18.7K	-22.0K	-26.5K
Net VEX	-149	-173	-129	-171	-134
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.11	0.27	0.11	0.25
Total Volume	45.684	14	60	60	15
Total OI	46.474	14	62	62	15

Daily Data (19 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
2017-02-01	$46.67	$46.00	15.4%	4.4%	11.4%	5.3%	18.9%	1.8%	-1.4%	985	-22.0K	-171	0.11	129.99	N/A	N/A	54	6	55	7
2017-02-02	$46.91	$0.00	14.1%	3.9%	10.0%	4.6%	0.0%	7.0%	37.7%	1.3K	-23.3K	-171	0.11	141.12	N/A	N/A	54	6	55	7
2017-02-03	$47.16	$0.00	15.0%	3.5%	9.9%	5.1%	0.0%	2.0%	43.2%	967	-25.8K	-168	0.11	148.63	N/A	N/A	54	6	55	7
2017-02-06	$47.05	$0.00	18.3%	3.8%	9.8%	6.9%	0.0%	1.6%	40.0%	2.9K	-28.2K	-173	0.11	142.91	N/A	N/A	54	6	55	7
2017-02-07	$46.94	$0.00	17.6%	4.3%	9.3%	6.5%	0.0%	2.2%	40.2%	2.0K	-26.3K	-167	0.11	130.91	N/A	N/A	54	6	55	7
2017-02-08	$47.37	$0.00	13.1%	3.8%	9.6%	4.0%	0.0%	3.2%	17.0%	2.0K	-26.3K	-165	0.11	144.29	N/A	N/A	54	6	55	7
2017-02-09	$47.46	$0.00	13.7%	3.9%	9.3%	4.4%	0.0%	3.1%	36.6%	1.5K	-30.5K	-160	0.11	142.56	N/A	N/A	54	6	55	7
2017-02-10	$47.67	$0.00	14.1%	4.0%	9.4%	4.7%	0.0%	4.3%	40.0%	1.9K	-31.7K	-161	0.11	139.64	N/A	N/A	54	6	55	7
2017-02-13	$47.64	$0.00	14.4%	4.1%	9.4%	4.9%	0.0%	1.3%	41.8%	242	-22.3K	-147	0.11	149.22	N/A	N/A	54	6	53	7
2017-02-14	$47.46	$0.00	14.3%	4.1%	9.4%	4.8%	0.0%	2.7%	14.7%	240	-18.7K	-145	0.11	146.19	N/A	N/A	54	6	53	7
2017-02-15	$47.45	$0.00	14.7%	4.2%	9.4%	5.0%	0.0%	3.8%	41.4%	-373	-19.8K	-140	0.11	140.72	N/A	N/A	54	6	53	7
2017-02-16	$47.59	$0.00	14.5%	4.1%	8.5%	4.9%	0.0%	4.5%	38.9%	-450	-22.8K	-139	0.11	146.90	N/A	N/A	54	6	53	7
2017-02-17	$47.64	$0.00	14.8%	4.2%	8.3%	5.1%	0.0%	0.3%	14.3%	922	-22.3K	-134	0.11	146.31	N/A	N/A	54	6	53	7
2017-02-21	$48.05	$0.00	14.0%	4.0%	8.2%	4.6%	0.0%	4.7%	-5.7%	1.1K	-22.3K	-129	0.27	142.44	N/A	N/A	11	3	11	3
2017-02-22	$47.93	$0.00	14.3%	4.1%	8.2%	4.8%	0.0%	2.1%	-0.0%	528	-23.5K	-130	0.27	150.78	N/A	N/A	11	3	11	3
2017-02-23	$48.22	$0.00	15.2%	4.4%	8.2%	5.3%	0.0%	1.7%	-5.0%	515	-25.0K	-130	0.25	142.77	N/A	N/A	12	3	11	3
2017-02-24	$48.27	$0.00	14.5%	4.2%	8.1%	4.9%	0.0%	1.6%	-3.8%	539	-26.6K	-137	0.25	145.53	N/A	N/A	12	3	12	3
2017-02-27	$48.38	$0.00	15.8%	4.5%	7.2%	5.6%	0.0%	2.4%	-4.7%	540	-26.7K	-134	0.25	142.64	N/A	N/A	12	3	12	3
2017-02-28	$48.13	$0.00	16.5%	4.7%	7.4%	6.0%	0.0%	-0.7%	-5.4%	534	-26.5K	-134	0.25	145.49	N/A	N/A	12	3	12	3