RWO Options History — April 2017

In April 2017, RWO traded between $47.18 and $48.63. ATM implied volatility averaged 13.9%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 6.8% (HV 20d: 7.1%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2017-04-27: Highest Volume — 70 contracts
2017-04-12: Largest IV drop — 23.5% change
2017-04-11: Highest IV Rank — 6.4%
2017-04-17: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.90	$47.18	$48.63	$47.18	$47.37
Max Pain	$45.47	$45.00	$48.00	$48.00	$45.00
ATM IV	13.9%	11.8%	15.5%	12.5%	14.0%
Expected Move	3.8%	3.1%	4.4%	3.6%	4.0%
HV 20d	7.1%	4.8%	11.2%	11.2%	7.3%
HV 60d	9.0%	8.6%	9.4%	9.4%	8.7%
IV Rank	3.2%	0.8%	6.4%	3.8%	2.3%
IV Percentile	32.6%	6.3%	56.7%	11.5%	35.3%
Term Structure	20.3%	-4.0%	39.6%	-1.0%	-1.2%
VWIV	15.4%	12.8%	18.0%	12.8%	16.4%
Skew 25d	1.5%	-4.5%	5.6%	-1.5%	-4.5%
Skew 10d	3.1%	-5.1%	12.3%	1.4%	0.5%
Call IV 25d	13.7%	12.2%	18.2%	13.3%	14.5%
Put IV 25d	15.2%	9.9%	22.5%	11.8%	10.0%
Bid-Ask Spread %	136.89	120.44	157.70	148.80	131.48
Gamma HHI	0.38	0.31	0.60	0.36	0.32
Net GEX	8.6K	168	13.7K	10.5K	4.2K
Net DEX	-120.7K	-151.4K	-90.2K	-100.4K	-96.4K
Net VEX	-157	-332	-65	-213	-332
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.08	0.88	0.08	0.67
Total Volume	42.947	35	70	39	70
Total OI	41.105	35	70	39	70

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
2017-04-03	$47.18	$48.00	12.5%	3.6%	11.2%	3.8%	12.8%	-1.5%	-1.0%	10.5K	-100.4K	-213	0.08	148.80	N/A	N/A	36	3	36	3
2017-04-04	$47.24	$48.00	14.1%	4.0%	11.1%	4.7%	13.1%	1.8%	-2.3%	10.2K	-100.2K	-212	0.08	157.70	N/A	N/A	36	3	36	3
2017-04-05	$47.34	$48.00	15.3%	4.4%	10.2%	5.4%	13.2%	1.4%	-4.0%	10.2K	-104.3K	-203	0.08	154.96	N/A	N/A	36	3	36	3
2017-04-06	$47.53	$45.00	13.1%	3.6%	9.1%	4.1%	13.9%	4.7%	33.9%	9.7K	-108.3K	-201	0.08	134.06	N/A	N/A	36	3	36	3
2017-04-07	$47.60	$45.00	13.2%	3.3%	8.8%	4.9%	15.4%	4.3%	37.0%	12.9K	-113.3K	-181	0.08	133.77	N/A	N/A	36	3	36	3
2017-04-10	$47.69	$45.00	15.0%	3.1%	8.8%	6.1%	15.0%	1.3%	35.5%	13.7K	-120.8K	-150	0.08	133.09	N/A	N/A	36	3	36	3
2017-04-11	$48.02	$45.00	15.5%	3.6%	8.7%	6.4%	17.1%	4.1%	37.6%	12.3K	-122.6K	-162	0.08	131.04	N/A	N/A	36	3	36	3
2017-04-12	$48.11	$45.00	11.8%	3.4%	4.8%	0.8%	16.0%	3.1%	39.6%	10.2K	-128.5K	-153	0.08	138.13	N/A	N/A	36	3	36	3
2017-04-13	$48.05	$45.00	14.5%	4.2%	4.9%	2.6%	15.2%	5.6%	36.1%	9.8K	-131.2K	-138	0.08	120.44	N/A	N/A	36	3	36	3
2017-04-17	$48.31	$45.00	15.4%	4.4%	5.0%	3.2%	18.0%	5.6%	38.5%	9.9K	-129.9K	-137	0.08	125.81	N/A	N/A	36	3	36	3
2017-04-18	$48.63	$45.00	12.7%	3.6%	5.2%	1.4%	16.7%	1.9%	36.3%	8.2K	-141.7K	-115	0.08	138.92	N/A	N/A	36	3	36	3
2017-04-19	$48.36	$45.00	13.8%	4.0%	5.5%	2.2%	16.9%	4.3%	39.3%	8.7K	-131.6K	-138	0.08	129.81	N/A	N/A	36	3	36	3
2017-04-20	$48.41	$45.00	13.6%	3.9%	5.3%	2.0%	16.4%	0.8%	31.7%	8.7K	-137.6K	-118	0.08	142.19	N/A	N/A	36	3	36	3
2017-04-21	$48.28	$45.00	12.9%	3.7%	5.3%	1.5%	15.1%	-0.2%	31.6%	6.6K	-151.4K	-68	0.08	142.74	N/A	N/A	36	3	36	3
2017-04-24	$48.03	$45.00	14.4%	4.1%	5.8%	2.6%	16.0%	0.2%	0.6%	6.6K	-125.8K	-90	0.09	138.15	N/A	N/A	32	3	32	3
2017-04-25	$48.28	$45.00	13.3%	3.8%	5.5%	1.8%	15.5%	-3.2%	-2.4%	4.5K	-132.0K	-65	0.09	133.33	N/A	N/A	32	3	32	3
2017-04-26	$47.99	$45.00	14.0%	4.0%	6.1%	2.3%	15.8%	-2.8%	-2.9%	6.1K	-127.0K	-83	0.88	131.97	N/A	N/A	32	28	32	3
2017-04-27	$47.77	$45.00	14.2%	4.1%	6.5%	2.4%	14.6%	1.0%	0.8%	168	-90.2K	-232	0.67	134.46	N/A	N/A	42	28	32	28
2017-04-28	$47.37	$45.00	14.0%	4.0%	7.3%	2.3%	16.4%	-4.5%	-1.2%	4.2K	-96.4K	-332	0.67	131.48	N/A	N/A	42	28	42	28