RWO Options History — July 2017

In July 2017, RWO traded between $46.58 and $48.60. ATM implied volatility averaged 12.7%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.2% (HV 20d: 9.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2017-07-13: Highest Volume — 4 contracts
2017-07-28: Largest IV spike — 28.0% change
2017-07-11: Highest IV Rank — 29.9%
2017-07-05: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.78	$46.58	$48.60	$48.02	$48.60
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	12.7%	9.5%	16.8%	13.4%	12.3%
Expected Move	3.5%	2.7%	4.0%	3.8%	3.5%
HV 20d	9.5%	7.7%	10.4%	7.7%	9.4%
HV 60d	8.3%	7.5%	8.6%	7.5%	8.0%
IV Rank	12.9%	0.0%	29.9%	15.7%	11.7%
IV Percentile	26.3%	0.0%	81.0%	36.1%	15.5%
Term Structure	-1.7%	-4.0%	1.7%	-0.6%	1.7%
VWIV	15.1%	10.8%	22.5%	14.6%	12.6%
Skew 25d	1.7%	-0.4%	4.3%	1.0%	1.7%
Skew 10d	2.1%	-3.2%	7.0%	0.4%	6.3%
Call IV 25d	11.9%	10.3%	13.3%	13.3%	10.6%
Put IV 25d	13.6%	10.7%	16.4%	14.3%	12.2%
Bid-Ask Spread %	149.66	138.85	159.15	150.82	148.75
Gamma HHI	0.62	0.38	1.00	0.70	0.83
Net GEX	535	132	988	459	622
Net DEX	-4.3K	-8.6K	-1.4K	-3.8K	-3.8K
Net VEX	-23	-26	-20	-23	-21
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.33	0.50	0.50	0.50
Total Volume	3.35	3	4	3	3
Total OI	3.3	3	4	3	3

Daily Data (20 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
2017-07-03	$48.02	$0.00	13.4%	3.8%	7.7%	15.7%	0.0%	1.0%	-0.6%	459	-3.8K	-23	0.50	150.82	N/A	N/A	2	1	2	1
2017-07-05	$47.52	$0.00	13.9%	4.0%	8.4%	17.7%	0.0%	4.3%	-3.1%	370	-2.8K	-25	0.50	155.74	N/A	N/A	2	1	2	1
2017-07-06	$46.89	$45.00	15.3%	3.7%	9.3%	23.5%	14.6%	2.6%	-3.0%	236	-2.2K	-24	0.50	138.85	N/A	N/A	2	1	2	1
2017-07-07	$46.98	$45.00	15.3%	3.7%	9.4%	23.7%	14.2%	2.7%	-4.0%	248	-2.5K	-25	0.50	146.12	N/A	N/A	2	1	2	1
2017-07-10	$46.76	$45.00	16.4%	3.9%	9.4%	28.5%	13.8%	1.6%	-0.8%	132	-2.0K	-24	0.50	142.71	N/A	N/A	2	1	2	1
2017-07-11	$46.58	$45.00	16.8%	3.6%	9.0%	29.9%	13.9%	2.0%	-3.7%	190	-1.4K	-24	0.50	144.76	N/A	N/A	2	1	2	1
2017-07-12	$47.01	$45.00	12.9%	3.7%	9.6%	13.6%	14.5%	2.5%	-3.5%	217	-2.4K	-23	0.50	145.81	N/A	N/A	2	1	2	1
2017-07-13	$47.15	$45.00	11.2%	3.2%	9.6%	6.3%	15.0%	1.7%	-1.1%	275	-1.5K	-20	0.33	159.15	N/A	N/A	3	1	2	1
2017-07-14	$47.65	$45.00	11.3%	3.2%	10.4%	6.7%	15.8%	1.9%	-1.9%	902	-6.2K	-26	0.33	150.53	N/A	N/A	3	1	3	1
2017-07-17	$47.81	$45.00	11.3%	3.2%	10.0%	6.6%	16.8%	1.9%	-2.1%	942	-6.7K	-24	0.33	147.16	N/A	N/A	3	1	3	1
2017-07-18	$47.96	$45.00	10.7%	3.1%	10.1%	4.4%	18.0%	1.4%	-0.7%	988	-7.1K	-25	0.33	156.42	N/A	N/A	3	1	3	1
2017-07-19	$48.28	$45.00	12.4%	3.6%	9.9%	11.6%	0.0%	0.2%	-3.2%	952	-8.0K	-23	0.33	152.83	N/A	N/A	3	1	3	1
2017-07-20	$48.23	$45.00	11.9%	3.4%	9.9%	9.4%	19.3%	0.9%	-2.4%	860	-8.3K	-23	0.33	153.42	N/A	N/A	3	1	3	1
2017-07-21	$48.21	$45.00	12.0%	3.4%	9.9%	9.9%	0.0%	0.7%	-1.8%	622	-8.6K	-21	0.33	146.94	N/A	N/A	3	1	3	1
2017-07-24	$48.22	$45.00	12.1%	3.5%	9.7%	10.1%	11.7%	1.6%	-2.7%	488	-3.7K	-21	0.50	152.69	N/A	N/A	2	1	2	1
2017-07-25	$48.16	$45.00	12.0%	3.4%	9.6%	9.7%	10.8%	1.1%	-2.1%	460	-4.0K	-22	0.50	150.71	N/A	N/A	2	1	2	1
2017-07-26	$48.52	$45.00	11.5%	3.3%	9.8%	7.5%	0.0%	0.9%	-0.5%	609	-3.9K	-21	0.50	151.50	N/A	N/A	2	1	2	1
2017-07-27	$48.54	$45.00	9.5%	2.7%	9.8%	0.0%	22.5%	4.3%	1.1%	594	-3.9K	-21	0.50	147.32	N/A	N/A	2	1	2	1
2017-07-28	$48.53	$45.00	12.2%	3.5%	9.5%	11.1%	12.8%	-0.4%	0.7%	543	-4.0K	-22	0.50	150.95	N/A	N/A	2	1	2	1
2017-07-31	$48.60	$45.00	12.3%	3.5%	9.4%	11.7%	12.6%	1.7%	1.7%	622	-3.8K	-21	0.50	148.75	N/A	N/A	2	1	2	1