RWO Options History — September 2017

In September 2017, RWO traded between $47.29 and $49.02. ATM implied volatility averaged 14.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 6.4% (HV 20d: 8.3%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2017-09-01: Highest Volume — 6 contracts
2017-09-14: Largest IV spike — 69.0% change
2017-09-12: Highest IV Rank — 89.3%
2017-09-14: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.13	$47.29	$49.02	$48.36	$47.76
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	14.7%	8.6%	30.8%	14.1%	12.2%
Expected Move	3.3%	2.5%	5.6%	4.0%	3.5%
HV 20d	8.3%	7.7%	9.1%	8.7%	8.2%
HV 60d	8.6%	8.0%	8.7%	8.5%	8.0%
IV Rank	23.2%	0.0%	89.3%	20.2%	14.6%
IV Percentile	39.5%	0.0%	99.2%	46.8%	19.8%
Term Structure	-4.0%	-60.6%	1.9%	-2.2%	0.3%
VWIV	18.8%	18.8%	18.8%	18.8%	18.8%
Skew 25d	0.9%	-3.1%	5.3%	5.3%	2.1%
Skew 10d	0.3%	-6.3%	4.2%	2.1%	-6.3%
Call IV 25d	11.4%	10.2%	13.2%	11.7%	10.2%
Put IV 25d	12.3%	9.9%	16.9%	16.9%	12.3%
Bid-Ask Spread %	157.73	150.48	183.56	152.23	158.75
Gamma HHI	0.54	0.40	0.69	0.40	0.69
Net GEX	1.3K	851	1.9K	1.8K	990
Net DEX	-14.1K	-21.3K	-7.3K	-19.1K	-9.3K
Net VEX	-52	-61	-44	-61	-47
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	5.5	5	6	6	5
Total OI	5.95	5	7	7	5

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2017-09-01	$48.36	$47.00	14.1%	4.0%	8.7%	20.2%	18.8%	5.3%	-2.2%	1.8K	-19.1K	-61	152.23	N/A	N/A	6	7
2017-09-05	$48.18	$0.00	15.7%	3.2%	8.8%	26.5%	0.0%	2.9%	-1.7%	1.9K	-19.6K	-58	151.40	N/A	N/A	6	7
2017-09-06	$48.36	$0.00	17.2%	3.3%	8.7%	33.0%	0.0%	2.9%	-2.3%	1.8K	-19.3K	-59	150.48	N/A	N/A	6	7
2017-09-07	$48.75	$0.00	18.1%	2.9%	9.1%	36.7%	0.0%	1.1%	-1.3%	1.7K	-19.3K	-58	159.34	N/A	N/A	6	7
2017-09-08	$48.77	$0.00	21.9%	2.9%	8.6%	52.4%	0.0%	0.7%	-2.4%	1.6K	-18.9K	-59	157.25	N/A	N/A	6	7
2017-09-11	$49.02	$0.00	23.2%	2.8%	8.3%	57.8%	0.0%	1.7%	-0.6%	1.6K	-21.3K	-55	160.77	N/A	N/A	6	7
2017-09-12	$48.58	$0.00	30.8%	3.0%	7.9%	89.3%	0.0%	1.2%	-1.4%	1.8K	-20.0K	-55	154.63	N/A	N/A	6	7
2017-09-13	$48.39	$0.00	11.5%	3.3%	8.0%	9.2%	0.0%	0.2%	-0.4%	1.8K	-18.4K	-54	151.80	N/A	N/A	6	7
2017-09-14	$48.73	$0.00	19.4%	5.6%	8.2%	42.0%	0.0%	3.6%	-60.6%	1.6K	-20.3K	-53	183.56	N/A	N/A	6	7
2017-09-15	$48.45	$0.00	10.7%	3.1%	8.2%	6.1%	0.0%	0.5%	-0.7%	1.1K	-15.8K	-53	157.78	N/A	N/A	6	6
2017-09-18	$48.21	$0.00	10.7%	3.1%	8.2%	6.1%	0.0%	-0.7%	-1.0%	1.1K	-10.6K	-52	162.41	N/A	N/A	5	5
2017-09-19	$47.95	$0.00	10.8%	3.1%	8.3%	6.3%	0.0%	1.5%	1.5%	948	-10.2K	-51	153.69	N/A	N/A	5	5
2017-09-20	$47.84	$0.00	11.5%	3.3%	8.3%	9.4%	0.0%	0.3%	-1.8%	1.0K	-9.2K	-50	152.60	N/A	N/A	5	5
2017-09-21	$47.66	$0.00	10.4%	3.0%	8.1%	4.7%	0.0%	-1.8%	-1.6%	1.0K	-8.8K	-48	161.84	N/A	N/A	5	5
2017-09-22	$47.55	$0.00	10.7%	3.1%	8.1%	6.1%	0.0%	1.0%	0.1%	1.1K	-7.3K	-44	153.42	N/A	N/A	5	5
2017-09-25	$47.61	$0.00	8.6%	2.5%	7.9%	0.0%	0.0%	-0.9%	-0.1%	1.0K	-9.0K	-48	160.07	N/A	N/A	5	5
2017-09-26	$47.68	$0.00	11.2%	3.2%	7.7%	10.3%	0.0%	-1.3%	1.9%	920	-9.0K	-48	159.34	N/A	N/A	5	5
2017-09-27	$47.29	$0.00	13.5%	3.9%	8.2%	19.6%	0.0%	-3.1%	-4.2%	851	-8.3K	-46	154.03	N/A	N/A	5	5
2017-09-28	$47.45	$0.00	12.0%	3.4%	8.2%	13.5%	0.0%	1.4%	-0.8%	910	-8.1K	-44	159.22	N/A	N/A	5	5
2017-09-29	$47.76	$0.00	12.2%	3.5%	8.2%	14.6%	0.0%	2.1%	0.3%	990	-9.3K	-47	158.75	N/A	N/A	5	5