RWO Options History — September 2018 In September 2018, RWO traded between $47.22 and $48.86. ATM implied volatility averaged 14.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.7% (HV 20d: 11.0%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.71.
Notable Days 2018-09-21 : Highest Volume — 15 contracts2018-09-21 : Largest IV spike — 38.2% change2018-09-12 : Highest IV Rank — 8.4%2018-09-12 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $48.26 $47.22 $48.86 $48.46 $47.47 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 14.7% 11.8% 19.6% 14.8% 15.0% Expected Move 3.9% 3.4% 5.6% 4.3% 4.3% HV 20d 11.0% 9.6% 13.7% 9.6% 13.1% HV 60d 9.5% 9.0% 10.5% 9.5% 10.1% IV Rank 5.2% 3.4% 8.4% 5.4% 5.5% IV Percentile 59.6% 24.2% 91.3% 69.0% 70.6% Term Structure -1.3% -4.7% 2.4% -4.4% -3.5% VWIV 14.3% 7.1% 17.1% 7.1% 16.8% Skew 25d -0.3% -7.3% 3.5% 0.4% 0.4% Skew 10d -2.6% -10.3% 5.3% -5.9% -2.0% Call IV 25d 14.6% 9.1% 19.8% 16.0% 15.1% Put IV 25d 14.3% 10.1% 23.4% 16.5% 15.4% Bid-Ask Spread % 160.88 142.77 180.73 156.98 156.75 Gamma HHI 0.78 0.41 1.00 1.00 0.42 Net GEX 829 -610 4.4K -464 877 Net DEX -2.3K -14.3K 3.7K 1.5K -1.0K Net VEX -27 -48 -12 -13 -26 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.50 0.83 0.63 0.83 Total Volume 9.211 5 15 5 11 Total OI 8.684 5 13 5 11
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 2018-09-04 $48.46 $0.00 14.8% 4.3% 9.6% 5.4% 0.0% 0.4% -4.4% -464 1.5K -13 0.00 156.98 N/A N/A 0 5 0 5 2018-09-05 $48.69 $0.00 13.1% 3.8% 9.8% 4.2% 0.0% 2.1% -0.4% -551 2.2K -18 0.00 159.69 N/A N/A 0 5 0 5 2018-09-06 $48.76 $0.00 13.9% 3.5% 9.8% 4.7% 0.0% 1.7% -1.0% -443 1.4K -12 0.00 155.25 N/A N/A 0 5 0 5 2018-09-07 $48.25 $0.00 18.4% 4.0% 10.4% 7.6% 0.0% -0.8% 2.4% -582 2.7K -19 0.00 142.77 N/A N/A 0 5 0 5 2018-09-10 $48.52 $0.00 17.2% 3.5% 9.9% 6.9% 0.0% -0.7% 1.0% -538 1.9K -16 0.00 160.93 N/A N/A 0 5 0 5 2018-09-11 $48.52 $0.00 17.6% 3.4% 9.9% 7.1% 0.0% -0.9% 1.2% -556 2.1K -16 0.00 158.30 N/A N/A 0 5 0 5 2018-09-12 $48.67 $0.00 19.6% 5.6% 9.9% 8.4% 0.0% 3.5% -0.4% -610 3.7K -24 0.00 180.73 N/A N/A 0 5 0 5 2018-09-13 $48.86 $0.00 12.3% 3.5% 9.9% 3.7% 0.0% 1.3% -0.1% -475 1.7K -14 0.00 156.61 N/A N/A 0 5 0 5 2018-09-14 $48.42 $0.00 11.8% 3.4% 10.2% 3.4% 7.1% 3.5% -1.9% -545 2.1K -15 0.63 162.34 N/A N/A 8 5 0 5 2018-09-17 $48.72 $49.00 15.4% 4.4% 10.0% 5.7% 15.3% -4.2% 0.6% 3.0K -14.2K -48 0.63 170.74 N/A N/A 8 5 8 5 2018-09-18 $48.71 $49.00 14.1% 4.0% 9.9% 4.9% 15.8% -7.3% -0.7% 3.0K -14.3K -45 0.63 176.64 N/A N/A 8 5 8 5 2018-09-19 $48.22 $49.00 13.8% 4.0% 10.4% 4.7% 12.6% -3.3% -4.7% 3.6K -9.3K -40 0.63 161.00 N/A N/A 8 5 8 5 2018-09-20 $48.66 $49.00 11.9% 3.4% 10.9% 3.5% 12.4% -0.3% -0.4% 4.4K -12.3K -33 0.63 159.13 N/A N/A 8 5 8 5 2018-09-21 $48.57 $49.00 16.4% 4.7% 10.8% 6.4% 17.1% -6.1% -1.8% 1.0K -3.9K -39 0.50 173.59 N/A N/A 10 5 8 5 2018-09-24 $47.39 $49.00 12.8% 3.7% 13.7% 4.0% 14.8% -0.0% -3.8% 1.3K -3.9K -36 0.83 147.12 N/A N/A 6 5 6 5 2018-09-25 $47.51 $49.00 12.1% 3.5% 13.7% 3.6% 15.0% 2.0% 1.0% 1.3K -2.4K -34 0.83 159.10 N/A N/A 6 5 6 5 2018-09-26 $47.37 $49.00 13.9% 4.0% 13.2% 4.7% 15.9% 1.1% -3.6% 1.2K -1.9K -34 0.83 159.49 N/A N/A 6 5 6 5 2018-09-27 $47.22 $49.00 14.4% 4.1% 13.1% 5.1% 14.4% 1.3% -3.5% 781 -527 -26 0.83 159.59 N/A N/A 6 5 6 5 2018-09-28 $47.47 $49.00 15.0% 4.3% 13.1% 5.5% 16.8% 0.4% -3.5% 877 -1.0K -26 0.83 156.75 N/A N/A 6 5 6 5
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