RNG Options History — January 2014

Name: RNG Options Analytics - January 2014
Creator: Options Analysis Suite

In January 2014, RNG traded between $17.45 and $19.22. ATM implied volatility averaged 47.6%. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 13.4% (HV 20d: 34.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2014-01-06: Highest Volume — 22 contracts
2014-01-06: Largest IV spike — 24.6% change
2014-01-07: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.49	$17.45	$19.22	$17.84	$18.25
Max Pain	$19.44	$17.50	$20.00	$17.50	$20.00
ATM IV	47.6%	39.4%	55.2%	44.2%	44.1%
Expected Move	13.9%	11.3%	15.3%	12.7%	12.7%
HV 20d	34.2%	25.7%	40.5%	31.6%	39.4%
HV 60d	31.5%	29.9%	32.4%	30.3%	32.3%
Term Structure	2.1%	-2.5%	12.2%	4.8%	7.4%
VWIV	50.0%	50.0%	50.0%	50.0%	50.0%
Skew 25d	1.2%	-10.8%	12.0%	-10.8%	3.3%
Skew 10d	6.8%	-2.2%	16.0%	-2.2%	2.0%
Call IV 25d	44.3%	37.8%	49.8%	49.8%	40.3%
Put IV 25d	45.6%	38.3%	51.2%	38.9%	43.6%
Bid-Ask Spread %	108.01	99.95	123.01	123.01	114.54
Gamma HHI	0.38	0.31	0.45	0.39	0.43
Net GEX	1.2K	1.0K	1.5K	1.2K	1.1K
Net DEX	-79.0K	-100.3K	-51.8K	-57.2K	-73.0K
Net VEX	-521	-578	-421	-431	-519
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	0.91	0.83	0.00
Total Volume	3.095	0	22	0	3
Total OI	145.857	114	157	114	153

Daily Data (21 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
2014-01-02	$17.84	$17.50	44.2%	12.7%	31.6%	0.0%	0.0%	-10.8%	4.8%	1.2K	-57.2K	-431	0.00	123.01	N/A	N/A	0	0	72	42
2014-01-03	$17.98	$17.50	39.4%	11.3%	30.5%	0.0%	0.0%	-3.6%	12.2%	1.3K	-57.0K	-431	0.00	121.35	N/A	N/A	0	0	72	42
2014-01-06	$17.45	$0.00	49.1%	14.5%	25.7%	0.0%	0.0%	-10.7%	0.4%	1.1K	-51.8K	-421	0.83	105.05	N/A	N/A	12	10	72	42
2014-01-07	$18.12	$0.00	50.1%	15.3%	28.5%	0.0%	0.0%	-0.9%	-2.0%	1.4K	-69.9K	-485	0.00	104.78	N/A	N/A	0	0	84	52
2014-01-08	$18.94	$0.00	43.6%	14.0%	31.9%	0.0%	0.0%	5.7%	3.5%	1.2K	-85.3K	-498	0.91	107.29	N/A	N/A	11	10	84	52
2014-01-09	$18.80	$0.00	41.7%	14.0%	31.9%	0.0%	0.0%	2.1%	1.1%	1.4K	-91.4K	-578	0.00	99.98	N/A	N/A	0	0	94	62
2014-01-10	$18.84	$0.00	42.0%	14.4%	31.9%	0.0%	0.0%	-1.2%	1.2%	1.4K	-92.1K	-575	0.00	102.63	N/A	N/A	1	0	94	62
2014-01-13	$18.42	$0.00	48.8%	13.6%	33.3%	0.0%	0.0%	-5.0%	5.3%	1.5K	-89.6K	-564	0.00	105.55	N/A	N/A	0	0	94	62
2014-01-14	$18.73	$0.00	55.2%	14.2%	33.6%	0.0%	0.0%	1.9%	2.9%	1.4K	-91.0K	-566	0.00	104.90	N/A	N/A	2	0	94	62
2014-01-15	$19.22	$0.00	53.5%	14.3%	34.3%	0.0%	0.0%	8.0%	0.8%	1.4K	-100.3K	-559	0.00	99.95	N/A	N/A	0	0	95	62
2014-01-16	$19.03	$0.00	50.6%	14.5%	34.6%	0.0%	0.0%	0.9%	2.5%	1.4K	-98.7K	-558	0.00	106.98	N/A	N/A	5	0	95	62
2014-01-17	$18.66	$0.00	47.8%	13.7%	34.4%	0.0%	0.0%	-0.4%	0.2%	1.2K	-91.2K	-532	0.00	106.39	N/A	N/A	3	0	90	62
2014-01-21	$18.90	$0.00	47.6%	13.7%	34.6%	0.0%	0.0%	2.4%	1.5%	1.0K	-82.7K	-526	0.00	103.87	N/A	N/A	0	0	85	62
2014-01-22	$19.19	$0.00	49.3%	14.1%	34.6%	0.0%	50.0%	6.0%	0.6%	1.1K	-87.0K	-524	0.67	101.80	N/A	N/A	3	2	85	62
2014-01-23	$19.03	$20.00	48.4%	13.9%	32.9%	0.0%	0.0%	-3.5%	0.5%	1.2K	-88.1K	-529	0.00	106.97	N/A	N/A	0	0	88	62
2014-01-24	$18.04	$20.00	48.7%	14.0%	38.3%	0.0%	0.0%	1.0%	5.5%	1.2K	-67.3K	-527	0.00	104.95	N/A	N/A	0	3	88	62
2014-01-27	$17.92	$20.00	52.0%	14.9%	38.3%	0.0%	0.0%	9.8%	-2.5%	1.1K	-65.9K	-537	0.00	109.17	N/A	N/A	0	0	88	65
2014-01-28	$18.38	$20.00	50.2%	14.4%	38.6%	0.0%	0.0%	12.0%	-0.3%	1.2K	-72.5K	-523	0.00	109.27	N/A	N/A	0	0	88	65
2014-01-29	$18.01	$20.00	48.5%	13.9%	39.2%	0.0%	0.0%	7.9%	1.4%	1.1K	-68.8K	-531	0.00	112.74	N/A	N/A	0	0	88	65
2014-01-30	$18.52	$20.00	45.4%	13.0%	40.5%	0.0%	0.0%	0.7%	-2.0%	1.2K	-77.7K	-524	0.00	117.02	N/A	N/A	0	0	88	65
2014-01-31	$18.25	$20.00	44.1%	12.7%	39.4%	0.0%	0.0%	3.3%	7.4%	1.1K	-73.0K	-519	0.00	114.54	N/A	N/A	3	0	88	65