RNG Options History — February 2014 In February 2014, RNG traded between $17.64 and $23.52. ATM implied volatility averaged 47.4%. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 3.3% (HV 20d: 50.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 7.68.
Notable Days 2014-02-06 : Highest Volume — 1,014 contracts2014-02-13 : Largest IV spike — 27.0% change2014-02-06 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.01 $17.64 $23.52 $17.81 $21.65 Max Pain $21.67 $20.00 $22.50 $20.00 $22.50 ATM IV 47.4% 36.8% 57.5% 48.4% 51.2% Expected Move 14.0% 12.6% 16.5% 13.9% 14.7% HV 20d 50.7% 34.0% 63.4% 40.4% 63.4% HV 60d 38.8% 31.9% 46.1% 32.4% 46.1% Term Structure 0.4% -5.0% 2.0% 1.8% 1.6% VWIV 51.1% 44.5% 57.7% 57.7% 44.5% Skew 25d 2.4% -12.5% 13.1% 5.6% -12.5% Skew 10d 6.6% -4.3% 15.7% 9.2% 1.4% Call IV 25d 45.1% 41.1% 49.8% 45.8% 46.1% Put IV 25d 47.6% 33.6% 55.2% 51.3% 33.6% Bid-Ask Spread % 96.30 83.55 113.19 112.05 108.82 Gamma HHI 0.83 0.33 0.97 0.40 0.97 Net GEX -18.1K -24.9K 1.5K 1.1K -23.6K Net DEX 441.5K -79.1K 726.3K -65.1K 582.1K Net VEX -4.5K -5.9K -527 -528 -5.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.68 0.00 71.43 0.00 0.00 Total Volume 56.789 0 1,014 0 2 Total OI 964 156 1,189 156 1,179
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 2014-02-03 $17.81 $20.00 48.4% 13.9% 40.4% 0.0% 0.0% 5.6% 1.8% 1.1K -65.1K -528 0.00 112.05 N/A N/A 0 0 91 65 2014-02-04 $17.79 $20.00 54.6% 15.6% 38.8% 0.0% 0.0% 4.5% -5.0% 1.1K -67.0K -530 0.00 109.38 N/A N/A 0 0 91 65 2014-02-05 $17.64 $20.00 50.1% 14.4% 36.4% 0.0% 0.0% 0.2% 0.7% 1.1K -63.9K -527 0.00 113.19 N/A N/A 15 0 91 65 2014-02-06 $18.12 $20.00 57.5% 16.5% 34.0% 0.0% 57.7% 13.1% -1.4% 1.5K -79.1K -597 71.43 107.05 N/A N/A 14 1,000 106 65 2014-02-07 $20.26 $0.00 45.6% 15.6% 52.7% 0.0% 0.0% 5.3% -3.7% -21.7K 726.3K -5.9K 0.00 99.63 N/A N/A 3 0 120 1,065 2014-02-10 $21.11 $0.00 51.3% 15.5% 54.3% 0.0% 0.0% 5.4% -0.7% -21.5K 650.6K -5.8K 0.00 99.58 N/A N/A 12 0 117 1,065 2014-02-11 $20.88 $0.00 42.7% 13.4% 53.7% 0.0% 0.0% 1.5% 1.8% -22.7K 657.1K -5.8K 0.00 87.23 N/A N/A 0 0 116 1,065 2014-02-12 $21.35 $0.00 36.8% 12.9% 53.9% 0.0% 0.0% 3.2% 1.4% -23.0K 600.9K -5.8K 0.00 83.55 N/A N/A 0 0 116 1,065 2014-02-13 $21.90 $0.00 46.7% 13.4% 53.8% 0.0% 0.0% 4.3% -0.4% -23.1K 544.5K -5.8K 0.00 84.13 N/A N/A 3 0 116 1,065 2014-02-14 $21.74 $0.00 45.1% 12.9% 53.7% 0.0% 0.0% 2.5% 2.0% -23.4K 602.2K -5.7K 0.00 85.53 N/A N/A 0 5 113 1,065 2014-02-18 $22.29 $0.00 44.8% 12.8% 53.2% 0.0% 44.5% 3.2% 1.5% -22.5K 505.9K -5.5K 13.00 85.67 N/A N/A 1 13 113 1,067 2014-02-19 $21.88 $22.50 44.8% 12.8% 54.0% 0.0% 0.0% 2.5% 1.6% -23.0K 566.4K -5.7K 0.00 86.13 N/A N/A 2 0 112 1,077 2014-02-20 $22.80 $22.50 44.2% 12.7% 55.3% 0.0% 0.0% 2.9% 1.6% -23.7K 496.9K -5.3K 0.00 87.50 N/A N/A 1 0 101 1,074 2014-02-21 $22.56 $22.50 44.8% 12.9% 55.4% 0.0% 0.0% 1.4% 1.4% -23.6K 495.1K -5.4K 0.00 89.92 N/A N/A 0 0 101 1,074 2014-02-24 $21.91 $22.50 44.3% 12.7% 52.4% 0.0% 0.0% 4.2% 1.3% -23.3K 593.0K -5.5K 0.00 90.45 N/A N/A 1 0 98 1,074 2014-02-25 $21.86 $22.50 44.1% 12.6% 52.2% 0.0% 0.0% 2.4% 1.4% -24.9K 596.9K -5.5K 0.00 92.31 N/A N/A 0 0 99 1,074 2014-02-26 $22.12 $22.50 52.0% 14.9% 51.9% 0.0% 0.0% -2.8% 0.0% -24.3K 584.5K -5.3K 0.00 106.16 N/A N/A 0 0 99 1,074 2014-02-27 $23.52 $22.50 51.9% 14.9% 53.8% 0.0% 0.0% -0.9% 0.6% -23.9K 460.4K -5.2K 0.00 101.33 N/A N/A 7 0 99 1,074 2014-02-28 $21.65 $22.50 51.2% 14.7% 63.4% 0.0% 0.0% -12.5% 1.6% -23.6K 582.1K -5.4K 0.00 108.82 N/A N/A 2 0 105 1,074
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