RNG Options History — March 2014

In March 2014, RNG traded between $17.91 and $22.11. ATM implied volatility averaged 49.0%. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 4.0% (HV 20d: 53.0%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2014-03-26: Highest Volume — 449 contracts
  • 2014-03-24: Largest IV spike — 23.0% change
  • 2014-03-03: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.83$17.91$22.11$22.08$18.10
Max Pain$22.86$22.50$30.00$22.50$22.50
ATM IV49.0%41.3%54.2%54.2%54.1%
Expected Move14.2%11.8%15.5%15.5%15.5%
HV 20d53.0%47.0%62.9%62.9%47.0%
HV 60d47.0%44.7%51.8%46.1%51.5%
Term Structure2.7%-2.1%8.3%-2.1%4.4%
VWIV48.6%41.6%54.2%54.2%47.8%
Skew 25d0.8%-16.0%12.5%-1.3%-3.4%
Skew 10d5.4%-9.5%17.7%8.2%-8.2%
Call IV 25d46.3%37.6%59.1%44.8%54.3%
Put IV 25d47.1%28.2%53.4%43.5%50.9%
Bid-Ask Spread %102.8992.84108.48106.76103.54
Gamma HHI0.740.390.960.960.39
Net GEX-25.1K-40.1K-19.8K-24.8K-38.7K
Net DEX711.9K493.9K1.4M599.9K1.3M
Net VEX-5.7K-6.2K-5.1K-5.3K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.008.160.180.94
Total Volume63.5240449135
Total OI1,457.7621,1772,1211,1772,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$22.08$22.5054.2%15.5%62.9%0.0%54.2%-1.3%-2.1%-24.8K599.9K-5.3K0.18106.76N/AN/A1121031,074
2014-03-04$21.68$22.5051.5%14.8%62.5%0.0%0.0%4.8%-1.1%-24.2K617.4K-5.3K0.00107.03N/AN/A0191141,076
2014-03-05$22.05$22.5049.4%14.2%62.4%0.0%49.4%-16.0%-1.1%-23.2K501.4K-5.1K5.46102.58N/AN/A281531141,076
2014-03-06$21.85$30.0052.9%15.2%62.4%0.0%52.9%-8.0%-1.8%-22.4K844.7K-5.3K0.67108.48N/AN/A60401401,229
2014-03-07$21.53$22.5046.4%14.1%62.8%0.0%0.0%-2.2%1.1%-21.9K529.4K-5.6K0.00100.97N/AN/A1002001,122
2014-03-10$22.11$22.5047.2%14.5%50.3%0.0%0.0%11.8%-0.5%-22.0K534.4K-5.6K0.00102.29N/AN/A002101,122
2014-03-11$21.29$22.5052.9%13.9%50.4%0.0%0.0%4.7%1.3%-23.3K587.6K-5.6K0.00104.34N/AN/A002101,122
2014-03-12$20.90$22.5041.4%14.6%50.7%0.0%0.0%-0.7%4.1%-22.6K687.9K-5.6K0.00102.12N/AN/A002101,122
2014-03-13$20.49$22.5043.7%12.5%50.5%0.0%42.4%-7.9%5.9%-24.6K800.0K-5.5K0.26104.39N/AN/A85222101,122
2014-03-14$20.60$22.5050.0%14.3%49.5%0.0%0.0%-4.6%6.0%-26.6K713.9K-5.9K0.07105.31N/AN/A1512941,144
2014-03-17$21.13$22.5050.6%14.5%50.5%0.0%0.0%3.5%1.5%-22.2K569.4K-5.9K1.00102.55N/AN/A10102991,144
2014-03-18$21.79$22.5042.8%12.3%50.9%0.0%0.0%8.0%6.9%-23.4K543.0K-5.9K0.00100.48N/AN/A2102991,154
2014-03-19$21.83$22.5049.1%14.1%50.5%0.0%49.6%11.5%-1.4%-21.8K497.7K-6.0K0.20106.17N/AN/A3063201,154
2014-03-20$21.57$22.5047.8%13.7%48.2%0.0%0.0%12.5%-1.0%-19.8K507.3K-6.0K0.00105.22N/AN/A003361,148
2014-03-21$21.48$22.5041.3%11.8%48.1%0.0%41.6%8.5%7.9%-20.6K493.9K-5.9K0.0099.99N/AN/A0303361,148
2014-03-24$21.09$22.5050.8%14.6%47.5%0.0%49.0%6.4%5.5%-24.1K641.7K-5.9K0.0092.84N/AN/A1302951,146
2014-03-25$20.91$22.5046.0%13.2%47.5%0.0%48.8%-1.5%8.3%-22.2K527.2K-5.8K0.00101.90N/AN/A0203081,146
2014-03-26$19.03$22.5053.4%15.3%57.3%0.0%50.1%-9.0%3.5%-22.3K856.7K-5.6K8.16103.45N/AN/A494003081,166
2014-03-27$17.91$22.5050.9%14.6%54.1%0.0%47.8%-9.3%2.2%-37.2K1.2M-5.7K7.80100.86N/AN/A10783461,505
2014-03-28$17.91$22.5053.0%15.2%47.7%0.0%0.0%9.1%6.8%-40.1K1.4M-5.6K0.9499.51N/AN/A1061003561,564
2014-03-31$18.10$22.5054.1%15.5%47.0%0.0%0.0%-3.4%4.4%-38.7K1.3M-6.2K0.00103.54N/AN/A054571,664