RNG Options History — April 2014

In April 2014, RNG traded between $14.11 and $18.41. ATM implied volatility averaged 61.4%. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 3.9% (HV 20d: 57.5%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.64.

Notable Days

  • 2014-04-25: Highest Volume — 1,035 contracts
  • 2014-04-21: Largest IV spike — 25.2% change
  • 2014-04-21: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.34$14.11$18.41$18.41$15.16
Max Pain$17.86$15.00$22.50$22.50$17.50
ATM IV61.4%47.7%75.7%52.6%60.5%
Expected Move17.8%15.1%21.7%15.1%17.3%
HV 20d57.5%47.1%64.4%47.9%62.7%
HV 60d55.1%50.2%58.8%51.6%58.8%
Term Structure-4.8%-15.9%12.3%12.3%-6.5%
VWIV62.1%52.3%71.1%56.6%52.3%
Skew 25d7.2%-13.5%30.3%5.8%12.6%
Skew 10d11.6%-7.5%50.2%13.3%18.8%
Call IV 25d58.7%44.5%70.4%50.8%44.5%
Put IV 25d65.9%46.4%89.5%56.6%57.1%
Bid-Ask Spread %91.3581.78108.61108.61102.27
Gamma HHI0.460.380.610.380.43
Net GEX-32.6K-50.7K-18.5K-37.9K-44.7K
Net DEX1.8M1.2M3.1M1.2M3.0M
Net VEX-5.3K-6.5K-3.9K-6.2K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.640.0040.400.000.39
Total Volume129.238101,03530457
Total OI2,521.5712,1263,5722,1263,572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$18.41$22.5052.6%15.1%47.9%0.0%0.0%5.8%12.3%-37.9K1.2M-6.2K0.00108.61N/AN/A3004571,669
2014-04-02$18.41$22.5054.4%15.6%47.1%0.0%56.6%1.4%8.1%-39.3K1.2M-6.2K13.00104.10N/AN/A2264751,669
2014-04-03$18.00$22.5054.0%15.5%47.3%0.0%0.0%-5.8%5.3%-41.0K1.2M-6.1K1.00108.12N/AN/A10104771,685
2014-04-04$17.53$17.5052.6%16.5%47.6%0.0%56.1%-13.5%-5.7%-41.6K1.4M-5.8K2.6099.07N/AN/A5134871,695
2014-04-07$16.44$17.5047.7%17.1%49.2%0.0%62.0%1.1%-3.9%-38.1K1.6M-4.9K0.0093.99N/AN/A02054861,700
2014-04-08$16.88$17.5059.6%17.1%50.5%0.0%0.0%5.3%-7.6%-41.3K1.8M-5.9K0.2586.41N/AN/A2054861,894
2014-04-09$17.79$17.5061.3%16.3%55.3%0.0%54.9%9.8%-7.6%-50.7K1.6M-6.5K0.7184.20N/AN/A14105061,899
2014-04-10$16.22$17.5064.3%18.4%62.8%0.0%66.3%-1.8%-6.1%-36.5K1.9M-5.5K0.6088.14N/AN/A25155201,908
2014-04-11$15.65$17.5061.7%17.7%63.0%0.0%66.9%1.0%-4.8%-25.4K2.1M-4.7K0.0786.92N/AN/A6045401,923
2014-04-14$15.77$17.5064.3%18.4%61.9%0.0%63.1%12.3%-9.3%-21.6K2.2M-4.3K0.0087.77N/AN/A0415881,927
2014-04-15$16.05$17.5067.2%19.3%60.7%0.0%68.6%22.2%-9.3%-22.1K2.2M-4.9K0.1787.49N/AN/A2445881,956
2014-04-16$16.52$15.0057.8%16.6%62.5%0.0%59.6%19.9%-4.3%-42.3K1.8M-5.5K0.0686.45N/AN/A162106101,904
2014-04-17$16.36$15.0060.5%17.3%62.5%0.0%0.0%14.3%-7.1%-23.7K1.9M-5.5K0.0090.01N/AN/A0107371,909
2014-04-21$16.21$15.0075.7%21.7%62.4%0.0%64.6%8.2%-15.9%-18.5K1.4M-4.7K35.0084.98N/AN/A62106331,507
2014-04-22$16.67$17.5061.5%17.6%64.1%0.0%60.9%17.5%-5.6%-25.8K1.5M-5.3K0.0084.50N/AN/A5906391,682
2014-04-23$16.22$17.5074.2%21.3%64.4%0.0%69.7%3.3%-9.2%-23.5K1.5M-5.1K1.6884.02N/AN/A22376861,682
2014-04-24$15.65$17.5064.7%18.5%57.5%0.0%71.1%-3.3%-1.3%-21.5K1.5M-5.1K0.0082.30N/AN/A0277081,719
2014-04-25$14.59$17.5067.0%19.2%58.7%0.0%62.0%30.3%-10.1%-18.6K1.8M-3.9K40.4088.13N/AN/A251,0107081,734
2014-04-28$14.11$17.5061.7%17.7%59.2%0.0%59.2%16.1%-3.4%-35.2K3.1M-4.5K0.0181.78N/AN/A10117202,738
2014-04-29$14.52$17.5065.9%18.9%60.4%0.0%0.0%-6.2%-8.7%-34.8K2.9M-4.9K0.0099.06N/AN/A5407912,739
2014-04-30$15.16$17.5060.5%17.3%62.7%0.0%52.3%12.6%-6.5%-44.7K3.0M-5.2K0.39102.27N/AN/A3291288332,739