RNG Options History — May 2014

In May 2014, RNG traded between $12.17 and $16.22. ATM implied volatility averaged 59.6%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 0.4% (HV 20d: 60.0%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.68.

Notable Days

  • 2014-05-19: Highest Volume — 2,518 contracts
  • 2014-05-02: Largest IV spike — 37.5% change
  • 2014-05-28: Highest IV Rank — 51.7%
  • 2014-05-02: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.45$12.17$16.22$16.22$12.17
Max Pain$15.60$12.50$17.50$17.50$12.50
ATM IV59.6%47.5%77.5%49.1%54.9%
Expected Move15.8%13.6%19.4%14.1%15.7%
HV 20d60.0%43.3%68.4%68.4%43.3%
HV 60d56.7%53.4%60.6%60.6%53.4%
IV Rank43.2%26.3%51.7%51.6%44.6%
IV Percentile62.7%28.7%75.9%73.8%67.4%
Term Structure-0.7%-13.7%15.6%15.6%-2.9%
VWIV54.7%47.5%68.9%55.5%54.9%
Skew 25d10.4%-2.1%35.9%5.6%35.9%
Skew 10d20.8%4.4%58.3%13.7%58.3%
Call IV 25d49.8%38.7%63.3%49.6%43.7%
Put IV 25d60.2%43.4%79.6%55.1%79.6%
Bid-Ask Spread %95.6186.44102.1996.6090.96
Gamma HHI0.600.310.830.450.81
Net GEX-58.5K-120.7K-24.0K-49.4K-58.6K
Net DEX4.1M2.5M6.0M2.5M3.8M
Net VEX-6.8K-9.7K-3.9K-7.2K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.0019.235.050.00
Total Volume452.57102,5181,45315
Total OI6,433.3333,9398,0483,9396,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$16.22$17.5049.1%14.1%68.4%0.0%55.5%5.6%15.6%-49.4K2.5M-7.2K5.0596.60N/AN/A2401,2131,1162,823
2014-05-02$16.14$17.5067.5%19.4%68.1%0.0%68.9%16.6%-13.7%-94.2K2.9M-8.8K3.43102.12N/AN/A7241,3564,030
2014-05-05$16.00$17.5072.2%15.2%67.7%0.0%53.0%14.7%-2.5%-98.8K2.7M-9.7K0.1194.02N/AN/A106121,3624,052
2014-05-06$15.61$17.5056.2%14.8%64.5%0.0%0.0%6.6%-1.0%-110.5K3.1M-8.3K6.5194.93N/AN/A865601,4574,063
2014-05-07$15.07$17.5057.8%14.6%64.5%0.0%49.5%3.6%-0.7%-120.7K4.2M-9.0K1.2692.42N/AN/A4205291,5034,599
2014-05-08$14.01$17.5057.7%16.0%64.9%0.0%54.6%6.1%-6.4%-63.2K4.6M-6.2K0.1494.14N/AN/A309441,7644,587
2014-05-09$13.43$17.5065.0%17.8%58.8%0.0%0.0%4.2%-12.5%-34.1K5.4M-4.1K0.0097.85N/AN/A2501,7754,587
2014-05-12$13.79$17.5073.0%15.6%59.2%0.0%53.8%10.7%-3.0%-62.0K4.7M-5.5K19.2397.50N/AN/A265001,7564,587
2014-05-13$13.00$17.5077.5%16.6%61.8%0.0%60.0%-2.1%-3.6%-26.6K5.5M-4.7K0.5898.76N/AN/A45261,7815,080
2014-05-14$12.50$17.5074.6%15.6%61.8%0.0%54.5%4.3%-0.4%-24.0K5.5M-3.9K15.9394.96N/AN/A416531,7655,106
2014-05-15$12.52$17.5056.7%16.3%60.1%0.0%0.0%9.1%1.0%-35.6K6.0M-4.7K3.7086.44N/AN/A1294771,7835,744
2014-05-16$12.30$17.5057.8%16.6%60.1%51.6%57.3%4.7%0.4%-43.7K6.0M-6.0K1.6793.27N/AN/A911521,8786,170
2014-05-19$12.54$17.5053.3%15.3%61.2%40.6%53.1%22.5%4.7%-34.8K4.3M-5.5K4.0193.39N/AN/A5032,0151,3054,770
2014-05-20$12.58$12.5051.4%14.7%59.7%36.0%48.9%22.2%3.9%-53.7K3.7M-7.7K0.0091.72N/AN/A2501,8054,974
2014-05-21$12.51$12.5047.5%13.6%59.5%26.3%47.5%8.1%14.8%-52.1K3.4M-8.0K0.0096.86N/AN/A0151,8304,974
2014-05-22$12.21$12.5057.2%16.4%59.1%50.1%0.0%-0.1%-5.0%-49.3K3.5M-7.4K0.0095.53N/AN/A001,8304,974
2014-05-23$12.23$12.5051.5%14.8%55.1%36.3%51.5%12.6%1.8%-51.8K3.7M-7.5K0.00100.47N/AN/A051,8304,974
2014-05-27$12.59$12.5054.2%15.5%55.9%42.9%54.2%8.2%4.1%-51.6K3.6M-7.2K0.9598.69N/AN/A5365101,8304,979
2014-05-28$12.39$12.5057.8%16.6%54.5%51.7%0.0%5.3%-3.7%-55.6K3.6M-6.8K0.00102.19N/AN/A01621,7794,880
2014-05-29$12.54$12.5057.8%16.6%51.6%51.6%57.8%19.1%-5.9%-59.2K3.6M-7.2K0.0094.97N/AN/A301,7795,042
2014-05-30$12.17$12.5054.9%15.7%43.3%44.6%54.9%35.9%-2.9%-58.6K3.8M-6.8K0.0090.96N/AN/A1501,7795,042