RNG Options History — June 2014

In June 2014, RNG traded between $11.72 and $15.13. ATM implied volatility averaged 52.0%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 12.1% (HV 20d: 39.8%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.43.

Notable Days

  • 2014-06-02: Highest Volume — 3,525 contracts
  • 2014-06-17: Largest IV drop — 16.7% change
  • 2014-06-10: Highest IV Rank — 62.7%
  • 2014-06-03: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$11.72$15.13$11.94$15.13
Max Pain$17.14$12.50$20.00$12.50$17.50
ATM IV52.0%43.2%62.3%56.3%44.1%
Expected Move14.6%12.4%17.5%16.1%12.6%
HV 20d39.8%33.7%46.7%43.1%33.7%
HV 60d54.3%52.7%57.0%53.4%52.7%
IV Rank37.3%15.9%62.7%47.9%18.0%
IV Percentile47.7%8.4%87.3%69.9%10.9%
Term Structure3.0%-8.0%9.5%-3.4%9.1%
VWIV53.4%44.5%75.1%54.9%44.5%
Skew 25d8.5%-21.4%26.9%13.1%6.0%
Skew 10d25.0%-3.3%43.6%41.0%7.1%
Call IV 25d46.3%32.4%57.2%48.2%32.9%
Put IV 25d54.8%35.8%66.4%61.3%38.9%
Bid-Ask Spread %91.4877.22100.2294.3285.01
Gamma HHI0.510.240.860.830.34
Net GEX-28.6K-97.1K18.6K-54.4K18.6K
Net DEX1.2M-1.1M3.9M3.9M897.3K
Net VEX-7.1K-8.7K-5.8K-6.2K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.0046.430.750.16
Total Volume517.42913,5253,52529
Total OI7,808.6195,4539,8026,8276,069

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$11.94$12.5056.3%16.1%43.1%47.9%54.9%13.1%-3.4%-54.4K3.9M-6.2K0.7594.32N/AN/A2,0131,5121,7855,042
2014-06-03$11.72$12.5061.0%17.5%43.1%59.4%67.5%-7.3%-8.0%-37.1K3.1M-7.8K0.0393.53N/AN/A3313,3175,511
2014-06-04$12.16$12.5059.1%16.9%46.7%54.8%58.1%-2.5%-7.5%-42.9K2.9M-7.8K0.1499.74N/AN/A1,9202643,2955,512
2014-06-05$12.13$12.5055.0%15.8%46.1%44.7%53.5%-3.8%-4.3%-71.0K3.7M-8.1K0.0099.59N/AN/A61902,7305,729
2014-06-06$12.74$20.0054.9%14.8%44.6%44.4%51.5%14.7%4.1%-87.0K2.3M-8.7K2.5093.06N/AN/A10253,2625,729
2014-06-09$12.71$20.0059.6%14.8%42.3%56.0%75.1%22.7%5.6%-90.7K2.4M-8.3K0.3496.89N/AN/A29103,2725,729
2014-06-10$13.08$20.0062.3%15.3%42.6%62.7%0.0%13.1%2.7%-97.1K1.9M-8.0K0.0092.74N/AN/A1,24213,2625,739
2014-06-11$13.29$20.0055.2%15.7%37.4%45.3%55.5%9.8%1.6%-51.4K631.3K-8.3K46.4387.78N/AN/A351,6254,0625,740
2014-06-12$13.48$20.0054.5%15.6%34.4%43.4%48.6%10.8%1.1%-3.4K213.5K-7.4K0.1085.29N/AN/A381404,0434,646
2014-06-13$13.30$17.5056.1%16.1%35.0%47.5%0.0%9.3%0.4%-5.3K195.6K-6.9K0.0090.01N/AN/A204,1714,656
2014-06-16$13.54$17.5057.5%16.5%34.5%50.9%0.0%12.8%-0.1%-9.5K-378.6K-6.7K0.0090.08N/AN/A104,1734,427
2014-06-17$14.50$17.5047.9%13.7%41.0%27.4%52.8%9.0%5.7%-8.6K-1.1M-7.0K0.3288.21N/AN/A31104,1724,427
2014-06-18$14.43$17.5048.1%13.8%41.2%27.8%48.5%11.7%4.6%-3.5K-843.0K-7.5K0.0091.79N/AN/A18204,1834,427
2014-06-19$14.54$17.5046.0%13.2%40.9%22.6%0.0%4.1%6.4%-6.7K-921.4K-6.9K0.0092.88N/AN/A4004,1534,378
2014-06-20$14.66$17.5044.5%12.7%39.2%18.9%44.6%14.9%8.4%-16.7K-1.1M-6.3K0.0098.63N/AN/A5004,1924,378
2014-06-23$14.50$17.5045.2%13.0%39.8%20.8%0.0%16.8%7.3%-11.7K1.7M-6.3K0.0084.60N/AN/A6801,9363,517
2014-06-24$14.57$17.5047.8%13.7%39.0%27.1%47.4%26.9%5.4%-14.3K1.7M-6.2K0.2594.72N/AN/A57141,9543,517
2014-06-25$14.81$17.5047.4%13.6%38.1%26.2%44.6%-21.4%9.5%-14.1K1.6M-5.9K0.00100.22N/AN/A20201,9613,529
2014-06-26$14.99$17.5045.7%13.1%38.1%21.9%0.0%14.0%6.3%1871.3M-6.1K0.0084.82N/AN/A1002,1493,529
2014-06-27$15.05$17.5043.2%12.4%35.4%15.9%0.0%3.4%7.8%5.5K1.2M-5.8K0.0077.22N/AN/A41002,1493,529
2014-06-30$15.13$17.5044.1%12.6%33.7%18.0%44.5%6.0%9.1%18.6K897.3K-6.6K0.1685.01N/AN/A2542,5483,521