RNG Options History — July 2014 In July 2014, RNG traded between $12.70 and $15.56. ATM implied volatility averaged 54.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 12.9% (HV 20d: 41.3%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.00.
Notable Days 2014-07-29 : Highest Volume — 2,799 contracts2014-07-30 : Largest IV drop — 30.3% change2014-07-29 : Highest IV Rank — 96.3%2014-07-29 : Largest Expected Move — 21.8%Monthly Statistics Metric Avg Min Max Open Close Price $14.43 $12.70 $15.56 $15.56 $14.93 Max Pain $14.09 $12.50 $17.50 $17.50 $12.50 ATM IV 54.3% 43.0% 76.0% 50.8% 55.8% Expected Move 15.9% 12.3% 21.8% 14.6% 16.0% HV 20d 41.3% 28.3% 81.9% 32.1% 81.8% HV 60d 48.6% 44.9% 58.9% 52.8% 58.7% IV Rank 42.9% 15.4% 96.3% 34.5% 46.7% IV Percentile 56.9% 7.5% 99.4% 47.1% 68.0% Term Structure -4.7% -19.3% 7.7% 3.0% -7.9% VWIV 54.2% 30.3% 76.0% 40.7% 35.9% Skew 25d 4.3% -7.9% 27.9% 12.7% -1.2% Skew 10d 8.0% -15.6% 42.4% 12.2% 0.1% Call IV 25d 51.2% 33.8% 67.2% 33.8% 44.2% Put IV 25d 55.5% 37.1% 84.6% 46.5% 43.0% Bid-Ask Spread % 90.66 68.31 100.73 87.17 91.13 Gamma HHI 0.40 0.32 0.70 0.33 0.32 Net GEX 27.2K 2.2K 109.2K 22.2K 11.2K Net DEX 324.0K -1.5M 1.4M 648.5K -1.5M Net VEX -5.1K -7.0K -3.5K -6.6K -7.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.00 0.00 37.50 0.24 0.00 Total Volume 255.636 1 2,799 256 30 Total OI 4,755.864 1,773 6,457 6,072 5,085
Daily Data (22 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 2014-07-01 $15.56 $17.50 50.8% 14.6% 32.1% 34.5% 40.7% 12.7% 3.0% 22.2K 648.5K -6.6K 0.24 87.17 N/A N/A 206 50 2,554 3,518 2014-07-02 $15.32 $17.50 44.4% 12.7% 32.6% 18.8% 0.0% -5.3% 0.9% 27.5K 701.3K -6.6K 0.00 100.73 N/A N/A 3 0 2,704 3,568 2014-07-03 $15.47 $17.50 43.0% 12.3% 32.2% 15.4% 0.0% 5.4% 7.7% 39.6K 616.4K -6.0K 0.00 93.99 N/A N/A 50 0 2,707 3,568 2014-07-07 $14.91 $15.00 44.8% 15.0% 33.5% 19.7% 0.0% 9.4% -1.8% 29.3K 810.9K -6.0K 0.14 93.78 N/A N/A 250 36 2,707 3,568 2014-07-08 $14.51 $15.00 43.9% 15.8% 35.6% 17.6% 0.0% -0.0% -1.7% 2.2K 1.3M -6.1K 0.00 90.97 N/A N/A 90 0 2,625 3,528 2014-07-09 $14.83 $15.00 46.8% 14.9% 35.1% 24.7% 51.8% -1.7% -0.9% 11.1K 1.1M -5.8K 0.00 86.79 N/A N/A 235 0 2,625 3,528 2014-07-10 $14.50 $15.00 52.5% 15.1% 36.4% 38.6% 52.1% 9.8% -2.0% 14.8K 1.3M -6.1K 0.00 89.70 N/A N/A 27 0 2,810 3,528 2014-07-11 $14.75 $15.00 52.6% 15.1% 36.5% 38.9% 62.5% 2.8% -3.5% 20.4K 961.8K -5.6K 0.00 89.73 N/A N/A 1 0 2,837 3,528 2014-07-14 $15.09 $15.00 53.3% 15.3% 36.4% 40.5% 0.0% 5.5% -3.4% 69.5K 698.2K -5.2K 0.00 87.49 N/A N/A 102 0 2,838 3,528 2014-07-15 $14.87 $15.00 50.9% 14.6% 36.8% 34.8% 55.6% -2.4% 0.2% 76.9K 786.4K -5.4K 37.50 89.71 N/A N/A 2 75 2,929 3,528 2014-07-16 $14.74 $12.50 50.3% 14.4% 28.3% 33.2% 30.3% 10.5% 0.2% 109.2K 916.1K -5.1K 0.50 85.99 N/A N/A 2 1 2,930 3,492 2014-07-17 $13.98 $12.50 58.7% 16.8% 34.1% 53.8% 57.1% -3.4% -8.7% 21.1K 1.3M -4.3K 0.09 91.11 N/A N/A 280 25 2,699 3,491 2014-07-18 $13.66 $12.50 59.0% 16.9% 34.8% 54.6% 0.0% -3.6% -4.0% 16.2K 1.4M -3.8K 0.38 90.47 N/A N/A 100 38 2,528 3,516 2014-07-21 $13.49 $12.50 61.3% 17.6% 34.7% 60.3% 55.8% -0.7% -11.7% 16.0K -295.6K -3.7K 0.83 91.76 N/A N/A 30 25 1,239 534 2014-07-22 $13.98 $12.50 54.6% 15.7% 37.3% 43.9% 55.4% 6.6% -6.6% 17.1K -352.2K -3.9K 0.00 93.95 N/A N/A 3 0 1,263 559 2014-07-23 $13.94 $12.50 58.9% 16.9% 37.2% 54.4% 60.7% 7.8% -9.1% 18.4K -391.6K -3.9K 0.17 94.86 N/A N/A 40 7 1,266 559 2014-07-24 $14.63 $12.50 55.5% 15.9% 40.9% 46.0% 55.5% 12.3% -7.2% 21.1K -542.1K -4.1K 0.53 96.05 N/A N/A 30 16 1,258 566 2014-07-25 $13.61 $15.00 63.9% 18.3% 47.8% 66.7% 55.1% 4.6% -11.6% 16.5K -320.7K -3.7K 0.01 93.38 N/A N/A 200 1 1,275 582 2014-07-28 $12.80 $12.50 63.5% 18.2% 51.7% 65.5% 65.9% -7.9% -11.2% 10.2K -143.3K -3.5K 0.14 93.16 N/A N/A 173 24 1,440 581 2014-07-29 $12.70 $12.50 76.0% 21.8% 51.4% 96.3% 76.0% 27.9% -19.3% 14.8K -229.9K -3.7K 3.21 94.31 N/A N/A 665 2,134 1,589 576 2014-07-30 $15.10 $12.50 52.9% 15.2% 81.9% 39.7% 56.8% 6.3% -5.1% 11.8K -1.5M -6.8K 0.30 68.31 N/A N/A 516 157 2,251 2,624 2014-07-31 $14.93 $12.50 55.8% 16.0% 81.8% 46.7% 35.9% -1.2% -7.9% 11.2K -1.5M -7.0K 0.00 91.13 N/A N/A 30 0 2,375 2,710
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