RNG Options History — August 2014

In August 2014, RNG traded between $13.08 and $14.66. ATM implied volatility averaged 49.6%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 26.4% (HV 20d: 76.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-08-05: Highest Volume — 2,400 contracts
  • 2014-08-11: Largest IV spike — 47.8% change
  • 2014-08-18: Highest IV Rank — 47.1%
  • 2014-08-13: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$13.08$14.66$14.43$13.43
Max Pain$12.75$10.00$15.00$12.50$15.00
ATM IV49.6%35.3%55.2%44.2%42.9%
Expected Move14.9%12.7%16.3%12.7%14.8%
HV 20d76.0%37.6%85.9%82.5%37.7%
HV 60d56.7%55.7%58.7%58.7%55.9%
IV Rank33.3%0.0%47.1%18.3%18.0%
IV Percentile40.5%0.0%67.4%12.3%6.5%
Term Structure2.5%-1.9%17.4%-1.9%17.4%
VWIV52.5%49.1%57.8%57.7%53.8%
Skew 25d4.9%-1.8%11.2%8.2%11.2%
Skew 10d4.8%-10.0%27.7%5.6%27.7%
Call IV 25d47.5%36.6%53.2%47.2%43.3%
Put IV 25d52.4%45.9%58.3%55.4%54.5%
Bid-Ask Spread %70.9956.8592.5692.5670.95
Gamma HHI0.320.280.460.350.30
Net GEX21.3K-31.2K36.9K-1.2K32.5K
Net DEX-986.0K-1.3M-512.3K-944.0K-846.4K
Net VEX-7.6K-10.1K-6.6K-7.2K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0011.001.470.00
Total Volume225.14312,4005081
Total OI5,493.3814,0737,1375,1144,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$14.43$12.5044.2%12.7%82.5%18.3%57.7%8.2%-1.9%-1.2K-944.0K-7.2K1.4792.56N/AN/A2063022,4042,710
2014-08-04$13.79$12.5052.3%14.4%83.0%38.1%51.0%5.9%3.5%-31.2K-512.3K-7.2K0.1379.22N/AN/A80102,4463,012
2014-08-05$14.66$12.5055.2%14.9%85.6%45.2%51.3%4.6%3.5%974-1.2M-7.4K0.3266.00N/AN/A1,8195812,4643,022
2014-08-06$14.48$12.5053.8%14.6%85.4%41.9%52.4%1.2%3.5%16.1K-1.3M-9.9K0.1667.77N/AN/A243383,5923,342
2014-08-07$14.25$12.5051.4%15.4%85.2%36.0%57.8%7.3%-0.2%14.9K-1.3M-10.1K4.1071.86N/AN/A10413,6403,358
2014-08-08$14.03$12.5035.3%14.9%85.1%0.0%53.5%8.9%1.2%6.4K-1.1M-9.0K0.1477.21N/AN/A71103,6483,372
2014-08-11$14.32$12.5052.2%14.3%85.0%40.0%52.2%7.3%2.1%15.8K-1.2M-9.2K0.0870.76N/AN/A7363,7013,382
2014-08-12$14.14$12.5044.5%14.6%84.9%21.9%0.0%3.4%0.7%17.8K-1.3M-8.8K1.0073.03N/AN/A663,7493,386
2014-08-13$13.61$12.5055.0%16.3%85.9%46.8%53.4%3.6%-0.4%18.1K-1.1M-7.7K1.2677.97N/AN/A76963,7513,386
2014-08-14$13.65$12.5054.0%15.5%83.9%44.3%50.3%2.8%-1.8%11.9K-986.2K-7.5K11.0078.63N/AN/A2223,6523,407
2014-08-15$13.54$12.5053.7%15.4%83.5%43.6%53.6%0.2%0.4%33.6K-956.0K-7.3K0.0483.88N/AN/A11853,6533,407
2014-08-18$13.61$0.0055.2%15.6%83.4%47.1%54.6%5.1%1.5%35.2K-1.0M-7.3K0.0075.67N/AN/A8202,9521,125
2014-08-19$13.77$12.5047.4%14.1%82.5%28.8%49.1%1.7%2.3%36.9K-1.1M-7.1K0.0856.85N/AN/A9372,9481,125
2014-08-20$13.49$12.5051.9%15.5%82.8%39.5%49.2%6.8%3.2%36.6K-1.0M-6.8K0.3865.96N/AN/A80302,9521,129
2014-08-21$13.31$12.5051.7%15.4%80.8%38.9%51.5%5.1%0.3%36.6K-948.4K-6.8K1.0262.25N/AN/A62633,0121,148
2014-08-22$13.25$10.0049.6%15.5%76.7%33.9%52.1%-1.8%3.9%34.8K-861.2K-7.0K1.2659.06N/AN/A65823,0711,211
2014-08-25$13.23$12.5052.0%14.8%73.4%39.7%49.1%8.5%-1.9%33.2K-841.0K-6.8K0.0060.62N/AN/A1903,0871,282
2014-08-26$13.45$12.5046.8%14.5%73.5%27.3%53.8%3.3%4.1%35.2K-911.2K-6.8K1.2866.24N/AN/A1061363,0951,282
2014-08-27$13.08$15.0046.4%14.5%37.6%26.2%0.0%0.4%2.5%31.2K-612.7K-6.6K0.5164.33N/AN/A49253,0881,386
2014-08-28$13.11$15.0045.8%14.7%37.7%24.8%0.0%9.3%8.5%31.8K-699.2K-6.9K0.0069.90N/AN/A703,0801,411
2014-08-29$13.43$15.0042.9%14.8%37.7%18.0%0.0%11.2%17.4%32.5K-846.4K-6.7K0.0070.95N/AN/A103,0821,411