RNG Options History — September 2014

In September 2014, RNG traded between $11.97 and $14.18. ATM implied volatility averaged 46.6%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 9.6% (HV 20d: 37.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-09-08: Highest Volume — 382 contracts
  • 2014-09-09: Largest IV spike — 42.0% change
  • 2014-09-17: Highest IV Rank — 46.2%
  • 2014-09-22: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.10$11.97$14.18$13.44$12.71
Max Pain$14.52$10.00$15.00$15.00$10.00
ATM IV46.6%37.2%54.8%45.6%48.4%
Expected Move14.5%13.5%15.3%14.8%14.3%
HV 20d37.0%25.6%46.4%34.4%46.4%
HV 60d56.0%54.6%57.8%55.0%57.4%
IV Rank26.7%4.6%46.2%24.5%31.0%
IV Percentile27.7%1.5%68.2%21.0%36.8%
Term Structure3.5%-8.2%15.9%13.2%4.4%
VWIV51.1%46.7%58.2%51.1%48.0%
Skew 25d2.6%-4.4%13.3%2.8%9.8%
Skew 10d5.2%-10.0%17.0%-3.9%16.0%
Call IV 25d44.4%32.5%53.2%50.6%41.8%
Put IV 25d47.1%36.0%53.4%53.4%51.7%
Bid-Ask Spread %75.2364.5085.0668.1777.63
Gamma HHI0.340.280.430.300.34
Net GEX35.1K16.7K53.0K31.0K26.8K
Net DEX-886.0K-1.7M38.2K-795.5K-477.1K
Net VEX-5.8K-7.0K-4.5K-6.2K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.006.000.000.00
Total Volume129.9521038219510
Total OI4,668.6193,7665,4244,4924,079

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$13.44$15.0045.6%14.8%34.4%24.5%0.0%2.8%13.2%31.0K-795.5K-6.2K0.0068.17N/AN/A19503,0811,411
2014-09-03$13.17$15.0041.8%14.4%25.8%15.5%51.1%13.3%15.9%36.9K-898.6K-6.3K0.5969.18N/AN/A59353,2521,411
2014-09-04$13.15$15.0043.3%14.9%25.7%19.0%0.0%7.0%7.6%36.6K-792.0K-6.3K6.0064.50N/AN/A10603,2911,443
2014-09-05$13.23$15.0048.1%14.7%25.6%30.4%0.0%0.3%-1.7%36.1K-754.3K-6.3K0.1971.67N/AN/A131253,2881,483
2014-09-08$13.90$15.0037.2%14.0%31.4%4.6%49.2%-2.1%-1.4%45.1K-1.4M-6.7K0.0668.09N/AN/A359233,4131,483
2014-09-09$13.45$15.0052.9%14.9%32.4%41.6%51.7%4.0%-8.2%47.0K-1.2M-6.8K1.0268.82N/AN/A47483,5921,460
2014-09-10$13.81$15.0042.7%13.5%33.8%17.6%0.0%2.0%-1.4%41.9K-1.4M-6.8K0.0077.96N/AN/A10103,6081,504
2014-09-11$14.18$15.0042.0%14.1%32.1%16.0%0.0%-3.7%6.2%53.0K-1.7M-7.0K0.0070.28N/AN/A6303,6091,504
2014-09-12$13.54$15.0045.3%14.5%36.4%23.6%51.0%-2.4%5.1%40.9K-1.4M-6.4K0.1268.25N/AN/A147173,6561,504
2014-09-15$13.29$15.0047.5%14.4%36.9%29.0%0.0%1.0%3.6%43.4K-1.3M-6.0K0.0076.73N/AN/A22503,7691,521
2014-09-16$13.35$15.0052.0%14.5%36.9%39.5%47.2%2.3%-1.9%50.4K-1.3M-6.3K0.2875.12N/AN/A90253,9031,521
2014-09-17$13.44$15.0054.8%14.3%36.7%46.2%0.0%3.3%-7.2%46.0K-1.5M-6.3K0.0081.33N/AN/A1403,8551,528
2014-09-18$13.61$15.0048.7%15.0%36.3%31.7%58.2%2.1%5.9%45.2K-1.5M-5.8K2.0684.60N/AN/A17353,8531,517
2014-09-19$13.29$15.0049.8%14.6%37.0%34.5%46.7%6.6%-0.1%44.1K-1.5M-5.7K0.3875.29N/AN/A66253,8451,527
2014-09-22$12.37$15.0045.2%15.3%44.9%23.4%0.0%5.1%4.1%19.1K-126.5K-4.6K0.0079.38N/AN/A22502,7111,070
2014-09-23$12.17$15.0047.6%14.1%45.1%29.1%49.2%-3.4%3.8%18.1K-84.0K-4.9K1.0780.94N/AN/A15162,6961,070
2014-09-24$12.18$15.0046.5%14.2%44.5%26.6%0.0%2.7%5.0%17.4K-25.0K-4.6K0.0085.06N/AN/A7202,7091,082
2014-09-25$11.97$15.0046.8%14.5%43.9%27.3%0.0%-4.4%6.0%16.7K38.2K-4.7K0.3180.85N/AN/A61192,7691,082
2014-09-26$12.12$15.0044.9%14.5%44.3%22.8%55.7%1.5%7.3%17.2K21.5K-4.5K0.5977.99N/AN/A1901122,7861,094
2014-09-29$12.65$10.0046.7%14.2%46.3%27.1%54.2%7.7%6.8%23.8K-379.7K-5.1K0.0078.02N/AN/A19202,9651,096
2014-09-30$12.71$10.0048.4%14.3%46.4%31.0%48.0%9.8%4.4%26.8K-477.1K-5.1K0.0077.63N/AN/A1002,9831,096