RNG Options History — October 2014

In October 2014, RNG traded between $10.17 and $13.12. ATM implied volatility averaged 62.0%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 6.4% (HV 20d: 55.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-10-15: Highest Volume — 3,866 contracts
  • 2014-10-08: Largest IV spike — 33.5% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-30: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.69$10.17$13.12$12.60$13.12
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV62.0%39.4%90.1%46.1%58.1%
Expected Move16.7%14.3%17.9%14.3%17.9%
HV 20d55.5%44.0%68.7%46.0%68.7%
HV 60d55.9%47.3%62.4%57.2%49.3%
IV Rank52.4%9.7%100.0%25.6%41.6%
IV Percentile70.9%2.2%100.0%24.9%77.0%
Term Structure-2.6%-15.9%12.6%4.8%0.8%
VWIV58.4%50.0%64.1%50.0%63.2%
Skew 25d11.3%-8.8%27.3%10.4%27.3%
Skew 10d17.7%-11.9%51.3%16.4%51.3%
Call IV 25d56.7%38.6%73.4%38.6%39.3%
Put IV 25d68.0%49.0%93.0%49.0%66.6%
Bid-Ask Spread %80.4060.0092.8577.1960.00
Gamma HHI0.500.270.700.360.68
Net GEX44.4K2.5K144.3K25.7K144.3K
Net DEX-1.3M-5.7M283.0K-477.1K-5.7M
Net VEX-11.1K-22.7K-3.6K-5.1K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.001.810.010.32
Total Volume1,424.04323,8662401,140
Total OI6,752.0433,98012,3304,04212,008

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$12.60$10.0046.1%14.3%46.0%25.6%50.0%10.4%4.8%25.7K-477.1K-5.1K0.0177.19N/AN/A23822,9891,053
2014-10-02$12.72$10.0041.9%14.8%46.2%15.7%51.3%20.0%10.3%27.8K-488.7K-4.8K0.0071.87N/AN/A022,9261,054
2014-10-03$12.66$10.0039.4%14.9%46.1%9.7%0.0%8.4%6.9%28.7K-626.2K-4.9K0.0075.66N/AN/A5202,9261,054
2014-10-06$11.96$10.0039.5%14.6%45.7%9.9%50.8%4.7%-1.1%22.7K-156.7K-4.3K0.0075.31N/AN/A5502,9781,054
2014-10-07$11.87$10.0039.4%15.4%44.7%9.8%0.0%9.3%0.1%26.4K-221.2K-4.3K0.0083.05N/AN/A043,0101,054
2014-10-08$12.09$10.0052.6%16.2%44.0%41.1%60.3%17.5%-2.4%20.6K-86.0K-4.3K0.3587.57N/AN/A8112823,0051,087
2014-10-09$11.25$10.0053.1%16.9%47.9%42.3%0.0%9.6%12.6%8.1K264.8K-3.7K0.5489.00N/AN/A52283,2051,054
2014-10-10$10.70$10.0060.7%17.7%48.3%60.2%57.2%7.9%-7.6%2.5K283.0K-3.6K0.2783.35N/AN/A1,8365003,2071,074
2014-10-13$10.17$10.0071.9%17.9%50.2%86.6%0.0%-8.8%-6.5%13.4K71.7K-7.8K1.6792.80N/AN/A1,0001,6674,9531,574
2014-10-14$10.48$10.0068.7%17.7%52.2%79.1%60.0%-5.2%-4.1%22.2K-48.5K-11.1K0.8582.52N/AN/A2,0841,7725,9532,262
2014-10-15$11.29$10.0090.1%17.1%60.4%100.0%61.1%11.6%2.3%34.0K-609.8K-12.5K0.8581.80N/AN/A2,0941,7725,9652,262
2014-10-16$11.67$10.0067.3%16.8%61.7%58.3%0.0%10.2%-7.9%37.4K-1.0M-12.7K0.0283.22N/AN/A11425,9782,141
2014-10-17$11.31$10.0056.2%16.1%62.1%38.1%0.0%19.2%-7.1%38.0K-993.2K-12.5K1.3479.43N/AN/A1061426,0262,141
2014-10-20$11.49$10.0064.1%16.9%57.8%52.5%59.9%9.7%0.2%37.9K-1.3M-12.8K0.9792.85N/AN/A8628324,5531,780
2014-10-21$11.22$10.0074.6%17.5%58.1%71.6%58.4%8.2%-4.7%38.2K-1.3M-12.6K0.9982.76N/AN/A8418324,5781,780
2014-10-22$10.93$10.0080.0%17.5%58.5%81.5%59.9%3.8%-15.9%43.7K-1.2M-12.9K0.6687.16N/AN/A1,2858425,0811,780
2014-10-23$11.50$10.0065.2%16.3%61.6%54.6%60.1%20.4%-2.5%47.4K-1.5M-13.7K1.0773.76N/AN/A7858425,1041,797
2014-10-24$11.23$10.0078.8%17.2%61.8%79.3%58.1%12.9%-11.7%46.0K-1.4M-13.4K1.0785.33N/AN/A7848425,1301,797
2014-10-27$11.77$10.0068.6%16.8%62.3%60.8%0.0%25.7%-8.4%51.6K-1.8M-13.7K0.0080.51N/AN/A2,35205,1441,797
2014-10-28$12.29$10.0071.2%17.5%64.4%65.4%0.0%10.9%-7.8%93.1K-3.7M-19.0K0.0882.57N/AN/A1,7001447,2451,797
2014-10-29$12.38$10.0079.4%17.4%64.4%80.4%62.1%19.5%-9.4%97.1K-3.9M-19.7K1.8172.42N/AN/A9441,7117,6801,931
2014-10-30$12.28$10.0057.9%17.9%64.4%41.2%64.1%6.8%-0.2%113.4K-3.9M-22.7K0.5669.15N/AN/A8995018,8173,513
2014-10-31$13.12$10.0058.1%17.9%68.7%41.6%63.2%27.3%0.8%144.3K-5.7M-22.1K0.3260.00N/AN/A8612798,8283,180