RNG Options History — November 2014

In November 2014, RNG traded between $11.40 and $12.88. ATM implied volatility averaged 59.7%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 3.3% (HV 20d: 56.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2014-11-11: Highest Volume — 2,596 contracts
  • 2014-11-10: Largest IV spike — 17.6% change
  • 2014-11-11: Highest IV Rank — 67.3%
  • 2014-11-05: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.26$11.40$12.88$12.35$12.58
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV59.7%53.7%72.2%67.3%66.1%
Expected Move17.4%16.4%18.1%17.6%17.3%
HV 20d56.4%49.9%69.3%69.1%51.7%
HV 60d51.5%50.0%53.8%50.7%53.7%
IV Rank44.5%33.5%67.3%58.3%56.2%
IV Percentile76.6%58.7%95.6%92.2%90.9%
Term Structure-1.2%-10.5%6.8%-10.5%-5.0%
VWIV63.6%58.4%67.6%64.7%60.5%
Skew 25d13.0%0.2%39.2%19.5%4.7%
Skew 10d21.3%-3.6%52.1%33.7%12.9%
Call IV 25d52.4%36.0%69.2%54.0%50.6%
Put IV 25d65.4%52.7%78.6%73.5%55.3%
Bid-Ask Spread %75.5853.8996.5369.7087.89
Gamma HHI0.650.580.720.660.65
Net GEX112.3K68.7K146.0K128.6K101.6K
Net DEX-3.4M-4.8M-1.4M-4.5M-3.7M
Net VEX-18.3K-21.5K-15.9K-21.5K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.000.920.360.42
Total Volume1,236.57902,5961,0540
Total OI11,268.10510,31112,22412,07210,413

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$12.35$10.0067.3%17.6%69.1%58.3%64.7%19.5%-10.5%128.6K-4.5M-21.5K0.3669.70N/AN/A7732818,8493,223
2014-11-04$12.60$10.0060.6%17.8%69.3%46.1%62.1%19.6%-2.5%143.4K-4.5M-21.2K0.5167.86N/AN/A5472818,8433,224
2014-11-05$12.54$10.0062.3%18.1%69.1%49.1%67.6%20.3%-6.3%143.9K-4.8M-21.2K0.5153.89N/AN/A5562818,8333,224
2014-11-06$12.37$10.0062.4%17.9%63.8%49.4%65.8%1.2%-6.4%146.0K-4.4M-21.1K0.8170.56N/AN/A5804718,8323,224
2014-11-07$12.40$10.0055.3%17.8%60.4%36.5%63.9%9.3%1.4%144.1K-4.0M-21.2K0.2372.36N/AN/A2,0604718,8023,422
2014-11-10$12.40$10.0065.1%17.9%56.5%54.3%64.2%5.0%2.0%103.0K-3.5M-19.1K0.2473.14N/AN/A2,0604877,6643,422
2014-11-11$12.35$10.0072.2%17.1%56.2%67.3%63.7%12.5%0.5%138.9K-4.1M-18.9K0.2587.55N/AN/A2,0755218,5963,016
2014-11-12$12.39$10.0063.2%18.0%50.4%50.9%63.0%5.0%-0.3%102.6K-3.3M-18.9K0.2575.83N/AN/A2,0755167,6743,514
2014-11-13$12.14$10.0053.7%17.8%50.0%33.5%62.9%0.2%1.4%101.0K-3.0M-18.3K0.2578.28N/AN/A2,0535167,6743,514
2014-11-14$12.60$10.0054.0%17.4%49.9%34.2%58.4%12.6%0.9%113.2K-3.5M-18.4K0.0169.34N/AN/A7917,6713,514
2014-11-17$11.81$10.0055.5%17.6%55.5%36.9%64.0%2.8%0.2%93.3K-2.5M-17.4K0.9173.18N/AN/A5795287,6873,514
2014-11-18$11.52$10.0057.4%17.7%55.6%40.2%66.6%3.3%-1.0%82.0K-1.9M-16.7K0.9271.90N/AN/A5755287,6873,481
2014-11-19$11.40$10.0057.3%16.8%54.8%40.1%0.0%10.2%-1.3%68.7K-1.4M-16.4K0.0076.40N/AN/A39507,6953,481
2014-11-20$11.56$10.0055.1%17.3%52.0%36.1%62.8%10.2%-1.2%82.2K-1.4M-16.1K0.5671.01N/AN/A9385287,7683,412
2014-11-21$12.06$10.0054.1%16.4%53.2%34.3%64.6%37.1%-1.0%129.6K-2.9M-16.9K0.4387.77N/AN/A9624187,7673,412
2014-11-24$12.30$10.0057.6%16.9%51.1%40.7%0.0%24.1%0.7%90.1K-2.9M-16.1K0.0896.53N/AN/A1217,1193,192
2014-11-25$12.88$10.0058.3%16.8%51.4%41.9%60.5%39.2%6.8%110.5K-3.9M-15.9K0.4285.79N/AN/A9493987,1263,192
2014-11-26$12.75$10.0056.7%16.5%51.5%38.9%0.0%9.7%-1.9%110.4K-4.1M-16.2K0.0066.93N/AN/A007,2103,203
2014-11-28$12.58$10.0066.1%17.3%51.7%56.2%0.0%4.7%-5.0%101.6K-3.7M-16.1K0.0087.89N/AN/A007,2103,203