RNG Options History — December 2014

In December 2014, RNG traded between $12.24 and $14.92. ATM implied volatility averaged 51.1%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 14.3% (HV 20d: 36.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2014-12-11: Highest Volume — 3,147 contracts
  • 2014-12-10: Largest IV drop — 24.6% change
  • 2014-12-09: Highest IV Rank — 59.6%
  • 2014-12-03: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$12.24$14.92$12.27$14.92
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV51.1%37.2%68.0%60.5%49.3%
Expected Move15.7%13.6%17.4%17.1%13.8%
HV 20d36.7%24.6%46.4%46.4%24.6%
HV 60d51.2%48.3%53.9%53.9%48.3%
IV Rank28.7%3.6%59.6%45.9%25.4%
IV Percentile43.4%1.6%93.3%80.2%37.7%
Term Structure4.9%-2.4%14.0%-2.4%-1.0%
VWIV55.6%50.2%67.0%59.6%50.2%
Skew 25d6.2%-5.4%26.6%0.7%1.1%
Skew 10d17.4%-4.7%95.9%12.9%2.2%
Call IV 25d45.8%39.5%53.5%52.3%42.5%
Put IV 25d52.0%35.6%77.2%53.0%43.6%
Bid-Ask Spread %80.5569.5298.9776.0078.98
Gamma HHI0.650.460.870.660.48
Net GEX80.6K25.9K137.2K105.6K35.6K
Net DEX-3.7M-4.4M-3.0M-3.1M-4.0M
Net VEX-11.7K-15.3K-7.8K-15.3K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.003.330.731.50
Total Volume1,110.091103,14794515
Total OI9,609.9097,93511,22210,4137,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$12.27$10.0060.5%17.1%46.4%45.9%59.6%0.7%-2.4%105.6K-3.1M-15.3K0.7376.00N/AN/A5473987,2103,203
2014-12-02$12.24$10.0055.7%16.6%41.2%37.2%59.4%-2.2%0.9%103.7K-3.0M-14.8K0.7974.13N/AN/A5033987,2153,203
2014-12-03$12.51$10.0060.1%17.4%41.3%45.3%57.6%26.6%-2.1%112.1K-3.4M-14.7K0.8173.73N/AN/A6004887,2223,203
2014-12-04$12.77$10.0060.9%16.9%41.9%46.7%0.0%10.0%-0.9%115.4K-4.0M-14.8K0.5378.36N/AN/A58317,2883,283
2014-12-05$12.89$10.0059.6%17.1%41.6%44.4%67.0%8.9%6.0%137.2K-4.3M-14.4K0.7169.52N/AN/A1,0547537,3383,314
2014-12-08$12.74$10.0063.1%17.4%41.9%50.7%57.4%3.2%6.5%122.0K-3.9M-13.4K3.3374.06N/AN/A1816036,9023,511
2014-12-09$13.38$10.0068.0%16.3%45.2%59.6%56.9%11.8%-0.5%111.9K-4.4M-13.3K0.6975.52N/AN/A1,0117006,8373,909
2014-12-10$13.35$10.0051.3%16.4%45.1%29.1%53.7%8.9%5.3%107.5K-4.3M-13.9K0.8473.02N/AN/A1,0719006,7194,016
2014-12-11$13.46$10.0045.9%16.9%45.2%19.4%54.5%0.9%10.2%120.2K-4.4M-13.2K0.4084.48N/AN/A2,2479006,8064,416
2014-12-12$13.46$10.0047.4%16.1%44.3%22.2%53.5%16.3%10.3%124.3K-3.4M-11.1K1.6976.05N/AN/A5349005,9004,416
2014-12-15$13.49$10.0051.1%16.3%42.6%28.8%52.7%4.1%7.3%92.6K-3.5M-11.5K2.3471.82N/AN/A3849005,9204,416
2014-12-16$13.49$10.0053.5%15.9%34.3%33.1%52.0%6.6%2.1%89.4K-3.4M-11.5K2.4876.35N/AN/A3639005,9204,416
2014-12-17$13.82$10.0042.2%14.9%32.7%12.6%52.4%13.0%13.0%72.6K-3.8M-11.2K0.5378.65N/AN/A1,3537165,9094,416
2014-12-18$14.35$10.0042.5%14.9%33.3%13.2%51.9%11.3%10.6%55.5K-3.3M-10.1K2.6074.13N/AN/A2737104,9314,423
2014-12-19$14.27$10.0046.4%14.7%33.8%20.3%0.0%5.5%4.7%36.5K-3.4M-11.2K0.0277.16N/AN/A458105,0124,434
2014-12-22$14.50$0.0037.2%15.5%31.8%3.6%0.0%4.5%14.0%41.8K-3.2M-9.8K2.6198.97N/AN/A2566684,5903,410
2014-12-23$14.44$0.0044.6%13.6%31.9%16.9%0.0%11.1%2.1%25.9K-3.0M-10.6K2.5193.65N/AN/A2666674,6143,366
2014-12-24$14.63$0.0044.4%13.7%28.6%16.6%0.0%-5.4%3.1%46.3K-3.5M-9.2K2.5196.22N/AN/A2666674,5993,361
2014-12-26$14.59$0.0043.4%14.5%28.2%14.7%0.0%-1.7%7.1%35.1K-3.5M-9.1K2.4896.11N/AN/A2696674,5843,361
2014-12-29$14.88$0.0047.3%15.2%27.5%21.8%0.0%-0.3%6.0%46.8K-3.9M-7.8K1.9887.77N/AN/A2444834,5843,361
2014-12-30$14.83$0.0048.8%15.3%25.0%24.6%0.0%1.7%4.6%34.2K-3.9M-8.1K0.0087.41N/AN/A1004,5793,366
2014-12-31$14.92$0.0049.3%13.8%24.6%25.4%50.2%1.1%-1.0%35.6K-4.0M-7.9K1.5078.98N/AN/A694,5693,366