RNG Options History — January 2015

In January 2015, RNG traded between $13.50 and $14.84. ATM implied volatility averaged 52.6%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 25.3% (HV 20d: 27.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-01-22: Highest Volume — 1,017 contracts
  • 2015-01-30: Largest IV spike — 35.9% change
  • 2015-01-30: Highest IV Rank — 55.2%
  • 2015-01-30: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.13$13.50$14.84$14.74$13.55
Max Pain$14.50$12.50$15.00$15.00$12.50
ATM IV52.6%42.2%65.6%42.2%65.6%
Expected Move15.7%13.8%18.8%14.4%18.8%
HV 20d27.3%24.6%29.6%25.4%28.7%
HV 60d40.8%33.2%48.7%48.3%33.2%
IV Rank31.5%12.6%55.2%12.6%55.2%
IV Percentile49.2%6.3%90.1%6.3%90.1%
Term Structure-1.5%-10.1%15.6%9.0%-8.6%
VWIV55.1%49.7%60.6%51.2%60.6%
Skew 25d6.3%-2.0%17.0%17.0%2.6%
Skew 10d14.9%-1.0%56.6%23.8%8.2%
Call IV 25d52.2%41.6%60.8%42.2%60.8%
Put IV 25d58.5%49.3%65.9%59.2%63.4%
Bid-Ask Spread %90.1180.26102.1788.3292.27
Gamma HHI0.470.320.600.550.42
Net GEX26.0K-15.7K54.5K41.6K25.7K
Net DEX-2.4M-4.2M-857.5K-3.7M-898.5K
Net VEX-7.1K-8.7K-6.2K-7.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.003.040.531.25
Total Volume501.2571,017514879
Total OI5,951.42,6978,6617,9443,123

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$14.74$15.0042.2%14.4%25.4%12.6%51.2%17.0%9.0%41.6K-3.7M-7.3K0.5388.32N/AN/A3351794,5723,372
2015-01-05$14.32$15.0048.4%16.1%28.1%23.9%57.6%3.7%-0.9%40.6K-3.5M-8.1K1.3388.56N/AN/A344,8043,372
2015-01-06$14.02$15.0060.4%15.0%29.6%45.7%54.7%2.9%1.7%40.0K-2.8M-8.7K0.3087.16N/AN/A106324,8043,375
2015-01-07$14.25$15.0050.7%15.8%29.3%28.0%55.4%12.3%-2.1%41.3K-3.1M-8.4K0.6791.61N/AN/A46314,8553,389
2015-01-08$14.43$15.0043.9%15.0%24.6%15.6%57.0%4.0%0.7%50.3K-3.6M-7.4K1.5685.68N/AN/A1532394,8753,407
2015-01-09$14.70$15.0043.0%15.3%25.0%14.0%55.8%0.0%-1.6%54.5K-4.1M-6.4K1.7989.53N/AN/A1362444,8753,407
2015-01-12$14.75$15.0051.5%15.6%25.0%29.6%57.2%2.2%-2.5%15.1K-4.1M-6.2K1.7289.11N/AN/A3075294,7533,407
2015-01-13$14.71$15.0047.0%15.9%25.1%21.4%57.9%7.4%-2.1%3.0K-4.1M-7.6K1.6787.44N/AN/A3175294,9353,701
2015-01-14$14.84$15.0055.2%15.8%25.1%36.3%56.9%-1.8%-1.7%-15.7K-4.2M-7.2K1.6787.82N/AN/A3165294,9433,701
2015-01-15$14.41$15.0053.6%15.4%27.9%33.3%55.9%3.3%-2.5%12.9K-3.7M-7.1K3.0488.92N/AN/A1745294,9423,701
2015-01-16$14.30$15.0054.8%15.7%27.0%35.5%0.0%15.8%-6.5%23.1K-3.5M-6.9K0.0591.72N/AN/A200104,9603,701
2015-01-20$13.80$15.0053.8%15.4%26.6%33.7%53.8%12.9%1.0%15.2K-918.4K-6.5K0.0291.57N/AN/A24561,821876
2015-01-21$13.50$15.0062.7%18.0%27.5%50.0%0.0%4.4%-10.1%22.5K-857.5K-6.7K2.5091.85N/AN/A8202,056881
2015-01-22$13.82$15.0054.9%15.7%28.3%35.6%54.0%10.0%-6.0%23.9K-869.4K-6.8K0.9391.25N/AN/A5284892,064901
2015-01-23$13.84$15.0056.7%16.3%28.3%39.1%55.8%7.8%-6.8%24.6K-1.0M-7.1K0.9387.10N/AN/A5264892,171902
2015-01-26$13.56$15.0057.9%16.6%28.4%41.3%53.4%4.1%-3.6%25.8K-907.3K-6.7K0.0090.24N/AN/A2002,176902
2015-01-27$13.71$12.5050.8%14.6%28.9%28.2%0.0%12.9%15.6%24.7K-912.8K-6.7K0.0080.26N/AN/A702,196902
2015-01-28$13.57$12.5050.6%14.5%27.7%27.8%50.7%-2.0%1.6%25.8K-923.5K-6.6K1.08102.17N/AN/A4534892,201902
2015-01-29$13.78$12.5048.3%13.8%28.6%23.7%49.7%6.9%-4.6%26.0K-962.0K-6.7K1.1499.52N/AN/A4294892,201902
2015-01-30$13.55$12.5065.6%18.8%28.7%55.2%60.6%2.6%-8.6%25.7K-898.5K-6.6K1.2592.27N/AN/A3904892,221902