RNG Options History — February 2015

In February 2015, RNG traded between $13.97 and $16.32. ATM implied volatility averaged 44.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.2% (HV 20d: 42.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-02-04: Highest Volume — 3,204 contracts
  • 2015-02-27: Largest IV spike — 41.0% change
  • 2015-02-03: Highest IV Rank — 70.3%
  • 2015-02-03: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.52$13.97$16.32$14.04$15.79
Max Pain$14.61$12.50$15.00$12.50$15.00
ATM IV44.1%31.6%73.8%67.1%46.0%
Expected Move13.0%9.1%21.2%19.2%13.2%
HV 20d42.0%30.4%46.2%31.9%44.4%
HV 60d36.0%33.7%39.3%33.7%34.4%
IV Rank18.0%0.0%70.3%58.0%24.6%
IV Percentile19.7%0.0%96.0%91.3%21.8%
Term Structure0.3%-20.2%13.1%-11.0%0.3%
VWIV45.7%31.4%75.7%67.0%46.1%
Skew 25d6.2%-4.5%36.6%15.8%14.3%
Skew 10d11.7%-10.9%55.6%22.2%21.2%
Call IV 25d41.9%29.8%79.7%57.7%32.2%
Put IV 25d48.1%36.9%75.2%73.5%46.5%
Bid-Ask Spread %88.9734.01103.2693.55103.26
Gamma HHI0.590.420.830.480.47
Net GEX116.8K31.4K215.8K31.4K87.6K
Net DEX-4.1M-6.1M-1.2M-1.2M-3.0M
Net VEX-10.8K-12.3K-7.1K-7.1K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.002.620.010.92
Total Volume1,307.316143,2041,221778
Total OI6,459.8953,3437,9873,3435,873

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$14.04$12.5067.1%19.2%31.9%58.0%67.0%15.8%-11.0%31.4K-1.2M-7.1K0.0193.55N/AN/A1,210112,441902
2015-02-03$13.97$12.5073.8%21.2%30.4%70.3%75.7%-4.5%-20.2%61.2K-1.7M-8.3K0.3684.39N/AN/A2,0877473,388913
2015-02-04$15.06$12.5048.7%14.0%39.8%24.5%46.4%36.6%0.0%159.0K-3.6M-10.4K0.3365.38N/AN/A2,4097955,1451,168
2015-02-05$15.17$15.0036.0%13.0%39.5%1.3%44.3%8.0%0.4%215.8K-3.9M-11.0K0.4080.18N/AN/A1,4685885,4981,231
2015-02-06$15.04$15.0038.3%12.9%39.6%5.4%43.4%6.0%-0.6%163.8K-3.5M-10.8K0.6691.96N/AN/A8915895,1811,287
2015-02-09$15.04$15.0038.3%11.9%39.1%5.5%41.7%4.5%2.3%179.0K-3.4M-10.2K0.6489.00N/AN/A9065845,1831,298
2015-02-10$16.13$15.0042.3%13.3%46.1%12.9%42.7%10.8%-1.6%135.5K-5.3M-9.6K0.1987.35N/AN/A1,9433735,2101,308
2015-02-11$16.03$15.0046.9%13.4%46.2%21.1%42.7%0.8%-0.9%147.8K-5.4M-11.3K1.7991.12N/AN/A3626495,7471,353
2015-02-12$16.05$15.0045.6%13.1%46.2%18.7%44.3%0.1%0.6%114.7K-5.8M-11.7K2.6290.78N/AN/A2526595,8871,461
2015-02-13$16.04$15.0039.9%11.4%44.5%8.4%39.7%-0.9%4.2%120.9K-5.7M-11.2K1.6692.29N/AN/A5218675,9441,472
2015-02-17$15.73$15.0048.0%13.8%45.2%23.2%47.8%5.3%-4.1%167.4K-5.4M-12.2K1.6891.38N/AN/A5168676,2051,680
2015-02-18$16.01$15.0047.1%13.5%42.8%21.6%48.0%1.1%-0.0%102.1K-5.8M-12.0K1.5234.01N/AN/A5698676,2251,680
2015-02-19$16.32$15.0042.7%12.2%41.5%13.5%0.0%4.1%0.9%73.5K-6.1M-12.3K0.4891.30N/AN/A21106,3071,680
2015-02-20$16.29$15.0031.6%9.1%41.3%0.0%0.0%4.5%6.5%75.8K-5.9M-12.1K0.00100.81N/AN/A1406,1621,690
2015-02-23$15.59$15.0037.0%10.6%45.3%9.2%36.8%1.1%9.0%79.6K-2.8M-11.1K1.3897.93N/AN/A4285924,1441,503
2015-02-24$15.50$15.0039.0%11.2%44.4%12.7%41.4%-4.4%1.3%90.8K-2.8M-11.0K1.40100.66N/AN/A4286014,3341,503
2015-02-25$15.38$15.0037.3%10.7%44.7%9.8%38.1%7.6%4.7%90.2K-2.7M-11.2K1.61102.91N/AN/A2313724,3351,523
2015-02-26$15.68$15.0032.6%9.3%44.5%1.7%31.4%7.1%13.1%123.4K-2.9M-10.5K1.42102.11N/AN/A2623724,3501,527
2015-02-27$15.79$15.0046.0%13.2%44.4%24.6%46.1%14.3%0.3%87.6K-3.0M-11.3K0.92103.26N/AN/A4063724,3481,525