RNG Options History — March 2015

In March 2015, RNG traded between $14.72 and $15.99. ATM implied volatility averaged 43.6%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 11.4% (HV 20d: 32.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-03-31: Highest Volume — 1,004 contracts
  • 2015-03-31: Largest IV drop — 15.3% change
  • 2015-03-30: Highest IV Rank — 27.2%
  • 2015-03-30: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.50$14.72$15.99$15.96$15.30
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.6%39.1%47.5%43.9%40.3%
Expected Move12.5%11.2%13.6%12.6%11.5%
HV 20d32.3%25.7%43.5%43.5%27.4%
HV 60d34.5%34.0%35.2%34.4%34.5%
IV Rank20.6%12.7%27.2%20.9%14.8%
IV Percentile15.5%4.4%34.9%13.5%7.1%
Term Structure3.7%-0.8%10.3%6.4%9.4%
VWIV41.0%23.9%45.0%38.2%39.8%
Skew 25d3.5%-10.9%22.5%22.5%6.3%
Skew 10d7.8%-11.8%81.4%26.1%9.9%
Call IV 25d39.1%26.4%46.1%26.4%35.5%
Put IV 25d42.6%32.5%48.9%48.9%41.8%
Bid-Ask Spread %84.3536.89101.0094.0799.30
Gamma HHI0.530.440.670.440.54
Net GEX80.5K64.3K112.0K81.4K65.8K
Net DEX-2.4M-3.2M-1.4M-3.0M-1.6M
Net VEX-9.4K-10.7K-7.8K-10.6K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.002.790.951.59
Total Volume406.81841,0048361,004
Total OI6,110.9555,7106,6455,7126,041

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$15.96$15.0043.9%12.6%43.5%20.9%38.2%22.5%6.4%81.4K-3.0M-10.6K0.9594.07N/AN/A4294074,1871,525
2015-03-03$15.99$15.0044.8%12.8%42.3%22.5%44.0%1.3%0.0%82.8K-3.0M-10.5K1.3397.28N/AN/A4275674,2001,525
2015-03-04$15.78$15.0045.3%13.0%42.7%23.3%42.5%2.9%-0.7%75.4K-2.6M-10.5K1.3197.38N/AN/A4335674,2291,725
2015-03-05$15.59$15.0047.0%12.3%34.5%26.3%41.3%-2.0%2.7%78.1K-2.3M-10.3K0.9892.76N/AN/A4324234,2831,737
2015-03-06$15.15$15.0043.7%12.4%36.0%20.6%34.7%-8.8%-0.3%77.0K-2.0M-10.1K0.9836.89N/AN/A4324234,2861,737
2015-03-09$14.72$15.0041.3%12.7%37.3%16.6%0.0%-10.9%3.9%75.3K-1.5M-9.5K0.0039.15N/AN/A1004,2861,737
2015-03-10$14.97$15.0046.5%12.4%37.9%25.4%43.0%14.4%2.0%80.3K-1.4M-9.0K0.0095.05N/AN/A22604,2961,737
2015-03-11$15.57$15.0043.8%12.6%31.3%20.8%44.2%-0.8%2.5%112.0K-2.5M-9.6K0.0037.42N/AN/A16804,5021,737
2015-03-12$15.83$15.0045.1%12.9%31.9%23.0%45.0%0.9%-0.8%88.4K-3.1M-10.0K0.0593.42N/AN/A617324,6001,737
2015-03-13$15.75$15.0043.2%12.4%32.0%19.7%43.2%3.7%2.3%99.7K-3.2M-10.7K0.0088.25N/AN/A7104,8801,755
2015-03-16$15.58$15.0043.5%12.5%32.2%20.4%43.5%-1.0%3.2%109.2K-2.8M-10.2K0.0094.06N/AN/A5004,8901,755
2015-03-17$15.64$15.0044.4%12.7%31.5%21.8%0.0%-0.4%2.2%107.3K-3.0M-10.1K0.0096.14N/AN/A5004,8831,755
2015-03-18$15.60$15.0044.5%12.8%30.8%22.1%0.0%0.4%1.2%95.1K-2.9M-9.6K0.0039.61N/AN/A5004,8341,755
2015-03-19$15.69$15.0043.7%12.5%29.9%20.7%0.0%1.9%1.4%81.9K-3.0M-9.4K0.0092.73N/AN/A1304,8341,755
2015-03-20$15.68$15.0044.8%12.8%29.9%22.5%45.0%8.0%1.4%66.1K-3.1M-9.3K0.0096.10N/AN/A4404,8341,755
2015-03-23$15.53$15.0044.3%12.7%25.7%21.6%44.2%14.5%9.6%65.2K-2.0M-8.9K0.1187.51N/AN/A1824,0831,627
2015-03-24$15.53$15.0040.2%11.5%25.7%14.7%40.2%12.3%7.9%67.1K-2.0M-8.5K0.0098.73N/AN/A404,1011,627
2015-03-25$15.18$15.0040.1%11.5%26.8%14.5%40.6%-7.6%8.6%66.8K-1.7M-8.5K0.0588.61N/AN/A223124,1051,627
2015-03-26$15.03$15.0039.1%11.2%25.9%12.7%40.7%-3.7%10.3%66.6K-1.4M-8.0K1.9194.88N/AN/A2134074,1051,627
2015-03-27$15.43$15.0043.5%12.5%27.6%20.2%23.9%12.6%4.6%66.0K-1.8M-7.8K1.4295.35N/AN/A1482104,1091,627
2015-03-30$15.45$15.0047.5%13.6%27.3%27.2%44.2%10.9%2.7%64.3K-1.7M-8.4K2.79101.00N/AN/A2216174,1841,827
2015-03-31$15.30$15.0040.3%11.5%27.4%14.8%39.8%6.3%9.4%65.8K-1.6M-8.1K1.5999.30N/AN/A3876174,2141,827