RNG Options History — April 2015

In April 2015, RNG traded between $15.30 and $17.65. ATM implied volatility averaged 46.4%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 20.5% (HV 20d: 25.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-04-28: Highest Volume — 3,201 contracts
  • 2015-04-08: Largest IV spike — 47.0% change
  • 2015-04-28: Highest IV Rank — 52.0%
  • 2015-04-28: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.68$15.30$17.65$15.30$17.21
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.4%35.0%62.0%42.6%38.9%
Expected Move13.8%11.2%17.8%12.2%11.2%
HV 20d25.9%23.3%30.9%27.1%30.9%
HV 60d33.9%32.9%34.8%34.0%34.1%
IV Rank25.2%5.8%52.0%18.8%12.5%
IV Percentile32.3%0.8%85.7%10.7%4.8%
Term Structure-5.6%-15.8%7.1%7.1%-1.6%
VWIV49.0%36.4%65.4%41.6%40.2%
Skew 25d11.6%-0.8%24.7%10.4%0.1%
Skew 10d15.4%-5.9%42.4%17.7%-0.3%
Call IV 25d42.2%37.2%50.0%37.2%39.8%
Put IV 25d53.8%39.9%66.0%47.6%39.9%
Bid-Ask Spread %90.8460.0099.9999.9998.30
Gamma HHI0.550.430.770.510.65
Net GEX94.3K55.0K155.2K71.4K151.8K
Net DEX-3.2M-5.1M-1.6M-1.7M-3.3M
Net VEX-10.3K-12.5K-7.8K-8.3K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.461.191.06
Total Volume1,277.1433653,2011,1351,413
Total OI6,142.193,7327,9306,2356,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$15.30$15.0042.6%12.2%27.1%18.8%41.6%10.4%7.1%71.4K-1.7M-8.3K1.1999.99N/AN/A5186174,4081,827
2015-04-02$15.88$15.0038.1%13.9%30.1%11.2%47.2%9.5%-4.3%69.0K-2.3M-7.8K1.0590.63N/AN/A5716024,3751,827
2015-04-06$15.88$15.0039.9%14.7%28.0%14.1%50.5%3.1%-7.0%73.1K-2.4M-9.0K1.1791.64N/AN/A5085924,6622,022
2015-04-07$15.94$15.0035.0%14.8%25.4%5.8%50.5%0.0%-9.4%70.2K-2.5M-8.5K0.3592.28N/AN/A1,1344014,6612,022
2015-04-08$15.97$15.0051.4%14.8%25.0%33.9%0.0%-0.8%-7.9%105.5K-3.1M-9.3K0.0093.19N/AN/A36505,3022,042
2015-04-09$16.51$15.0044.8%12.9%23.9%22.6%48.1%10.8%-4.8%102.7K-3.8M-10.3K0.4487.27N/AN/A9124015,1702,042
2015-04-10$16.60$15.0045.0%12.9%23.4%22.8%46.4%12.0%-5.5%112.0K-4.1M-10.9K0.6890.43N/AN/A7555145,3642,042
2015-04-13$16.94$15.0046.9%13.5%24.0%26.2%46.0%9.7%-6.6%128.7K-4.5M-10.3K0.6890.83N/AN/A7605145,4112,142
2015-04-14$16.99$15.0045.0%12.9%23.4%22.9%45.3%11.1%-4.9%140.0K-4.9M-10.7K0.6690.30N/AN/A7735145,6812,142
2015-04-15$17.02$15.0045.8%13.1%23.4%24.2%46.6%13.4%-5.6%135.2K-5.1M-10.7K0.9560.00N/AN/A5395145,7642,142
2015-04-16$17.05$15.0046.5%13.3%23.3%25.5%47.3%12.0%-4.7%130.3K-5.0M-10.3K0.6292.79N/AN/A8625375,7152,142
2015-04-17$16.62$15.0050.3%14.4%25.6%31.9%50.5%8.5%-10.2%57.4K-4.1M-10.2K0.8791.54N/AN/A6165375,7552,175
2015-04-20$16.93$15.0048.0%13.8%26.2%28.1%48.1%11.9%-2.8%55.0K-1.6M-9.8K0.4892.20N/AN/A8564132,6121,120
2015-04-21$16.94$15.0048.3%13.8%25.7%28.5%49.1%13.2%-2.6%67.9K-2.1M-10.9K0.4491.98N/AN/A8713833,0091,160
2015-04-22$16.82$15.0048.1%13.8%26.0%28.2%47.5%15.5%-6.3%68.1K-2.0M-10.7K0.4791.33N/AN/A8143833,0541,170
2015-04-23$17.24$15.0048.9%14.0%24.9%29.5%36.4%23.8%-3.8%72.6K-2.5M-11.1K0.7793.51N/AN/A4933813,1061,170
2015-04-24$17.05$15.0050.4%14.5%25.1%32.1%51.4%19.7%-7.1%76.8K-2.6M-11.3K0.9792.75N/AN/A3933813,3151,184
2015-04-27$16.62$15.0056.7%16.2%26.3%42.8%65.4%16.0%-11.4%71.6K-2.2M-11.0K2.4690.85N/AN/A3638933,2881,184
2015-04-28$17.06$15.0062.0%17.8%27.4%52.0%61.9%20.0%-15.8%66.5K-2.4M-10.6K0.5390.55N/AN/A2,0961,1053,2291,342
2015-04-29$17.65$15.0040.7%11.7%28.7%15.5%59.5%24.7%-3.1%155.2K-4.1M-12.3K0.8595.19N/AN/A8247024,4631,593
2015-04-30$17.21$15.0038.9%11.2%30.9%12.5%40.2%0.1%-1.6%151.8K-3.3M-12.5K1.0698.30N/AN/A6867274,5491,603