RNG Options History — May 2015

In May 2015, RNG traded between $16.70 and $17.31. ATM implied volatility averaged 35.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 8.8% (HV 20d: 26.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-05-13: Highest Volume — 1,376 contracts
  • 2015-05-07: Largest IV drop — 23.6% change
  • 2015-05-01: Highest IV Rank — 24.6%
  • 2015-05-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.03$16.70$17.31$17.14$17.05
Max Pain$17.38$15.00$17.50$15.00$17.50
ATM IV35.0%30.4%46.0%46.0%31.9%
Expected Move9.9%8.8%13.2%13.2%9.2%
HV 20d26.2%15.4%30.9%28.7%15.4%
HV 60d27.5%25.4%31.2%30.7%25.4%
IV Rank7.4%0.0%24.6%24.6%2.5%
IV Percentile5.0%0.0%31.3%31.3%3.2%
Term Structure0.3%-9.8%2.5%-9.8%1.6%
VWIV34.4%30.6%43.1%43.1%31.9%
Skew 25d4.2%-2.7%15.8%15.8%-1.7%
Skew 10d9.9%-4.9%23.3%23.3%1.2%
Call IV 25d32.4%28.1%43.1%43.1%32.6%
Put IV 25d36.7%26.8%58.8%58.8%30.9%
Bid-Ask Spread %93.3145.15100.4897.1299.42
Gamma HHI0.570.360.790.620.42
Net GEX120.8K41.3K241.7K138.2K42.2K
Net DEX-2.5M-3.5M-1.4M-3.2M-1.6M
Net VEX-11.5K-12.9K-10.3K-12.5K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.200.950.290.68
Total Volume953.101,3768751,053
Total OI5,666.54,0826,7206,1324,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$17.14$15.0046.0%13.2%28.7%24.6%43.1%15.8%-9.8%138.2K-3.2M-12.5K0.2997.12N/AN/A6761994,5431,589
2015-05-04$17.31$17.5040.9%10.7%28.7%15.8%38.5%5.5%0.0%164.9K-3.5M-11.9K0.3545.15N/AN/A91324,5381,587
2015-05-05$17.11$17.5042.1%10.8%29.3%17.9%38.2%4.3%-0.7%162.3K-3.2M-11.7K0.2991.09N/AN/A7002004,6191,595
2015-05-06$16.70$17.5039.8%10.8%30.9%14.1%38.2%0.4%-1.7%138.4K-2.5M-11.5K0.2088.92N/AN/A1,1282204,6191,595
2015-05-07$16.92$17.5030.4%10.8%29.0%0.0%37.8%15.4%0.1%203.0K-3.3M-12.9K0.2193.46N/AN/A1,1262385,1051,602
2015-05-08$17.04$17.5031.3%10.6%29.0%1.4%0.0%13.2%-0.8%212.8K-3.4M-12.7K0.0094.60N/AN/A005,1011,602
2015-05-11$17.09$17.5037.5%10.3%28.2%11.9%0.0%10.3%0.1%231.8K-3.4M-12.2K0.0094.06N/AN/A005,1011,602
2015-05-12$17.14$17.5042.8%10.1%28.2%20.7%34.9%11.0%1.0%241.7K-3.4M-11.6K0.2193.72N/AN/A1,1262385,1021,602
2015-05-13$16.95$17.5035.1%10.1%28.5%7.8%35.0%9.2%0.8%223.4K-3.1M-11.2K0.2293.87N/AN/A1,1262505,1021,602
2015-05-14$16.90$17.5034.4%9.9%28.5%6.6%34.6%7.0%1.2%220.5K-2.9M-10.8K0.2296.43N/AN/A1,1202475,1021,618
2015-05-15$16.90$17.5034.2%9.8%26.9%6.2%34.7%5.4%1.5%57.7K-2.4M-10.5K0.2495.50N/AN/A9592275,0871,628
2015-05-18$17.13$17.5034.0%9.8%26.5%6.0%34.0%-1.7%1.6%60.8K-2.0M-10.3K0.4299.43N/AN/A4792002,9391,143
2015-05-19$17.19$17.5030.9%8.9%26.5%0.8%30.9%0.8%2.5%62.7K-2.1M-11.3K0.95100.48N/AN/A2222113,2181,303
2015-05-20$17.22$17.5031.6%9.1%26.4%2.0%31.4%-0.1%1.3%43.8K-1.9M-11.5K0.45100.19N/AN/A8563823,1361,493
2015-05-21$16.92$17.5030.9%8.9%25.6%0.8%30.8%-2.7%1.9%41.3K-1.6M-11.6K0.4597.64N/AN/A8563823,1421,593
2015-05-22$16.88$17.5031.1%8.9%25.3%1.2%31.0%-2.5%0.4%43.1K-1.4M-11.4K0.4599.30N/AN/A8563823,1421,593
2015-05-26$17.00$17.5032.5%9.3%23.7%3.5%32.4%-2.3%1.2%44.1K-1.5M-10.9K0.4598.91N/AN/A8553823,1421,603
2015-05-27$17.03$17.5032.1%9.2%21.8%2.8%31.8%-1.4%1.8%41.5K-1.5M-11.0K0.5987.97N/AN/A6493823,1401,603
2015-05-28$17.00$17.5030.8%8.8%17.6%0.5%30.6%-1.1%2.5%41.6K-1.5M-10.8K0.6198.93N/AN/A6303823,1461,603
2015-05-29$17.05$17.5031.9%9.2%15.4%2.5%31.9%-1.7%1.6%42.2K-1.6M-10.7K0.6899.42N/AN/A6274263,1471,603