RNG Options History — June 2015

In June 2015, RNG traded between $17.26 and $19.38. ATM implied volatility averaged 32.2%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.2% (HV 20d: 19.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-06-12: Highest Volume — 1,928 contracts
  • 2015-06-29: Largest IV spike — 34.3% change
  • 2015-06-09: Highest IV Rank — 17.0%
  • 2015-06-29: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.43$17.26$19.38$17.26$18.49
Max Pain$15.34$15.00$17.50$17.50$15.00
ATM IV32.2%26.3%37.1%33.6%33.7%
Expected Move9.3%7.8%10.4%9.6%9.7%
HV 20d19.0%14.1%32.2%15.9%32.2%
HV 60d23.8%22.5%26.2%25.4%26.2%
IV Rank8.2%0.0%17.0%5.3%11.7%
IV Percentile5.4%0.0%15.1%4.8%11.9%
Term Structure4.1%-0.3%9.0%-0.3%9.0%
VWIV32.5%29.4%37.6%33.9%33.6%
Skew 25d2.4%-4.3%8.3%1.5%4.7%
Skew 10d3.9%-12.7%15.8%2.0%5.8%
Call IV 25d32.5%29.3%39.0%34.8%29.6%
Put IV 25d34.9%29.6%40.1%36.3%34.3%
Bid-Ask Spread %76.0139.6298.8498.8498.75
Gamma HHI0.420.290.610.400.47
Net GEX48.1K36.3K66.6K37.9K50.4K
Net DEX-2.9M-4.0M-1.9M-1.9M-3.0M
Net VEX-14.4K-17.4K-10.8K-10.8K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.442.420.441.03
Total Volume1,332.18201,9281,188645
Total OI5,722.3644,8236,4844,8236,297

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$17.26$17.5033.6%9.6%15.9%5.3%33.9%1.5%-0.3%37.9K-1.9M-10.8K0.4498.84N/AN/A8263623,1471,676
2015-06-02$17.35$17.5032.1%9.2%15.7%2.8%0.0%-1.3%1.1%39.5K-2.0M-12.1K0.0097.99N/AN/A003,3461,666
2015-06-03$17.77$17.5033.6%9.6%17.1%5.3%33.5%4.7%-0.1%40.6K-2.7M-11.6K1.0998.53N/AN/A7968673,3461,666
2015-06-04$17.69$15.0032.9%9.3%14.3%4.1%32.6%5.8%4.5%61.6K-2.3M-12.8K1.0467.95N/AN/A8358673,3371,769
2015-06-05$17.88$15.0026.3%9.8%14.1%0.0%29.4%-2.6%2.8%66.6K-2.4M-12.6K1.0352.71N/AN/A8458673,3371,769
2015-06-08$17.78$15.0034.6%9.5%14.3%13.1%31.3%-0.7%4.2%61.9K-2.4M-12.5K0.5770.18N/AN/A8634923,3471,769
2015-06-09$17.81$15.0037.1%9.7%14.3%17.0%31.6%-2.8%3.1%61.3K-2.4M-12.5K0.5739.62N/AN/A8634923,3471,784
2015-06-10$17.98$15.0031.4%9.0%14.6%8.1%31.2%6.9%6.7%59.8K-2.7M-12.0K1.0163.73N/AN/A8999093,3571,784
2015-06-11$17.77$15.0031.6%9.1%14.7%8.4%31.8%-2.5%4.5%56.0K-2.2M-13.9K0.7670.74N/AN/A1,0397893,4832,079
2015-06-12$18.02$15.0032.4%9.3%15.1%9.7%32.1%0.7%4.6%46.7K-2.4M-14.2K0.6973.06N/AN/A1,1397893,4702,279
2015-06-15$18.85$15.0032.6%9.4%21.1%10.0%34.5%2.0%2.0%43.3K-3.2M-15.4K0.8440.19N/AN/A9347893,6702,279
2015-06-16$19.02$15.0031.2%9.0%20.9%7.8%30.4%3.9%4.0%42.6K-3.3M-15.7K0.5774.12N/AN/A1,1226393,6802,279
2015-06-17$19.17$15.0032.3%9.2%20.9%9.4%34.6%-4.3%3.9%47.3K-4.0M-16.0K0.6076.78N/AN/A1,0646394,0292,277
2015-06-18$19.37$15.0031.5%9.0%20.9%8.3%32.7%8.3%2.6%54.4K-4.0M-17.0K0.5062.51N/AN/A8984524,1232,277
2015-06-19$19.29$15.0033.1%9.5%19.4%10.7%33.4%-1.3%2.4%37.5K-3.6M-17.4K0.5096.50N/AN/A9064524,0382,446
2015-06-22$19.28$15.0030.1%8.6%19.3%6.0%30.5%5.1%6.6%40.7K-3.3M-16.7K0.4663.08N/AN/A8854103,8642,297
2015-06-23$19.29$15.0033.0%9.5%19.5%10.5%34.4%5.8%3.7%36.3K-3.2M-16.5K0.5093.62N/AN/A8134103,7682,297
2015-06-24$19.09$15.0031.4%9.0%20.3%8.1%31.9%6.5%2.6%37.1K-3.0M-15.9K0.6678.26N/AN/A8725763,7192,297
2015-06-25$19.38$15.0030.7%8.8%20.4%6.9%32.1%8.1%7.6%39.3K-3.5M-15.6K1.5278.37N/AN/A3515353,7802,200
2015-06-26$18.97$15.0027.1%7.8%22.6%1.3%30.2%3.6%7.1%47.6K-3.3M-15.9K2.4282.58N/AN/A1974764,0142,235
2015-06-29$17.97$15.0036.3%10.4%30.8%15.8%37.6%1.0%7.2%50.8K-2.3M-14.7K1.5294.19N/AN/A2794254,0192,249
2015-06-30$18.49$15.0033.7%9.7%32.2%11.7%33.6%4.7%9.0%50.4K-3.0M-14.8K1.0398.75N/AN/A3183274,1092,188