RNG Options History — July 2015

In July 2015, RNG traded between $16.39 and $19.69. ATM implied volatility averaged 43.1%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.1% (HV 20d: 40.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.68.

Notable Days

  • 2015-07-30: Highest Volume — 2,945 contracts
  • 2015-07-31: Largest IV drop — 33.9% change
  • 2015-07-30: Highest IV Rank — 45.0%
  • 2015-07-30: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.52$16.39$19.69$18.13$19.69
Max Pain$18.07$15.00$20.00$15.00$17.50
ATM IV43.1%35.0%55.0%35.5%36.4%
Expected Move12.7%10.0%15.8%10.2%10.4%
HV 20d40.0%32.2%53.3%32.2%53.3%
HV 60d29.9%26.6%36.9%26.6%36.9%
IV Rank26.3%13.7%45.0%14.5%15.9%
IV Percentile38.3%13.9%79.0%15.1%17.1%
Term Structure-4.5%-13.2%7.6%6.9%-2.7%
VWIV41.6%33.9%51.7%35.5%48.9%
Skew 25d3.0%-11.4%15.5%5.4%8.8%
Skew 10d9.4%-8.7%31.7%8.4%31.7%
Call IV 25d41.6%30.5%50.2%30.5%33.3%
Put IV 25d44.6%35.4%56.5%35.9%42.1%
Bid-Ask Spread %88.8173.4198.1276.7173.41
Gamma HHI0.360.250.490.450.28
Net GEX26.8K-13.8K70.4K57.7K61.3K
Net DEX-823.1K-2.8M731.4K-2.7M-2.8M
Net VEX-13.5K-17.0K-11.6K-14.7K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.695.771.480.69
Total Volume1,370.2276262,9457162,833
Total OI6,4635,0477,7876,2917,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$18.13$15.0035.5%10.2%32.2%14.5%35.5%5.4%6.9%57.7K-2.7M-14.7K1.4876.71N/AN/A2894274,1342,157
2015-07-02$17.64$15.0035.0%10.0%33.7%13.7%35.4%2.7%7.6%65.9K-2.0M-13.7K0.9898.12N/AN/A3443364,1362,106
2015-07-06$17.46$20.0037.1%12.3%33.6%17.0%34.0%3.5%-3.9%69.1K-1.9M-13.2K1.1185.71N/AN/A2963304,2172,099
2015-07-07$17.06$20.0038.4%12.5%34.5%19.0%47.5%6.2%-4.5%70.4K-1.2M-12.7K3.1286.88N/AN/A4911,5304,2202,101
2015-07-08$16.71$20.0044.0%12.8%35.1%27.9%48.8%7.1%-4.6%24.7K-148.1K-13.7K2.5089.06N/AN/A6131,5304,0773,300
2015-07-09$17.13$17.5039.1%12.8%36.2%20.0%46.7%2.6%-5.5%27.2K-695.9K-13.5K2.1185.70N/AN/A7261,5304,0143,300
2015-07-10$17.72$17.5036.0%12.6%38.2%15.3%48.2%5.3%-4.1%36.9K-1.9M-14.9K2.0684.51N/AN/A7431,5304,3363,300
2015-07-13$17.51$17.5045.6%12.7%38.0%30.3%44.3%1.7%-4.8%39.4K-1.8M-14.5K2.0889.05N/AN/A3116464,3363,308
2015-07-14$17.56$17.5041.0%12.7%33.9%23.1%44.2%3.5%-4.7%48.1K-1.8M-14.3K3.4990.34N/AN/A2941,0254,3733,308
2015-07-15$17.37$17.5045.1%12.9%33.7%29.5%44.4%3.1%-6.1%49.9K-1.4M-14.0K3.6594.02N/AN/A2851,0414,3763,339
2015-07-16$17.54$17.5043.3%12.4%33.8%26.6%43.0%1.9%-4.6%63.0K-1.6M-13.7K3.3990.96N/AN/A2929894,3763,339
2015-07-17$16.39$17.5043.9%12.6%40.1%27.6%43.4%0.9%-5.9%-13.8K394.7K-11.6K2.7589.06N/AN/A3108524,3913,396
2015-07-20$16.69$17.5044.6%12.8%41.1%28.8%44.1%14.1%-5.1%-3.8K731.4K-11.9K3.2987.66N/AN/A2177142,6732,374
2015-07-21$17.28$17.5044.1%12.6%43.7%27.9%35.6%15.5%-4.9%-958379.2K-12.5K1.3291.91N/AN/A4325702,6762,374
2015-07-22$17.07$17.5045.3%13.0%43.7%29.8%46.1%12.9%-6.1%3.8K139.6K-12.7K1.3392.41N/AN/A4295702,8922,379
2015-07-23$18.00$17.5046.7%13.4%48.4%32.0%34.6%4.0%-7.4%12.0K-717.1K-13.5K4.7188.10N/AN/A1607542,8702,379
2015-07-24$17.65$17.5046.7%13.4%48.3%32.1%34.9%-8.2%-5.7%1.2K-30.6K-13.4K5.6793.95N/AN/A1337542,8672,578
2015-07-27$17.71$20.0048.1%13.8%48.0%34.2%34.8%-9.5%-7.2%-5.7K322.2K-13.2K5.7792.83N/AN/A1317562,8722,778
2015-07-28$17.71$20.0047.7%13.7%44.1%33.6%35.5%-9.5%-5.0%-5.6K305.8K-12.8K3.3393.45N/AN/A2277562,8722,778
2015-07-29$17.59$20.0048.9%14.0%42.7%35.5%33.9%-11.4%-7.0%-6.7K317.9K-12.9K3.0592.53N/AN/A2487562,8342,778
2015-07-30$17.91$20.0055.0%15.8%42.8%45.0%51.7%6.3%-13.2%-5.3K-76.5K-13.1K1.1387.43N/AN/A1,3851,5602,8342,778
2015-07-31$19.69$17.5036.4%10.4%53.3%15.9%48.9%8.8%-2.7%61.3K-2.8M-17.0K0.6973.41N/AN/A1,6721,1614,0063,555