RNG Options History — August 2015

In August 2015, RNG traded between $17.14 and $20.70. ATM implied volatility averaged 43.3%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.0% (HV 20d: 52.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2015-08-06: Highest Volume — 1,753 contracts
  • 2015-08-10: Largest IV spike — 32.9% change
  • 2015-08-31: Highest IV Rank — 57.7%
  • 2015-08-31: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.02$17.14$20.70$20.06$17.26
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV43.3%29.9%63.1%36.6%63.1%
Expected Move12.3%10.3%18.1%10.5%18.1%
HV 20d52.3%44.9%58.3%53.2%44.9%
HV 60d40.7%37.0%45.1%37.0%44.9%
IV Rank26.7%5.8%57.7%16.2%57.7%
IV Percentile39.4%0.8%91.3%17.5%91.3%
Term Structure-2.5%-14.0%1.9%-1.2%-14.0%
VWIV42.9%31.8%65.1%35.3%65.1%
Skew 25d0.9%-17.0%8.8%2.5%7.7%
Skew 10d3.7%-7.8%22.7%3.6%22.7%
Call IV 25d43.7%31.6%64.1%31.6%64.1%
Put IV 25d44.6%32.5%71.8%34.1%71.8%
Bid-Ask Spread %93.3688.53107.1293.5292.87
Gamma HHI0.360.250.470.280.44
Net GEX78.0K36.7K153.9K73.5K44.3K
Net DEX-2.3M-5.1M86.9K-3.5M-109.0K
Net VEX-14.6K-16.8K-11.9K-16.3K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0610.000.060.56
Total Volume1,0291821,753386751
Total OI6,850.7624,6227,8517,5365,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$20.06$17.5036.6%10.5%53.2%16.2%35.3%2.5%-1.2%73.5K-3.5M-16.3K0.0693.52N/AN/A365214,0793,457
2015-08-04$19.40$17.5036.0%10.3%54.1%15.3%37.0%-3.2%-1.5%57.5K-2.4M-16.5K1.1392.96N/AN/A6667554,0433,467
2015-08-05$19.47$17.5035.9%10.3%53.1%15.2%35.7%-3.1%-1.6%64.2K-2.6M-16.3K1.5193.58N/AN/A5448204,1113,466
2015-08-06$19.03$17.5038.9%10.5%53.8%19.9%41.8%1.6%0.3%48.0K-1.8M-16.8K2.1989.41N/AN/A5491,2044,1113,546
2015-08-07$18.82$17.5029.9%10.3%53.0%5.8%37.3%0.3%-0.9%84.7K-2.0M-15.0K2.3489.49N/AN/A4229874,1213,228
2015-08-10$19.67$17.5039.8%10.3%54.6%21.2%33.1%7.3%0.2%100.0K-3.1M-15.7K1.8792.95N/AN/A4237914,1233,306
2015-08-11$19.47$17.5044.6%10.6%54.9%28.7%0.0%4.1%-0.3%93.2K-3.0M-15.5K10.0090.70N/AN/A202004,1333,296
2015-08-12$19.52$17.5036.6%10.5%54.6%16.3%31.8%-0.6%0.4%102.7K-3.0M-15.1K1.7488.53N/AN/A5689904,1233,272
2015-08-13$19.34$17.5037.1%10.6%54.8%17.0%41.3%7.1%0.2%90.2K-2.7M-15.7K2.3292.04N/AN/A4269904,2263,401
2015-08-14$19.29$17.5038.1%10.9%47.8%18.6%37.1%8.8%-1.8%96.0K-2.6M-15.2K1.8794.23N/AN/A4267984,2393,401
2015-08-17$20.21$17.5036.7%10.5%49.6%16.3%36.7%7.2%1.9%153.9K-4.3M-14.7K2.0590.28N/AN/A3837864,2393,391
2015-08-18$20.45$17.5036.0%10.3%48.7%15.3%35.6%6.6%1.3%133.2K-4.9M-14.6K2.3391.75N/AN/A3417964,2493,412
2015-08-19$20.70$17.5038.5%11.0%48.1%19.2%39.3%-0.4%-2.0%105.1K-5.1M-14.5K0.6393.25N/AN/A112704,1743,519
2015-08-20$19.84$17.5038.3%11.0%48.6%18.9%34.3%-7.1%0.6%131.2K-3.6M-14.8K2.8495.53N/AN/A3541,0064,2183,535
2015-08-21$19.46$17.5043.0%12.3%48.6%26.1%39.1%1.2%-1.9%49.0K-2.3M-14.5K2.3291.46N/AN/A3788774,2773,574
2015-08-24$18.12$17.5050.3%14.4%55.6%37.7%51.5%-0.7%-1.5%46.8K-648.8K-13.2K1.21107.12N/AN/A3694453,1051,517
2015-08-25$17.27$17.5055.3%15.8%58.3%45.4%53.4%-17.0%-6.6%36.7K-87.2K-12.5K1.0797.68N/AN/A4044323,1621,621
2015-08-26$17.14$17.5059.4%17.0%58.3%51.8%61.1%-1.4%-9.0%40.3K86.9K-11.9K0.9894.85N/AN/A4043963,3531,629
2015-08-27$17.43$17.5059.2%17.0%58.3%51.5%56.3%-0.5%-11.0%41.6K-52.2K-12.4K0.3296.60N/AN/A4411393,3621,695
2015-08-28$17.38$17.5055.7%16.0%45.9%46.1%55.8%-2.0%-5.2%45.7K-105.4K-13.0K0.5591.84N/AN/A4912693,5371,740
2015-08-31$17.26$17.5063.1%18.1%44.9%57.7%65.1%7.7%-14.0%44.3K-109.0K-13.0K0.5692.87N/AN/A4822693,5691,839