RNG Options History — September 2015

In September 2015, RNG traded between $16.88 and $19.00. ATM implied volatility averaged 53.5%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 13.5% (HV 20d: 40.0%). 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 13 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-09-29: Highest Volume — 679 contracts
  • 2015-09-09: Largest IV drop — 23.9% change
  • 2015-09-08: Highest IV Rank — 67.0%
  • 2015-09-01: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.22$16.88$19.00$16.88$18.16
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV53.5%45.4%69.1%65.3%59.4%
Expected Move15.0%13.0%18.7%18.7%17.0%
HV 20d40.0%27.1%46.6%44.3%33.1%
HV 60d45.3%44.1%46.4%45.1%44.8%
IV Rank42.6%29.9%67.0%61.0%51.8%
IV Percentile70.9%49.2%96.4%93.3%84.5%
Term Structure0.2%-9.5%6.6%-6.4%-4.4%
VWIV51.8%44.8%67.3%67.3%58.6%
Skew 25d6.6%-4.4%15.0%1.2%14.1%
Skew 10d14.4%-8.0%35.1%4.1%26.0%
Call IV 25d49.5%42.4%69.6%69.6%53.2%
Put IV 25d56.1%47.5%71.1%70.7%67.3%
Bid-Ask Spread %87.0574.8898.7597.6592.94
Gamma HHI0.480.330.700.430.63
Net GEX40.1K31.3K53.9K39.2K35.8K
Net DEX-595.1K-1.3M425.5K10.3K166.7K
Net VEX-13.8K-15.2K-11.8K-12.8K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.763.640.810.97
Total Volume490.524186679608525
Total OI5,921.2865,4046,3305,4046,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$16.88$17.5065.3%18.7%44.3%61.0%67.3%1.2%-6.4%39.2K10.3K-12.8K0.8197.65N/AN/A3352733,5651,839
2015-09-02$17.20$17.5063.4%18.2%45.1%58.1%62.3%14.8%-9.5%42.3K-35.6K-13.1K0.8898.75N/AN/A3152783,6511,887
2015-09-03$17.43$17.5057.3%15.0%45.1%48.6%52.3%4.1%0.2%42.3K-190.4K-14.1K0.9681.77N/AN/A2722623,6802,018
2015-09-04$17.10$17.5059.0%16.1%45.4%51.2%54.3%3.4%-3.1%36.0K126.0K-13.8K0.9081.62N/AN/A3343023,7142,107
2015-09-08$17.95$17.5069.1%14.9%46.0%67.0%51.1%4.8%-0.1%46.2K-480.0K-14.8K3.2374.88N/AN/A441423,8022,212
2015-09-09$18.07$17.5052.5%15.1%46.1%41.2%54.1%9.0%0.5%46.6K-760.4K-15.1K0.7680.45N/AN/A2611983,8112,242
2015-09-10$18.29$17.5053.8%15.4%46.4%43.1%49.5%15.0%0.6%44.6K-813.2K-15.0K0.8281.97N/AN/A2401973,8182,261
2015-09-11$18.43$17.5053.2%15.3%46.5%42.2%49.4%11.3%-0.1%46.7K-979.9K-15.1K0.8082.95N/AN/A2762223,8302,276
2015-09-14$18.25$17.5052.3%15.0%46.6%40.7%51.0%8.7%-1.4%44.8K-847.1K-14.6K0.8182.49N/AN/A2712203,8502,339
2015-09-15$18.88$17.5047.8%13.7%45.0%33.7%48.0%8.1%1.1%53.9K-1.3M-15.2K3.6489.94N/AN/A441603,8672,388
2015-09-16$18.89$17.5046.5%13.3%44.7%31.7%45.9%7.3%2.3%46.9K-1.2M-14.9K1.0290.03N/AN/A2592643,8622,468
2015-09-17$18.83$17.5046.8%13.4%44.3%32.2%46.5%4.8%1.3%35.3K-1.2M-14.6K1.0285.60N/AN/A2582643,8622,468
2015-09-18$19.00$17.5045.5%13.1%42.2%30.2%44.8%6.2%0.9%35.8K-1.3M-14.4K0.8186.29N/AN/A3422763,8552,468
2015-09-21$18.92$17.5046.5%13.3%41.7%31.8%46.5%5.7%5.6%35.3K-1.1M-13.9K0.7790.90N/AN/A2652043,4322,214
2015-09-22$18.74$17.5049.8%14.3%32.8%36.8%49.9%8.2%3.5%36.3K-953.1K-13.6K0.7787.84N/AN/A2652043,4342,194
2015-09-23$18.97$17.5045.5%13.1%27.1%30.2%45.7%6.0%4.3%36.1K-1.1M-13.5K1.2683.77N/AN/A1912403,4342,194
2015-09-24$18.80$17.5045.4%13.0%27.2%29.9%45.6%3.7%6.6%37.0K-877.0K-13.0K1.5088.67N/AN/A1672503,4752,212
2015-09-25$18.46$17.5048.8%14.0%28.0%35.3%48.2%-0.9%4.4%35.5K-443.4K-12.7K2.1389.32N/AN/A1673563,4882,298
2015-09-28$17.87$17.5054.9%15.7%30.6%44.8%54.1%-4.4%0.4%34.0K275.4K-11.8K2.5590.52N/AN/A1353443,4882,398
2015-09-29$17.48$17.5060.6%17.4%31.6%53.7%62.3%7.3%-3.4%31.3K425.5K-11.8K1.4189.79N/AN/A2823973,5022,430
2015-09-30$18.16$17.5059.4%17.0%33.1%51.8%58.6%14.1%-4.4%35.8K166.7K-11.9K0.9792.94N/AN/A2672583,5402,474