RNG Options History — October 2015

In October 2015, RNG traded between $17.71 and $19.81. ATM implied volatility averaged 52.7%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 16.5% (HV 20d: 36.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-10-20: Highest Volume — 1,850 contracts
  • 2015-10-06: Largest IV spike — 42.7% change
  • 2015-10-30: Highest IV Rank — 87.2%
  • 2015-10-30: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.78$17.71$19.81$17.71$18.54
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV52.7%39.7%67.7%52.2%67.7%
Expected Move15.9%14.4%19.4%15.0%19.4%
HV 20d36.2%30.3%45.7%34.0%45.0%
HV 60d42.8%38.8%45.1%44.9%41.4%
IV Rank46.4%21.1%87.2%40.6%87.2%
IV Percentile69.2%28.6%98.4%69.4%98.4%
Term Structure-6.6%-16.5%3.5%3.5%-16.5%
VWIV56.1%51.2%63.8%51.2%63.8%
Skew 25d6.9%-4.9%13.4%-2.6%4.1%
Skew 10d14.6%-17.9%31.1%-4.5%6.3%
Call IV 25d51.7%45.1%62.6%52.1%56.3%
Put IV 25d58.6%49.4%64.4%49.4%60.4%
Bid-Ask Spread %87.4380.7298.0192.6093.01
Gamma HHI0.510.290.750.730.47
Net GEX5.2K-30.1K49.8K37.2K-14.0K
Net DEX-33.5K-1.6M859.5K558.7K542.8K
Net VEX-13.3K-16.0K-10.8K-11.2K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.382.680.981.02
Total Volume935.636901,8505201,222
Total OI6,704.1825,2088,1146,0186,707

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$17.71$17.5052.2%15.0%34.0%40.6%51.2%-2.6%3.5%37.2K558.7K-11.2K0.9892.60N/AN/A2622583,5442,474
2015-10-02$18.14$17.5054.9%15.8%34.7%44.9%53.6%5.9%3.3%36.6K433.6K-11.5K1.2190.26N/AN/A2573103,5472,635
2015-10-05$18.75$17.5039.7%15.6%35.5%21.1%52.9%6.3%-4.4%24.5K-362.1K-13.0K0.5581.76N/AN/A58323,5822,755
2015-10-06$18.41$17.5056.7%15.7%32.3%47.7%55.2%4.2%-5.9%39.1K210.8K-11.2K0.6781.38N/AN/A4603083,6352,777
2015-10-07$18.62$17.5042.1%15.6%32.4%24.9%55.0%8.8%-4.8%49.8K-77.7K-11.4K0.6884.72N/AN/A4553083,7752,777
2015-10-08$18.80$17.5045.1%14.4%32.3%29.4%53.7%3.9%-5.1%39.3K-408.5K-12.0K0.7084.56N/AN/A4533183,7752,777
2015-10-09$18.49$17.5051.9%17.2%32.9%40.1%59.1%9.4%-9.2%44.0K-117.9K-10.8K2.6887.48N/AN/A4531,2123,7752,769
2015-10-12$18.59$17.5043.9%16.2%32.7%27.6%56.0%8.6%-7.6%246246.6K-11.6K0.9382.88N/AN/A4694353,7753,520
2015-10-13$18.65$17.5046.5%16.4%30.3%31.7%55.1%9.7%-8.2%-1.7K5.2K-12.0K0.8584.35N/AN/A4563893,9573,520
2015-10-14$18.75$17.5055.5%15.9%30.4%45.8%54.7%9.1%-6.3%-5.3K43.6K-12.2K1.0385.31N/AN/A3793893,9603,630
2015-10-15$19.67$17.5052.3%15.0%34.8%40.8%57.7%8.3%-6.3%19.7K-1.6M-13.4K1.5082.88N/AN/A4466674,0863,630
2015-10-16$19.56$17.5052.2%15.0%34.8%48.2%54.1%7.7%-6.5%-18.0K-378.4K-13.7K0.4980.72N/AN/A6273094,0994,015
2015-10-19$19.20$17.5052.7%15.1%35.5%49.2%56.1%5.7%-5.1%-13.7K-134.1K-13.6K1.2683.89N/AN/A7951,0042,3382,870
2015-10-20$18.84$17.5054.4%15.6%36.0%52.3%57.4%9.2%-5.6%-19.2K166.6K-16.0K1.3286.93N/AN/A7971,0532,9383,620
2015-10-21$18.19$17.5056.6%16.2%37.8%56.4%54.6%9.1%-8.0%-30.1K859.5K-15.3K0.3890.24N/AN/A8753342,9383,606
2015-10-22$19.06$17.5053.9%15.5%41.5%51.5%55.3%9.9%-8.7%-13.3K-81.4K-15.4K0.3988.77N/AN/A8583342,9453,621
2015-10-23$18.80$17.5053.2%15.2%41.2%50.7%60.1%7.0%-6.5%-17.8K106.2K-15.0K1.0089.08N/AN/A3613612,9453,621
2015-10-26$19.03$17.5055.9%16.0%39.4%55.8%56.1%13.4%-9.2%-8.5K120.4K-14.9K0.9993.24N/AN/A3663612,9533,621
2015-10-27$18.97$17.5055.2%15.8%38.4%54.5%57.1%11.9%-8.8%-7.4K101.9K-14.7K0.9591.97N/AN/A3793612,9633,621
2015-10-28$19.81$17.5056.1%16.1%39.0%56.2%57.5%7.3%-9.6%2.1K-1.1M-14.7K1.2598.01N/AN/A2883613,0713,621
2015-10-29$18.51$17.5060.5%17.3%45.7%64.3%57.1%-4.9%-10.5%-29.3K209.0K-14.0K0.9089.49N/AN/A4033613,0833,621
2015-10-30$18.54$17.5067.7%19.4%45.0%87.2%63.8%4.1%-16.5%-14.0K542.8K-13.7K1.0293.01N/AN/A6056173,0863,621