RNG Options History — November 2015

In November 2015, RNG traded between $19.33 and $23.03. ATM implied volatility averaged 45.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 12.2% (HV 20d: 58.0%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-11-02: Highest Volume — 3,896 contracts
  • 2015-11-03: Largest IV drop — 28.5% change
  • 2015-11-02: Highest IV Rank — 89.7%
  • 2015-11-02: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.74$19.33$23.03$19.33$22.91
Max Pain$17.63$12.50$20.00$17.50$20.00
ATM IV45.8%41.2%68.9%68.9%45.3%
Expected Move12.9%11.8%19.8%19.8%13.0%
HV 20d58.0%45.9%62.6%45.9%49.4%
HV 60d45.3%42.2%48.3%42.2%43.3%
IV Rank41.0%31.3%89.7%89.7%39.9%
IV Percentile47.9%31.7%98.8%98.8%52.8%
Term Structure-0.7%-17.5%2.6%-17.5%-2.4%
VWIV45.6%38.2%68.3%68.3%47.0%
Skew 25d3.3%-4.3%13.0%12.7%-4.3%
Skew 10d8.2%-6.6%35.9%35.9%-6.6%
Call IV 25d44.0%35.3%62.2%62.2%46.1%
Put IV 25d47.2%39.4%74.9%74.9%41.8%
Bid-Ask Spread %66.3733.8096.4980.9296.49
Gamma HHI0.520.380.870.460.41
Net GEX227.8K-3.0K497.7K-3.0K76.2K
Net DEX-6.7M-11.9M-616.0K-616.0K-4.0M
Net VEX-15.2K-18.7K-12.7K-14.7K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.007.110.107.11
Total Volume1,014.05333,8963,8961,289
Total OI9,297.355,29711,5817,1575,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$19.33$17.5068.9%19.8%45.9%89.7%68.3%12.7%-17.5%-3.0K-616.0K-14.7K0.1080.92N/AN/A3,5563403,2473,910
2015-11-03$21.12$17.5049.3%14.1%54.6%48.3%49.5%2.6%1.3%195.4K-6.3M-16.0K0.1392.47N/AN/A2,8293765,4933,962
2015-11-04$22.28$17.5043.8%12.5%57.1%36.8%41.2%13.0%-1.7%191.3K-8.5M-16.1K0.2952.33N/AN/A1,7785115,9334,035
2015-11-05$21.23$12.5048.1%12.6%60.6%45.9%42.0%1.4%1.3%263.6K-7.0M-18.7K0.7233.83N/AN/A4623326,5864,077
2015-11-06$20.46$12.5043.2%12.0%62.0%35.7%56.9%-1.1%1.2%294.8K-5.3M-17.7K0.0042.79N/AN/A4006,6304,123
2015-11-09$20.96$12.5049.6%12.8%62.4%49.0%0.0%5.6%-0.5%308.1K-6.5M-16.7K0.4138.97N/AN/A150626,6264,119
2015-11-10$20.74$12.5048.3%12.9%62.6%46.3%42.7%2.9%-1.0%323.5K-6.0M-16.4K0.5847.21N/AN/A5703296,6954,161
2015-11-11$20.90$17.5043.7%12.5%62.6%36.7%44.8%0.3%-0.2%356.5K-6.5M-15.3K0.5833.80N/AN/A5703296,6644,203
2015-11-12$21.19$17.5046.6%13.4%60.7%42.8%43.7%7.0%-3.4%343.0K-7.5M-15.0K0.6037.45N/AN/A5233136,7004,200
2015-11-13$20.89$17.5047.3%13.6%61.0%44.2%47.6%0.5%-0.9%403.4K-6.8M-15.4K0.5240.10N/AN/A5242726,9124,256
2015-11-16$21.36$17.5045.2%13.0%60.7%39.8%48.5%4.1%0.2%264.2K-7.3M-15.9K0.8783.41N/AN/A71626,8664,256
2015-11-17$22.46$20.0043.0%12.3%62.0%35.2%38.2%3.0%0.6%401.5K-10.7M-14.1K1.1788.79N/AN/A3403976,9094,293
2015-11-18$22.64$20.0042.1%12.1%59.8%33.2%42.1%3.1%1.4%269.6K-11.3M-14.3K0.6481.77N/AN/A3492236,9784,478
2015-11-19$22.51$20.0041.4%11.9%58.6%31.9%40.6%3.7%2.6%497.7K-11.3M-14.5K0.2380.28N/AN/A1,1342587,0824,499
2015-11-20$22.51$20.0041.7%12.0%58.1%32.5%40.9%3.1%1.8%71.1K-11.9M-14.7K0.2084.05N/AN/A9811946,9514,518
2015-11-23$22.59$20.0041.3%11.8%58.1%31.6%46.4%3.1%1.4%74.5K-3.7M-14.5K0.1457.46N/AN/A3753,3132,027
2015-11-24$22.86$20.0042.7%12.2%57.9%34.6%43.0%5.0%0.4%74.0K-3.9M-14.0K3.7168.00N/AN/A7263,2972,031
2015-11-25$22.88$20.0041.2%11.8%56.6%31.3%41.1%1.7%1.4%74.8K-4.0M-13.8K0.2491.63N/AN/A415993,2962,024
2015-11-27$23.03$20.0042.5%12.2%49.1%34.2%42.6%-2.5%0.3%76.1K-4.1M-13.6K0.2395.70N/AN/A4281003,2732,024
2015-11-30$22.91$20.0045.3%13.0%49.4%39.9%47.0%-4.3%-2.4%76.2K-4.0M-12.7K7.1196.49N/AN/A1591,1303,2762,024