RNG Options History — December 2015

In December 2015, RNG traded between $22.64 and $25.43. ATM implied volatility averaged 43.3%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 7.7% (HV 20d: 35.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2015-12-01: Highest Volume — 3,491 contracts
  • 2015-12-18: Largest IV spike — 8.3% change
  • 2015-12-07: Highest IV Rank — 47.9%
  • 2015-12-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.05$22.64$25.43$22.64$23.70
Max Pain$22.27$20.00$22.50$20.00$22.50
ATM IV43.3%40.1%49.0%43.6%40.9%
Expected Move12.2%11.5%12.9%12.5%11.7%
HV 20d35.6%27.2%48.6%48.6%39.8%
HV 60d44.2%42.4%46.6%43.1%44.4%
IV Rank35.8%29.2%47.9%36.5%30.8%
IV Percentile43.2%29.4%73.0%42.1%31.7%
Term Structure3.6%-2.0%8.9%-0.7%8.5%
VWIV42.7%37.9%45.9%43.3%43.1%
Skew 25d3.7%-8.2%12.3%-8.2%0.3%
Skew 10d9.7%-18.2%28.3%-7.8%-18.2%
Call IV 25d41.5%34.8%48.2%48.2%43.5%
Put IV 25d45.1%39.9%49.0%39.9%43.9%
Bid-Ask Spread %85.5173.9095.0094.3189.93
Gamma HHI0.510.340.690.340.47
Net GEX193.0K22.5K263.2K22.5K263.2K
Net DEX-9.3M-13.5M-2.8M-2.8M-8.2M
Net VEX-23.5K-27.9K-16.3K-16.3K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.004.860.154.86
Total Volume1,555.7272523,4913,4911,769
Total OI10,051.4556,40411,3026,4049,744

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$22.64$20.0043.6%12.5%48.6%36.5%43.3%-8.2%-0.7%22.5K-2.8M-16.3K0.1594.31N/AN/A3,0324593,3743,030
2015-12-02$23.20$20.0044.7%12.8%38.8%38.9%45.7%-0.5%-2.0%196.0K-7.6M-23.4K0.5595.00N/AN/A9335166,1132,929
2015-12-03$23.03$22.5045.3%12.4%34.4%40.0%43.3%6.4%1.2%196.8K-7.3M-27.6K0.3883.17N/AN/A8383186,5933,309
2015-12-04$23.86$22.5047.2%11.7%30.9%44.1%42.0%9.5%2.8%189.0K-9.1M-26.3K0.4385.45N/AN/A7463186,5983,323
2015-12-07$23.51$22.5049.0%12.6%27.7%47.9%41.3%6.1%1.6%196.1K-8.5M-25.3K0.0087.28N/AN/A25206,6033,323
2015-12-08$24.28$22.5046.6%11.9%28.5%42.8%42.4%10.1%2.5%197.4K-10.2M-24.8K0.4486.53N/AN/A7173186,8523,323
2015-12-09$25.07$22.5044.4%12.7%29.0%38.2%44.7%12.3%0.2%169.8K-11.8M-23.9K1.5488.95N/AN/A6951,0726,8773,323
2015-12-10$24.82$22.5041.5%11.9%29.8%32.1%41.9%2.4%3.0%169.1K-11.7M-27.3K4.4979.85N/AN/A2421,0877,3233,897
2015-12-11$24.50$22.5044.9%12.9%30.7%39.2%44.8%1.6%1.1%168.0K-11.0M-27.9K4.4977.27N/AN/A2421,0877,3343,912
2015-12-14$24.30$22.5044.1%12.6%30.2%37.4%45.9%-0.3%-1.2%178.9K-10.8M-26.4K2.3680.91N/AN/A4611,0887,3353,912
2015-12-15$24.54$22.5043.8%12.6%29.7%36.9%43.5%4.7%1.1%158.6K-10.7M-27.7K2.5477.03N/AN/A4281,0867,3893,913
2015-12-16$25.43$22.5041.6%11.9%27.2%32.3%43.5%3.3%2.8%184.6K-13.5M-23.2K4.0185.34N/AN/A5052,0257,3893,461
2015-12-17$23.69$22.5041.3%11.8%38.6%31.6%42.4%4.9%3.9%223.9K-10.3M-25.3K1.1773.90N/AN/A8399857,5053,471
2015-12-18$23.50$22.5044.7%12.8%38.6%38.8%45.4%3.0%0.2%191.9K-9.5M-25.1K0.9680.27N/AN/A1,0259857,4363,334
2015-12-21$24.20$22.5041.6%11.9%39.8%32.3%40.9%4.0%8.0%205.5K-8.9M-22.9K2.0681.65N/AN/A4178606,4573,293
2015-12-22$24.10$22.5041.1%11.8%39.9%31.2%40.5%4.6%6.4%207.6K-8.6M-22.8K2.0692.61N/AN/A4178606,4133,305
2015-12-23$24.14$22.5040.4%11.6%39.8%29.6%39.2%4.3%7.4%220.6K-8.9M-22.2K2.0485.61N/AN/A4228606,4123,305
2015-12-24$24.30$22.5040.1%11.5%39.8%29.2%37.9%2.9%7.4%216.7K-9.4M-21.4K2.0786.42N/AN/A4228746,4043,305
2015-12-28$23.94$22.5042.3%12.1%40.3%33.8%41.5%3.0%7.8%227.4K-8.5M-20.3K2.0388.84N/AN/A4328786,4043,290
2015-12-29$24.26$22.5041.7%12.0%40.4%32.5%42.1%3.5%8.9%235.7K-9.6M-18.8K3.6191.60N/AN/A4011,4476,4013,290
2015-12-30$24.03$22.5041.0%11.8%40.2%31.0%43.2%2.6%8.2%227.0K-8.9M-19.5K3.6689.34N/AN/A4011,4676,3763,552
2015-12-31$23.70$22.5040.9%11.7%39.8%30.8%43.1%0.3%8.5%263.2K-8.2M-19.3K4.8689.93N/AN/A3021,4676,3763,368