RNG Options History — January 2016

In January 2016, RNG traded between $20.92 and $23.23. ATM implied volatility averaged 61.3%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 15.3% (HV 20d: 46.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.46.

Notable Days

  • 2016-01-27: Highest Volume — 2,351 contracts
  • 2016-01-07: Largest IV spike — 18.1% change
  • 2016-01-11: Highest IV Rank — 85.4%
  • 2016-01-27: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.76$20.92$23.23$22.74$21.82
Max Pain$22.32$22.00$24.00$24.00$22.00
ATM IV61.3%52.3%66.9%52.3%63.1%
Expected Move17.2%14.9%19.1%14.9%18.1%
HV 20d46.0%37.4%56.2%42.5%56.2%
HV 60d47.7%45.3%50.2%45.3%48.7%
IV Rank73.6%54.8%85.4%54.8%77.5%
IV Percentile93.2%82.1%98.0%82.1%94.4%
Term Structure-6.9%-9.8%-4.1%-4.1%-7.4%
VWIV59.1%52.6%65.7%54.7%61.9%
Skew 25d6.6%1.1%11.9%6.6%10.0%
Skew 10d17.1%-3.0%37.8%14.4%24.2%
Call IV 25d57.7%50.6%64.7%50.6%59.8%
Put IV 25d64.2%55.3%72.2%57.1%69.8%
Bid-Ask Spread %66.5547.5579.0647.5579.06
Gamma HHI0.390.160.750.550.20
Net GEX112.7K-25.3K355.6K251.4K-21.7K
Net DEX-1.0M-5.2M1.5M-5.2M551.0K
Net VEX-12.5K-18.0K-8.7K-18.0K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.073.693.690.07
Total Volume1,081.8952332,3511,510233
Total OI6,914.3682,37610,2389,7445,079

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$22.74$24.0052.3%14.9%42.5%54.8%54.7%6.6%-4.1%251.4K-5.2M-18.0K3.6947.55N/AN/A3221,1886,3763,368
2016-01-05$22.22$24.0052.8%15.1%41.0%55.8%52.6%3.8%-6.8%248.1K-3.9M-17.1K3.0656.10N/AN/A3811,1656,4773,358
2016-01-06$21.82$24.0055.0%15.9%41.1%60.5%56.1%3.4%-8.3%220.9K-2.6M-15.9K1.5862.20N/AN/A5558786,5033,316
2016-01-07$21.12$22.0065.0%16.1%40.0%81.4%56.6%6.7%-5.6%178.8K-209.1K-14.1K2.1758.13N/AN/A4038756,5323,404
2016-01-08$21.07$22.0059.1%16.5%37.4%68.9%55.1%6.1%-4.1%164.3K-337.1K-13.7K1.9361.63N/AN/A4538766,5783,474
2016-01-11$20.94$22.0066.9%16.4%37.4%85.4%53.3%6.3%-5.8%143.6K289.2K-11.7K2.1969.76N/AN/A3908546,5283,523
2016-01-12$22.32$22.0062.8%15.8%45.3%76.9%56.1%8.8%-4.8%355.6K-3.5M-12.8K0.7765.94N/AN/A4033096,5873,452
2016-01-13$21.12$22.0060.3%17.3%48.7%71.6%54.3%1.1%-8.6%154.5K62.9K-10.4K0.8974.79N/AN/A3703286,5843,481
2016-01-14$21.36$22.0060.7%17.4%48.8%72.5%61.4%4.5%-9.8%214.5K-287.2K-10.3K0.9768.08N/AN/A3493396,6433,518
2016-01-15$20.92$22.0064.2%18.4%46.3%79.7%60.5%11.9%-9.3%11.0K1.5M-8.7K0.7675.65N/AN/A4893726,6733,565
2016-01-19$21.73$22.0060.3%17.3%43.3%71.5%60.3%8.0%-5.0%12.0K-376.1K-9.1K0.4364.71N/AN/A6222681,444932
2016-01-20$21.55$22.0062.4%17.9%43.3%76.0%62.1%8.3%-7.2%27.8K-654.2K-10.1K1.5771.94N/AN/A2854481,860970
2016-01-21$21.69$22.0061.5%17.6%41.6%74.1%61.3%6.2%-6.5%26.0K-676.6K-10.5K1.6068.11N/AN/A2704331,8931,070
2016-01-22$23.23$22.0059.2%17.0%49.3%69.2%60.5%9.2%-4.5%35.8K-1.4M-11.1K0.6662.74N/AN/A6544341,9161,085
2016-01-25$22.25$22.0064.5%18.5%51.3%80.3%63.4%6.7%-9.0%48.3K-1.3M-11.3K0.7766.72N/AN/A5744422,3021,086
2016-01-26$22.72$22.0061.9%17.7%52.0%74.8%61.8%7.1%-6.7%52.0K-1.5M-11.5K0.7564.93N/AN/A5884422,3061,098
2016-01-27$21.72$22.0066.7%19.1%53.9%85.0%65.2%4.7%-9.6%43.3K-887.9K-10.8K2.9875.56N/AN/A5911,7602,3281,098
2016-01-28$21.07$22.0065.5%18.8%54.2%82.5%65.7%5.6%-7.2%-25.3K973.3K-14.6K0.9470.84N/AN/A6265872,3442,622
2016-01-29$21.82$22.0063.1%18.1%56.2%77.5%61.9%10.0%-7.4%-21.7K551.0K-15.2K0.0779.06N/AN/A218152,3862,693