RNG Options History — February 2016

In February 2016, RNG traded between $16.06 and $22.38. ATM implied volatility averaged 61.6%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 10.1% (HV 20d: 71.8%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-02-10: Highest Volume — 10,074 contracts
  • 2016-02-10: Largest IV drop — 19.3% change
  • 2016-02-04: Highest IV Rank — 100.0%
  • 2016-02-03: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.48$16.06$22.38$22.38$18.54
Max Pain$21.40$21.00$23.00$22.00$21.00
ATM IV61.6%52.8%78.7%67.6%52.9%
Expected Move17.0%15.1%20.2%19.4%15.2%
HV 20d71.8%56.0%79.1%57.1%74.2%
HV 60d53.2%43.1%58.0%45.5%58.0%
IV Rank69.1%50.7%100.0%86.9%50.8%
IV Percentile87.3%73.8%100.0%98.4%73.8%
Term Structure-3.2%-10.9%1.4%-9.6%-1.2%
VWIV58.8%46.0%74.2%69.9%46.0%
Skew 25d7.7%3.1%12.7%9.6%6.7%
Skew 10d22.1%-28.5%45.2%45.2%28.2%
Call IV 25d57.2%49.9%68.3%64.1%53.2%
Put IV 25d65.0%56.8%76.6%73.7%59.9%
Bid-Ask Spread %77.1044.7386.4978.5086.49
Gamma HHI0.190.120.410.190.14
Net GEX-108.1K-284.6K-11.8K-11.8K-65.9K
Net DEX3.9M-38.6K7.6M-38.6K729.7K
Net VEX-19.8K-31.0K-7.4K-15.2K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.543.842.093.84
Total Volume4,411.496410,0742,4412,729
Total OI10,613.555,11614,6785,11611,683

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$22.38$22.0067.6%19.4%57.1%86.9%69.9%9.6%-9.6%-11.8K-38.6K-15.2K2.0978.50N/AN/A7891,6522,4082,708
2016-02-02$21.59$23.0068.9%19.8%56.6%89.7%74.2%7.1%-10.9%-61.4K1.3M-16.2K1.7676.69N/AN/A8281,4592,4143,847
2016-02-03$21.28$23.0070.4%20.2%56.3%92.8%71.0%8.5%-10.2%-78.0K1.7M-15.9K1.7082.37N/AN/A8581,4592,4143,903
2016-02-04$21.33$22.0077.2%17.6%56.0%100.0%59.5%6.4%-2.8%-68.5K1.7M-15.9K3.7144.73N/AN/A7032,6092,5193,903
2016-02-05$19.20$22.0064.8%15.8%66.4%75.8%59.8%3.1%-0.2%-139.2K5.3M-14.0K0.5466.53N/AN/A2,4221,3192,8845,005
2016-02-08$17.40$22.0072.5%18.8%74.2%90.8%63.9%10.6%-10.0%-83.2K7.2M-10.1K0.9073.03N/AN/A2,6462,3734,3175,624
2016-02-09$16.06$21.0078.7%19.1%78.3%100.0%65.1%7.5%-4.9%-48.0K6.2M-7.4K1.3276.11N/AN/A3,6504,8164,5324,841
2016-02-10$16.73$21.0063.5%18.2%75.7%71.0%63.8%12.7%0.6%-115.9K7.3M-20.0K1.8177.12N/AN/A3,5896,4855,5297,693
2016-02-11$16.57$21.0063.3%18.2%74.1%70.7%64.1%11.8%1.4%-150.1K7.2M-19.2K0.8570.67N/AN/A3,7293,1805,5297,789
2016-02-12$16.29$21.0062.7%18.0%73.6%69.6%61.7%10.5%-1.7%-151.9K7.6M-19.6K0.7771.87N/AN/A3,5702,7525,6278,210
2016-02-16$17.45$21.0057.5%16.5%79.1%59.6%56.5%9.5%-3.3%-244.2K7.1M-20.2K0.9676.16N/AN/A2,5562,4655,6658,727
2016-02-17$18.02$21.0055.9%16.0%78.7%56.5%55.5%6.7%-1.1%-284.6K5.7M-20.8K0.9579.28N/AN/A2,5272,4085,7408,832
2016-02-18$18.05$21.0055.5%15.9%78.8%55.7%55.4%4.1%-0.0%-281.7K5.9M-20.3K0.9678.93N/AN/A2,5122,4035,7468,932
2016-02-19$18.27$21.0054.1%15.5%79.0%53.2%51.0%8.6%-2.7%-57.6K5.4M-19.5K0.6982.14N/AN/A2,6301,8225,7418,931
2016-02-22$18.73$21.0052.9%15.2%74.7%50.9%47.4%4.4%-1.9%-56.2K1.2M-19.7K0.7782.26N/AN/A5444202,8915,000
2016-02-23$17.58$21.0053.7%15.4%76.2%52.3%53.7%4.8%0.6%-59.2K1.9M-18.7K1.2386.24N/AN/A8181,0032,9064,999
2016-02-24$17.90$21.0054.2%15.5%76.0%53.3%48.8%6.4%-1.5%-70.2K1.9M-31.0K1.7782.46N/AN/A1,7403,0864,2137,498
2016-02-25$17.96$21.0053.9%15.4%75.2%52.7%50.9%7.9%-0.7%-70.6K1.6M-30.4K1.2184.00N/AN/A1,7312,0934,2377,293
2016-02-26$18.32$21.0052.8%15.1%75.4%50.7%58.2%7.8%-3.4%-63.4K1.2M-30.9K1.4886.47N/AN/A1,5532,3004,2407,301
2016-02-29$18.54$21.0052.9%15.2%74.2%50.8%46.0%6.7%-1.2%-65.9K729.7K-30.1K3.8486.49N/AN/A5642,1654,2477,436