RNG Options History — March 2016

In March 2016, RNG traded between $14.39 and $19.10. ATM implied volatility averaged 51.1%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 15.1% (HV 20d: 66.2%). Max pain ranged from $15.00 to $21.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-03-10: Highest Volume — 9,186 contracts
  • 2016-03-16: Largest IV drop — 17.0% change
  • 2016-03-08: Highest IV Rank — 61.6%
  • 2016-03-14: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.25$14.39$19.10$18.77$15.76
Max Pain$17.18$15.00$21.00$21.00$15.00
ATM IV51.1%42.1%58.5%52.8%42.1%
Expected Move14.4%12.1%16.3%15.1%12.1%
HV 20d66.2%54.7%73.5%73.5%66.4%
HV 60d61.9%56.9%64.8%57.8%64.8%
IV Rank47.3%30.2%61.6%50.6%30.2%
IV Percentile65.9%32.5%84.5%72.6%32.5%
Term Structure4.7%-2.1%12.2%-1.6%12.2%
VWIV48.9%40.2%55.5%45.8%49.0%
Skew 25d7.0%-0.6%15.0%4.6%15.0%
Skew 10d19.0%-9.7%48.8%21.8%48.8%
Call IV 25d48.7%34.7%59.8%52.4%34.7%
Put IV 25d55.7%49.7%64.5%57.0%49.7%
Bid-Ask Spread %61.4318.42110.8694.2928.78
Gamma HHI0.200.130.360.130.36
Net GEX-10.8K-122.2K152.4K-60.4K152.4K
Net DEX1.5M-1.9M5.4M356.3K-1.9M
Net VEX-28.7K-31.7K-23.0K-29.9K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.154.054.050.15
Total Volume2,923.7278799,1862,7092,543
Total OI13,451.95511,79615,48611,79615,486

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$18.77$21.0052.8%15.1%73.5%50.6%45.8%4.6%-1.6%-60.4K356.3K-29.9K4.0594.29N/AN/A5362,1734,2727,524
2016-03-02$19.05$21.0052.6%15.1%73.3%50.2%48.4%-0.6%-2.1%-61.5K13.4K-29.6K3.9694.00N/AN/A5402,1394,2997,534
2016-03-03$19.08$19.0051.0%13.9%73.2%47.3%46.9%7.7%2.3%-58.5K181.4K-29.0K3.4286.32N/AN/A6162,1074,3017,562
2016-03-04$19.07$19.0050.3%13.9%73.2%45.9%47.7%6.5%3.3%-58.3K89.5K-29.4K2.9888.15N/AN/A7062,1074,3757,666
2016-03-07$19.10$19.0054.8%14.4%63.0%54.5%48.3%8.6%1.2%-52.3K-51.6K-28.6K3.2586.94N/AN/A6462,1024,4677,666
2016-03-08$18.19$19.0058.5%13.5%54.7%61.6%50.5%3.9%6.4%-67.4K874.4K-28.0K3.2599.17N/AN/A6462,1024,4787,674
2016-03-09$16.14$19.0050.7%14.5%63.6%46.6%50.1%4.6%1.0%-122.2K4.0M-25.7K2.2090.11N/AN/A9682,1314,4787,674
2016-03-10$15.06$19.0055.7%16.0%66.3%56.1%53.3%11.0%3.3%-97.3K5.4M-23.0K0.5291.61N/AN/A6,0423,1444,6047,545
2016-03-11$15.83$16.0051.0%14.6%69.0%47.2%51.5%14.6%4.6%-67.4K2.4M-31.7K0.7291.85N/AN/A4,0342,8866,9627,888
2016-03-14$15.11$16.0056.8%16.3%70.7%58.3%55.5%7.7%-1.5%-41.4K3.6M-29.4K1.0029.99N/AN/A1,9461,9377,1337,858
2016-03-15$15.41$16.0056.6%16.2%66.0%57.9%50.9%9.0%1.5%-24.1K3.1M-30.1K1.5318.42N/AN/A9791,4957,3337,962
2016-03-16$15.15$16.0047.0%13.5%64.5%39.6%47.4%0.9%7.2%-13.6K3.7M-28.6K1.26110.86N/AN/A1,1901,4987,4157,994
2016-03-17$15.26$16.0054.0%15.5%64.6%52.9%51.4%6.1%5.0%-14.6K3.4M-29.0K1.4949.53N/AN/A1,0101,5097,3397,904
2016-03-18$15.91$16.0049.5%14.2%66.7%44.4%47.9%9.6%5.7%37.3K2.7M-30.2K1.6439.97N/AN/A9251,5177,3837,964
2016-03-21$15.33$16.0052.7%15.1%66.4%50.4%48.5%4.9%0.9%27.7K359.0K-28.6K0.1638.11N/AN/A1,6132586,8105,721
2016-03-22$15.10$16.0047.8%13.7%63.4%41.2%50.2%7.6%9.0%49.0K841.5K-28.7K0.4235.54N/AN/A6172627,4025,765
2016-03-23$15.02$16.0048.2%13.8%62.7%41.9%46.3%6.1%8.4%48.3K771.5K-28.9K0.2238.93N/AN/A1,2832787,5165,769
2016-03-24$14.51$16.0050.4%14.4%63.1%46.0%48.6%4.5%9.1%24.9K1.5M-27.1K0.2732.92N/AN/A1,2053297,2115,782
2016-03-28$14.39$16.0051.0%14.6%62.1%47.2%50.2%4.4%7.3%19.0K1.8M-26.4K0.2946.03N/AN/A1,3653987,2625,844
2016-03-29$15.08$16.0046.2%13.2%65.1%38.1%40.2%8.8%9.7%39.4K1.2M-27.8K0.1736.30N/AN/A2,1613667,4526,033
2016-03-30$15.21$15.0043.8%12.6%64.9%33.5%47.2%9.0%10.0%104.0K-161.3K-29.6K0.2223.57N/AN/A1,6473668,5416,095
2016-03-31$15.76$15.0042.1%12.1%66.4%30.2%49.0%15.0%12.2%152.4K-1.9M-31.6K0.1528.78N/AN/A2,2053389,3916,095