RNG Options History — April 2016

In April 2016, RNG traded between $15.90 and $19.84. ATM implied volatility averaged 52.7%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 4.7% (HV 20d: 48.0%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-04-29: Highest Volume — 7,111 contracts
  • 2016-04-28: Largest IV drop — 27.7% change
  • 2016-04-27: Highest IV Rank — 68.0%
  • 2016-04-27: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.62$15.90$19.84$15.90$19.10
Max Pain$15.48$14.00$16.00$14.00$16.00
ATM IV52.7%42.5%61.9%43.0%46.6%
Expected Move15.7%12.3%17.7%12.3%13.3%
HV 20d48.0%38.9%69.5%66.6%44.7%
HV 60d63.7%62.0%65.6%64.8%62.9%
IV Rank50.5%31.1%68.0%31.9%38.7%
IV Percentile68.1%32.5%89.7%36.1%48.4%
Term Structure-4.0%-11.6%9.7%9.7%-0.8%
VWIV56.2%38.7%64.8%38.7%53.5%
Skew 25d7.6%4.4%15.1%15.1%8.2%
Skew 10d27.0%4.9%46.6%32.3%8.9%
Call IV 25d53.7%33.3%62.4%33.3%44.9%
Put IV 25d61.3%48.4%66.8%48.4%53.2%
Bid-Ask Spread %79.6727.5892.7327.5890.44
Gamma HHI0.240.160.430.330.21
Net GEX209.2K122.3K375.9K216.1K263.9K
Net DEX-8.7M-14.2M-3.5M-3.5M-11.8M
Net VEX-39.6K-45.2K-34.3K-34.3K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.121.310.200.36
Total Volume4,068.1431,5167,1111,9877,111
Total OI17,722.14315,60822,68016,91517,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$15.90$14.0043.0%12.3%66.6%31.9%38.7%15.1%9.7%216.1K-3.5M-34.3K0.2027.58N/AN/A1,65733010,8196,096
2016-04-04$16.66$15.0052.4%15.2%69.5%49.9%59.6%9.1%-3.1%200.3K-6.3M-34.9K0.1980.26N/AN/A1,71532111,2126,123
2016-04-05$16.70$15.0053.9%16.2%69.5%52.8%57.2%8.9%-3.5%200.6K-6.9M-35.3K0.1670.82N/AN/A2,43540011,4336,132
2016-04-06$16.82$15.0046.7%16.1%67.8%38.9%55.8%7.4%-4.5%240.9K-8.2M-37.2K0.2480.87N/AN/A1,75842012,4996,185
2016-04-07$16.71$15.0048.2%15.6%52.3%41.9%57.0%7.0%-1.5%247.5K-8.2M-37.0K0.3886.36N/AN/A1,09941712,6616,183
2016-04-08$16.80$15.0042.5%16.4%45.1%31.1%56.8%6.2%-4.4%245.5K-8.4M-36.1K0.2366.24N/AN/A1,87043912,6766,183
2016-04-11$16.10$15.0051.8%16.6%45.0%48.7%57.3%5.4%-4.8%345.3K-6.6M-37.2K0.1671.49N/AN/A2,34436713,4506,131
2016-04-12$16.21$15.0051.2%16.4%41.4%47.5%56.5%7.5%-5.1%375.9K-7.5M-38.0K0.1573.35N/AN/A2,43636713,9285,997
2016-04-13$16.86$15.0055.0%15.8%42.9%54.9%57.8%7.0%-2.6%242.5K-10.0M-37.5K0.1283.11N/AN/A2,75933814,0285,883
2016-04-14$17.74$15.0055.2%15.8%45.1%55.2%56.7%7.3%-6.2%203.5K-13.2M-38.7K0.4077.78N/AN/A4,3371,74314,3596,026
2016-04-15$17.54$16.0054.6%15.7%45.6%54.2%53.4%9.4%-6.6%122.3K-12.2M-45.2K0.4487.96N/AN/A3,8671,71215,2937,387
2016-04-18$18.18$16.0054.3%15.6%45.1%53.5%55.1%7.3%-4.0%140.9K-7.5M-43.8K1.3185.27N/AN/A2,4863,26010,0076,319
2016-04-19$18.04$16.0055.5%15.9%42.4%55.8%54.9%7.8%-5.0%148.1K-7.1M-42.9K1.3182.47N/AN/A2,4583,23110,0695,539
2016-04-20$17.90$16.0055.4%15.9%42.0%55.6%55.4%5.8%-3.7%146.0K-7.1M-42.7K1.3192.73N/AN/A2,4573,23110,0895,540
2016-04-21$18.40$16.0057.9%16.6%42.2%60.4%56.9%8.6%-4.5%148.4K-8.2M-42.2K0.7288.01N/AN/A2,3941,72910,0885,540
2016-04-22$18.82$16.0057.2%16.4%38.9%59.0%58.0%8.4%-6.8%153.6K-8.8M-42.0K0.8187.27N/AN/A2,1411,72910,0965,545
2016-04-25$18.20$16.0061.1%17.5%41.6%66.5%64.8%4.4%-7.8%153.0K-8.1M-40.6K0.8482.35N/AN/A2,1031,75810,1485,545
2016-04-26$18.56$16.0058.3%16.7%39.7%61.1%62.9%5.6%-7.6%164.6K-8.5M-40.7K0.8282.92N/AN/A2,1251,75310,2385,525
2016-04-27$18.89$16.0061.9%17.7%39.7%68.0%60.7%6.9%-11.6%164.0K-9.6M-40.3K0.4090.82N/AN/A4,5131,78510,3125,528
2016-04-28$19.84$16.0044.7%12.8%41.1%35.2%52.2%5.5%-0.1%271.1K-14.2M-42.0K0.1784.91N/AN/A5,16087612,0295,518
2016-04-29$19.10$16.0046.6%13.3%44.7%38.7%53.5%8.2%-0.8%263.9K-11.8M-42.6K0.3690.44N/AN/A5,2161,89512,0955,711