RNG Options History — May 2016

In May 2016, RNG traded between $18.24 and $19.76. ATM implied volatility averaged 44.9%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 6.9% (HV 20d: 38.0%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-05-02: Highest Volume — 7,133 contracts
  • 2016-05-31: Largest IV spike — 7.6% change
  • 2016-05-04: Highest IV Rank — 45.8%
  • 2016-05-04: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.82$18.24$19.76$19.50$19.75
Max Pain$18.33$16.00$20.00$16.00$20.00
ATM IV44.9%40.4%50.3%50.0%43.4%
Expected Move12.8%11.6%14.4%14.3%12.5%
HV 20d38.0%25.7%46.9%42.8%25.7%
HV 60d51.9%48.9%63.1%63.1%49.5%
IV Rank35.6%26.9%45.8%45.3%32.8%
IV Percentile38.1%18.3%57.9%57.9%30.2%
Term Structure-0.7%-4.2%1.2%-4.2%-0.0%
VWIV44.6%31.1%57.0%57.0%41.0%
Skew 25d5.3%1.7%9.3%5.1%6.7%
Skew 10d17.3%-12.4%30.3%3.4%-3.7%
Call IV 25d44.4%39.3%47.6%47.3%43.7%
Put IV 25d49.7%45.7%55.5%52.4%50.4%
Bid-Ask Spread %91.4577.18108.4596.2191.58
Gamma HHI0.240.170.350.210.35
Net GEX265.4K208.3K302.8K284.4K302.8K
Net DEX-9.4M-12.8M-5.4M-12.8M-9.1M
Net VEX-37.7K-45.6K-31.3K-45.6K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.360.930.360.39
Total Volume3,660.1432,3297,1337,1332,329
Total OI17,614.57115,12519,17318,30015,474

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$19.50$16.0050.0%14.3%42.8%45.3%57.0%5.1%-4.2%284.4K-12.8M-45.6K0.3696.21N/AN/A5,2381,89512,6595,641
2016-05-03$18.78$16.0048.2%13.8%45.7%41.8%54.3%7.3%-2.0%279.1K-11.0M-44.4K0.6389.78N/AN/A3,0111,90112,6835,641
2016-05-04$18.33$16.0050.3%14.4%46.9%45.8%52.8%7.9%-3.9%280.5K-9.1M-44.0K0.6195.08N/AN/A3,1171,90612,7595,651
2016-05-05$18.33$19.0048.3%13.3%46.8%42.0%46.7%7.2%-1.5%283.6K-9.3M-42.8K0.6289.33N/AN/A3,0731,90612,7005,656
2016-05-06$18.24$17.0047.3%13.3%46.9%40.1%46.5%5.9%0.9%288.3K-8.8M-42.0K0.4477.18N/AN/A3,0241,33112,7005,656
2016-05-09$18.60$17.0048.6%13.0%43.8%42.6%48.4%4.0%-0.1%259.7K-9.9M-41.6K0.3988.45N/AN/A2,7771,09412,5205,869
2016-05-10$18.61$17.0047.4%12.9%43.8%40.3%45.8%5.1%-0.5%266.8K-10.1M-39.5K0.3880.50N/AN/A2,8401,08612,5205,869
2016-05-11$18.56$17.0044.6%12.8%42.2%34.9%46.0%3.0%0.1%269.0K-10.1M-38.8K0.4893.93N/AN/A2,2471,08612,5855,869
2016-05-12$18.44$17.0045.8%13.1%38.7%37.3%49.0%6.9%-1.1%261.8K-9.7M-38.7K0.4884.49N/AN/A2,2671,08612,5855,869
2016-05-13$18.50$17.0044.7%12.8%38.4%35.1%45.6%3.5%-0.9%267.0K-9.8M-37.7K0.4791.07N/AN/A2,3061,08312,6635,869
2016-05-16$18.68$18.0043.5%12.5%36.4%32.8%41.7%2.5%1.1%275.8K-10.6M-36.9K0.4793.94N/AN/A2,3061,07412,7325,889
2016-05-17$18.70$18.0044.5%12.8%36.3%34.8%41.7%4.2%-0.5%277.4K-10.2M-36.3K0.4792.31N/AN/A2,3041,07412,7325,890
2016-05-18$18.96$20.0041.4%11.9%36.3%29.0%40.8%2.9%1.2%255.0K-11.2M-35.8K0.8692.92N/AN/A1,5591,34612,8856,090
2016-05-19$18.70$20.0044.5%12.8%35.6%34.9%40.0%1.7%-2.4%267.4K-10.2M-35.4K0.9391.40N/AN/A1,5591,44612,8836,190
2016-05-20$18.90$20.0043.5%12.5%34.8%32.9%38.6%5.7%-1.7%225.0K-9.9M-34.1K0.7288.92N/AN/A2,0231,46012,8836,290
2016-05-23$18.55$20.0041.8%12.0%33.3%29.7%42.2%2.5%0.9%208.3K-5.5M-33.6K0.6684.92N/AN/A1,6591,0909,6365,489
2016-05-24$18.59$20.0042.2%12.1%32.6%30.4%31.1%9.3%-0.2%220.2K-5.4M-32.9K0.66108.45N/AN/A1,6621,0909,6365,490
2016-05-25$19.21$20.0041.6%11.9%34.1%29.3%44.0%4.5%-1.1%253.1K-7.3M-32.1K0.6489.77N/AN/A1,7001,0909,6465,490
2016-05-26$19.62$20.0041.2%11.8%30.0%28.6%41.2%7.3%0.8%255.9K-8.3M-34.0K0.56105.03N/AN/A1,9551,0909,6855,490
2016-05-27$19.76$20.0040.4%11.6%26.7%26.9%41.1%8.9%0.8%293.1K-8.8M-33.7K0.6595.20N/AN/A1,6831,0909,9515,491
2016-05-31$19.75$20.0043.4%12.5%25.7%32.8%41.0%6.7%-0.0%302.8K-9.1M-31.3K0.3991.58N/AN/A1,6756549,9825,492