RNG Options History — June 2016

In June 2016, RNG traded between $19.25 and $20.83. ATM implied volatility averaged 42.9%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 20.2% (HV 20d: 22.7%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2016-06-07: Highest Volume — 4,770 contracts
  • 2016-06-27: Largest IV spike — 20.5% change
  • 2016-06-27: Highest IV Rank — 54.2%
  • 2016-06-27: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.27$19.25$20.83$19.81$19.74
Max Pain$16.18$16.00$20.00$20.00$16.00
ATM IV42.9%38.8%55.0%42.6%38.8%
Expected Move12.2%11.1%15.8%12.2%11.1%
HV 20d22.7%19.3%29.0%21.4%28.4%
HV 60d36.2%32.3%49.5%49.5%33.2%
IV Rank30.4%18.2%54.2%31.3%18.2%
IV Percentile26.8%6.7%74.6%27.4%6.7%
Term Structure4.6%-1.0%10.9%-1.0%10.9%
VWIV42.1%36.3%49.1%40.8%37.1%
Skew 25d5.3%-1.1%9.7%9.7%-0.2%
Skew 10d17.3%-13.3%30.5%6.8%5.4%
Call IV 25d42.3%36.0%53.5%42.5%43.2%
Put IV 25d47.6%43.0%58.0%52.2%43.0%
Bid-Ask Spread %100.9691.66110.11110.11107.81
Gamma HHI0.250.200.390.360.28
Net GEX231.8K195.2K345.9K307.3K244.4K
Net DEX-9.4M-11.2M-6.5M-9.1M-7.5M
Net VEX-22.9K-32.0K-16.8K-32.0K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.160.670.390.29
Total Volume2,793.6361,8074,7702,3282,809
Total OI14,209.36413,44115,51215,51213,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$19.81$20.0042.6%12.2%21.4%31.3%40.8%9.7%-1.0%307.3K-9.1M-32.0K0.39110.11N/AN/A1,6756539,9825,530
2016-06-02$20.12$16.0042.3%11.3%19.3%30.5%49.1%8.1%6.0%301.8K-9.7M-31.5K0.3997.42N/AN/A1,6756539,9825,530
2016-06-03$19.84$16.0040.6%11.5%20.3%27.4%45.2%-1.1%4.9%345.9K-9.4M-28.8K0.2197.68N/AN/A3,1656709,9825,530
2016-06-06$20.20$16.0043.5%11.9%20.6%32.9%42.0%6.5%4.3%238.1K-9.5M-26.9K0.2191.66N/AN/A3,2386709,0325,544
2016-06-07$20.66$16.0039.9%11.4%20.9%24.8%40.5%6.8%4.5%198.9K-10.5M-24.2K0.1698.41N/AN/A4,1006708,5775,544
2016-06-08$20.78$16.0039.5%11.3%20.9%24.0%40.8%7.1%4.2%230.8K-11.2M-25.2K0.1892.56N/AN/A3,7466709,0935,543
2016-06-09$20.54$16.0040.2%11.5%21.5%25.5%40.9%3.9%3.8%220.4K-10.2M-24.5K0.1998.37N/AN/A3,5086708,7785,543
2016-06-10$20.35$16.0042.3%12.1%21.8%29.5%42.4%6.6%3.2%217.7K-9.4M-24.9K0.24100.47N/AN/A1,4923648,7755,543
2016-06-13$20.36$16.0043.9%12.6%21.8%32.7%43.6%2.9%2.7%216.9K-9.9M-23.2K0.53100.07N/AN/A1,4677808,7755,553
2016-06-14$20.66$16.0042.8%12.3%22.0%30.5%45.4%6.9%3.4%235.4K-10.3M-22.7K0.65101.42N/AN/A1,4989808,7765,477
2016-06-15$20.83$16.0043.3%12.4%22.0%31.4%45.6%9.6%3.3%207.5K-10.6M-23.9K0.67106.84N/AN/A1,4709808,7465,677
2016-06-16$20.82$16.0041.2%11.8%21.9%27.4%43.1%5.1%4.7%228.7K-10.6M-21.7K0.6098.12N/AN/A1,4698808,7775,677
2016-06-17$20.57$16.0041.9%12.0%21.7%28.8%39.4%2.9%4.4%195.6K-10.2M-22.3K0.5199.10N/AN/A1,7398878,7685,777
2016-06-20$20.67$16.0042.8%12.3%21.6%30.4%41.4%4.9%3.4%195.2K-9.8M-21.2K0.31101.03N/AN/A1,4084378,1545,287
2016-06-21$20.53$16.0042.2%12.1%20.3%29.4%39.0%4.1%6.1%217.0K-9.8M-19.9K0.31101.36N/AN/A1,4084378,2265,287
2016-06-22$20.25$16.0043.5%12.5%21.3%31.9%41.8%3.5%7.4%217.3K-9.1M-20.1K0.31108.76N/AN/A1,4074378,2265,287
2016-06-23$20.82$16.0039.4%11.3%20.5%23.9%42.3%6.2%9.3%228.9K-10.1M-19.1K0.32105.04N/AN/A1,3704378,2265,287
2016-06-24$19.99$16.0045.7%13.1%24.9%36.1%45.2%6.2%4.6%215.1K-8.6M-19.6K0.34102.10N/AN/A2,1717398,2255,287
2016-06-27$19.25$16.0055.0%15.8%28.3%54.2%43.8%4.6%0.6%197.6K-6.5M-18.7K0.34104.88N/AN/A2,1717408,2375,396
2016-06-28$19.40$16.0051.2%14.7%28.5%43.7%41.5%5.9%1.7%203.7K-6.7M-19.1K0.3499.59N/AN/A2,1717408,2375,396
2016-06-29$19.69$16.0041.6%11.9%29.0%23.9%36.3%7.0%8.3%234.6K-7.4M-18.1K0.2998.34N/AN/A2,1716388,2375,396
2016-06-30$19.74$16.0038.8%11.1%28.4%18.2%37.1%-0.2%10.9%244.4K-7.5M-16.8K0.29107.81N/AN/A2,1716388,2375,467