RNG Options History — July 2016

In July 2016, RNG traded between $19.41 and $23.18. ATM implied volatility averaged 49.1%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 15.8% (HV 20d: 33.3%). Max pain ranged from $16.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2016-07-11: Highest Volume — 5,025 contracts
  • 2016-07-05: Largest IV spike — 33.5% change
  • 2016-07-05: Highest IV Rank — 54.4%
  • 2016-07-28: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.84$19.41$23.18$19.68$23.01
Max Pain$21.75$16.00$23.00$16.00$23.00
ATM IV49.1%42.3%56.4%42.3%53.3%
Expected Move14.3%12.1%15.3%12.1%15.3%
HV 20d33.3%26.1%37.6%28.0%28.7%
HV 60d31.1%26.0%34.4%33.2%26.0%
IV Rank39.3%25.3%54.4%25.3%48.0%
IV Percentile52.1%21.8%80.2%21.8%67.5%
Term Structure-4.9%-9.2%9.3%9.3%-8.1%
VWIV51.0%39.6%58.0%39.6%57.6%
Skew 25d4.1%-2.2%6.5%-2.2%4.1%
Skew 10d23.8%-0.8%37.7%-0.8%21.6%
Call IV 25d50.5%44.3%53.9%44.3%53.5%
Put IV 25d54.6%42.1%57.6%42.1%57.6%
Bid-Ask Spread %77.0463.40107.06107.0678.27
Gamma HHI0.220.160.290.280.21
Net GEX159.7K91.9K259.3K238.4K192.3K
Net DEX-7.7M-13.6M-3.5M-7.4M-5.9M
Net VEX-19.0K-21.9K-14.0K-16.7K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.210.530.290.40
Total Volume2,175.156775,0252,816677
Total OI10,4475,69815,94813,7047,201

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$19.68$16.0042.3%12.1%28.0%25.3%39.6%-2.2%9.3%238.4K-7.4M-16.7K0.29107.06N/AN/A2,1786388,2375,467
2016-07-05$19.41$20.0056.4%15.0%27.5%54.4%52.6%4.9%-5.5%221.9K-6.8M-16.1K0.2976.87N/AN/A2,1786388,2435,467
2016-07-06$19.51$20.0045.0%14.1%26.1%30.9%48.8%6.1%-4.8%249.0K-6.7M-15.1K0.2971.58N/AN/A2,1786388,2435,431
2016-07-07$20.40$20.0047.6%14.5%31.0%36.3%49.5%6.5%-5.6%259.3K-9.2M-15.5K0.2963.40N/AN/A2,1916388,2435,431
2016-07-08$21.68$20.0043.5%14.0%37.6%27.8%50.7%4.3%-4.8%194.1K-12.6M-15.2K0.2266.25N/AN/A2,6655748,2405,431
2016-07-11$21.75$20.0048.3%14.0%37.4%37.7%49.9%6.5%-4.3%162.6K-12.7M-14.0K0.4563.63N/AN/A3,4651,5608,0865,451
2016-07-12$21.92$20.0043.0%14.1%37.4%26.8%49.2%5.1%-5.7%177.5K-13.6M-20.1K0.2973.20N/AN/A3,6691,0589,3896,473
2016-07-13$22.00$23.0048.8%14.0%37.2%38.8%48.7%5.3%-4.6%163.6K-13.0M-21.3K0.3471.13N/AN/A2,8659619,2736,655
2016-07-14$22.07$23.0048.9%14.0%37.1%38.8%50.1%2.4%-4.9%152.6K-13.4M-20.8K0.5371.91N/AN/A1,8669909,2746,654
2016-07-15$22.12$23.0048.6%13.9%37.1%38.3%47.8%1.8%-4.9%96.5K-13.6M-20.4K0.4276.48N/AN/A1,9138079,2846,664
2016-07-18$22.08$23.0049.9%14.3%36.7%40.9%51.8%3.1%-5.6%95.3K-3.6M-19.7K0.4385.70N/AN/A6192644,1131,585
2016-07-19$22.10$23.0049.1%14.1%36.7%39.4%52.7%5.4%-5.4%91.9K-3.5M-20.1K0.4287.36N/AN/A6252644,1391,736
2016-07-20$22.47$23.0049.2%14.1%36.8%39.6%53.1%4.6%-5.0%94.8K-3.7M-20.2K0.4388.54N/AN/A6122644,1491,736
2016-07-21$22.13$23.0050.2%14.4%36.9%41.7%52.4%4.4%-5.2%92.5K-3.6M-19.6K0.4475.55N/AN/A6122694,1501,736
2016-07-22$22.71$23.0047.1%13.5%36.8%35.2%49.2%3.6%-4.6%101.2K-4.0M-19.6K0.5079.21N/AN/A6123094,1501,741
2016-07-25$22.76$23.0051.2%14.7%32.7%43.6%52.0%3.8%-6.0%101.0K-4.3M-19.2K0.2173.84N/AN/A1,4523094,1451,781
2016-07-26$22.86$23.0053.2%15.3%28.3%47.8%53.2%3.3%-6.9%148.5K-5.1M-21.1K0.2177.23N/AN/A9451954,9491,781
2016-07-27$22.96$23.0052.7%15.1%28.3%46.7%52.9%3.4%-7.0%175.0K-5.7M-21.9K0.2179.27N/AN/A9241955,3121,787
2016-07-28$23.18$23.0053.5%15.3%28.2%48.4%58.0%5.4%-9.2%185.2K-5.9M-21.6K0.4074.35N/AN/A4911955,3261,787
2016-07-29$23.01$23.0053.3%15.3%28.7%48.0%57.6%4.1%-8.1%192.3K-5.9M-21.4K0.4078.27N/AN/A4821955,4141,787