RNG Options History — August 2016

In August 2016, RNG traded between $22.07 and $24.15. ATM implied volatility averaged 39.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.9% (HV 20d: 25.7%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-08-31: Highest Volume — 4,981 contracts
  • 2016-08-05: Largest IV drop — 23.1% change
  • 2016-08-03: Highest IV Rank — 60.1%
  • 2016-08-03: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$22.07$24.15$23.21$22.07
Max Pain$22.61$20.00$23.00$23.00$23.00
ATM IV39.6%32.5%59.2%55.4%32.5%
Expected Move11.2%9.3%17.0%15.9%9.3%
HV 20d25.7%19.6%28.7%28.4%24.4%
HV 60d27.8%26.0%28.8%26.0%27.4%
IV Rank13.2%0.0%60.1%52.3%0.0%
IV Percentile15.0%0.0%85.7%76.6%0.0%
Term Structure-0.2%-12.1%6.9%-9.4%2.7%
VWIV39.1%28.9%61.6%56.8%30.7%
Skew 25d5.7%1.5%24.5%4.5%1.5%
Skew 10d10.9%-7.9%46.2%46.2%-6.8%
Call IV 25d37.6%29.2%59.2%55.7%33.6%
Put IV 25d43.3%35.1%65.4%60.1%35.1%
Bid-Ask Spread %90.8974.23133.1188.75122.00
Gamma HHI0.260.210.540.210.25
Net GEX222.4K-28.5K601.7K190.6K-28.5K
Net DEX-4.6M-9.8M-1.0M-6.1M-1.0M
Net VEX-21.1K-24.6K-18.1K-21.0K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.007.270.231.56
Total Volume2,510.21714,9811,0564,981
Total OI9,348.1746,74011,3757,2017,803

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$23.21$23.0055.4%15.9%28.4%52.3%56.8%4.5%-9.4%190.6K-6.1M-21.0K0.2388.75N/AN/A8611955,4141,787
2016-08-02$22.88$23.0056.3%16.1%28.5%54.0%56.2%8.6%-10.6%207.8K-5.8M-20.6K0.1981.60N/AN/A1,0041955,6201,787
2016-08-03$23.29$23.0059.2%17.0%28.7%60.1%61.6%6.2%-12.1%208.3K-6.2M-21.0K0.7875.97N/AN/A2,5551,9855,5851,787
2016-08-04$24.15$20.0048.5%11.5%27.4%38.1%42.3%5.8%-0.8%402.2K-9.8M-24.6K0.4177.56N/AN/A1,8407487,2843,585
2016-08-05$24.02$20.0037.3%10.8%19.6%15.1%49.4%4.1%2.4%435.0K-9.2M-23.1K1.1883.17N/AN/A6327486,9563,495
2016-08-08$23.14$20.0040.5%10.8%24.7%21.7%38.0%5.7%0.6%368.5K-6.8M-21.8K1.8676.35N/AN/A1,1022,0496,9013,495
2016-08-09$23.21$23.0039.7%10.4%24.6%8.7%36.4%5.5%1.9%335.7K-5.5M-23.7K2.2374.23N/AN/A8431,8846,7264,302
2016-08-10$23.29$23.0036.3%10.4%24.6%0.6%35.9%5.3%1.7%393.5K-5.8M-22.8K2.1277.65N/AN/A8431,7856,7304,279
2016-08-11$23.56$23.0035.9%10.3%24.8%0.0%38.1%5.6%0.9%438.2K-6.5M-22.1K2.2078.25N/AN/A8341,8356,7294,278
2016-08-12$23.20$23.0036.6%10.5%25.7%1.6%36.8%3.9%2.2%396.1K-5.3M-21.3K1.9684.20N/AN/A9341,8356,7504,328
2016-08-15$23.38$23.0038.3%11.0%25.7%5.7%37.8%6.7%0.2%448.3K-6.0M-20.9K2.7080.46N/AN/A6851,8506,8504,328
2016-08-16$22.85$23.0038.6%11.1%27.3%6.3%40.2%4.8%1.9%375.4K-4.5M-19.6K2.8483.91N/AN/A6851,9476,8494,348
2016-08-17$22.93$23.0043.1%12.3%26.7%16.8%0.0%6.8%-6.0%408.6K-4.0M-19.5K0.00101.36N/AN/A1006,8344,445
2016-08-18$22.96$23.0039.2%11.2%26.0%7.7%0.0%4.8%-0.9%601.7K-4.2M-18.9K7.2790.88N/AN/A11806,8444,445
2016-08-19$23.08$23.0038.7%11.1%24.5%6.6%37.6%2.8%-1.8%-7.9K-5.9M-18.1K3.7194.18N/AN/A6452,3916,8504,525
2016-08-22$22.89$23.0033.8%9.7%24.7%0.0%33.6%2.5%1.9%-27.4K-2.3M-19.4K2.1097.55N/AN/A8841,8533,4333,307
2016-08-23$22.91$23.0032.8%9.4%24.7%0.0%32.2%7.8%1.8%17.6K-2.6M-20.3K0.7998.89N/AN/A2,2571,7884,0233,307
2016-08-24$22.31$23.0032.8%9.4%26.3%0.2%0.0%1.9%2.3%-3.7K-1.9M-22.1K0.0095.75N/AN/A104,3053,494
2016-08-25$22.43$23.0034.1%9.8%26.1%3.0%31.6%6.3%1.7%-6.8K-1.6M-22.0K1.23103.03N/AN/A1,4541,7884,3063,494
2016-08-26$22.36$23.0033.8%9.7%26.1%2.2%28.9%24.5%6.9%-11.1K-1.7M-22.2K1.23133.11N/AN/A1,4541,7884,3063,494
2016-08-29$22.28$23.0033.1%9.5%25.8%0.8%29.2%2.7%3.7%-16.5K-1.4M-20.6K1.2395.45N/AN/A1,4541,7884,3063,494
2016-08-30$22.24$23.0033.6%9.6%25.4%1.9%28.9%4.0%3.0%-9.7K-1.5M-20.1K1.2496.27N/AN/A1,4461,7884,3063,494
2016-08-31$22.07$23.0032.5%9.3%24.4%0.0%30.7%1.5%2.7%-28.5K-1.0M-19.5K1.56122.00N/AN/A1,9463,0354,3093,494