RNG Options History — September 2016

In September 2016, RNG traded between $21.74 and $23.79. ATM implied volatility averaged 35.7%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 15.6% (HV 20d: 20.1%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2016-09-01: Highest Volume — 4,981 contracts
  • 2016-09-14: Largest IV drop — 26.7% change
  • 2016-09-13: Highest IV Rank — 42.3%
  • 2016-09-13: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.93$21.74$23.79$22.08$23.70
Max Pain$19.48$19.00$23.00$23.00$20.00
ATM IV35.7%30.8%51.0%30.8%32.7%
Expected Move9.9%8.8%10.9%8.8%9.4%
HV 20d20.1%16.4%23.7%19.7%21.4%
HV 60d26.9%24.2%28.7%27.4%24.2%
IV Rank10.3%0.0%42.3%0.0%4.1%
IV Percentile7.5%0.0%61.5%0.0%2.4%
Term Structure5.3%0.9%10.3%2.0%6.5%
VWIV34.3%31.1%39.1%33.6%32.2%
Skew 25d5.8%2.6%14.5%5.1%3.0%
Skew 10d14.3%-5.1%35.3%-5.1%18.4%
Call IV 25d33.4%25.0%38.7%31.4%33.1%
Put IV 25d39.2%35.8%49.0%36.5%36.1%
Bid-Ask Spread %102.2793.32117.77104.05107.11
Gamma HHI0.310.250.400.270.30
Net GEX136.4K73.2K204.2K73.2K194.3K
Net DEX-3.2M-6.3M-752.4K-1.4M-4.5M
Net VEX-16.4K-19.5K-15.0K-19.5K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.322.201.560.59
Total Volume3,440.8571,8914,9814,9811,914
Total OI6,514.7624,8087,8097,2385,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$22.08$23.0030.8%8.8%19.7%0.0%33.6%5.1%2.0%73.2K-1.4M-19.5K1.56104.05N/AN/A1,9463,0354,8692,369
2016-09-02$22.41$23.0032.7%9.4%20.8%4.0%34.9%14.5%0.9%100.0K-2.1M-19.5K1.60117.77N/AN/A1,8973,0354,8692,369
2016-09-06$22.35$19.0039.8%10.1%16.6%18.8%34.4%3.9%3.4%78.6K-1.9M-18.3K1.7494.39N/AN/A1,7473,0354,8662,369
2016-09-07$22.37$19.0035.9%9.9%16.5%10.7%34.6%2.6%4.0%127.0K-2.1M-18.7K2.2098.40N/AN/A1,3793,0355,2162,369
2016-09-08$22.35$19.0034.7%9.9%16.4%8.2%35.1%2.9%3.4%117.4K-1.9M-18.2K2.20100.23N/AN/A1,3793,0355,2192,369
2016-09-09$21.74$19.0042.2%10.6%17.9%23.8%35.2%3.6%3.3%92.9K-752.4K-16.5K2.2093.98N/AN/A1,3793,0355,2192,369
2016-09-12$22.00$19.0040.8%10.8%18.2%20.9%36.8%4.6%2.1%98.2K-960.8K-15.7K2.1393.32N/AN/A1,4223,0355,2192,356
2016-09-13$21.97$19.0051.0%10.9%17.8%42.3%36.7%3.2%2.3%106.1K-957.5K-15.9K2.1493.71N/AN/A1,4213,0355,2792,356
2016-09-14$22.12$19.0037.4%10.7%16.5%13.9%36.8%8.4%1.8%96.0K-885.3K-15.5K2.1196.67N/AN/A1,4393,0355,3062,356
2016-09-15$22.95$19.0036.0%10.3%21.4%10.9%35.8%6.1%3.9%76.4K-2.9M-16.2K2.01101.69N/AN/A1,5103,0355,3062,356
2016-09-16$23.33$19.0035.5%10.2%22.2%9.9%32.9%8.5%3.5%126.6K-6.3M-15.9K2.1798.76N/AN/A1,4023,0365,4532,356
2016-09-19$23.39$19.0036.5%10.5%22.1%11.9%39.1%6.5%5.2%120.0K-4.2M-15.3K0.53110.60N/AN/A1,4137513,6011,207
2016-09-20$23.10$19.0034.4%9.9%22.4%7.6%37.7%6.5%10.0%127.4K-3.9M-15.1K0.46103.54N/AN/A1,4136523,6591,207
2016-09-21$23.62$19.0033.9%9.7%23.7%6.5%32.0%9.8%7.1%141.9K-4.4M-15.2K0.46114.53N/AN/A1,4066523,6591,207
2016-09-22$23.78$19.0032.8%9.4%21.3%4.3%31.5%5.2%9.8%201.3K-5.1M-16.3K0.32105.50N/AN/A2,0126524,2951,207
2016-09-23$23.63$19.0032.3%9.3%21.6%3.2%31.1%11.3%8.0%191.6K-4.9M-16.4K0.32100.20N/AN/A2,0126524,2951,207
2016-09-26$23.54$19.0032.9%9.4%21.6%4.5%33.5%4.3%9.3%204.2K-4.7M-15.5K0.3599.85N/AN/A2,0127124,2951,207
2016-09-27$23.71$19.0032.2%9.2%21.5%3.0%32.4%3.0%10.3%204.2K-4.8M-15.5K0.5899.48N/AN/A1,1996924,2951,327
2016-09-28$23.79$19.0033.2%9.5%21.4%5.1%32.0%4.4%6.8%198.9K-4.9M-15.3K0.60110.04N/AN/A1,1917124,3111,396
2016-09-29$23.61$20.0032.0%9.2%21.4%2.6%31.6%4.7%8.3%188.0K-4.5M-15.4K0.60103.80N/AN/A1,1917134,3221,487
2016-09-30$23.70$20.0032.7%9.4%21.4%4.1%32.2%3.0%6.5%194.3K-4.5M-15.0K0.59107.11N/AN/A1,2017134,3221,489