RNG Options History — October 2016

In October 2016, RNG traded between $20.33 and $24.13. ATM implied volatility averaged 40.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 12.5% (HV 20d: 28.0%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-10-25: Highest Volume — 3,341 contracts
  • 2016-10-12: Largest IV spike — 29.0% change
  • 2016-10-25: Highest IV Rank — 39.9%
  • 2016-10-25: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$20.33$24.13$23.88$20.80
Max Pain$21.38$20.00$22.00$20.00$22.00
ATM IV40.5%32.2%49.9%33.4%36.7%
Expected Move12.1%9.5%14.3%9.6%10.5%
HV 20d28.0%21.0%39.9%21.0%39.9%
HV 60d24.6%21.0%29.5%21.0%29.0%
IV Rank20.4%3.0%39.9%5.6%12.3%
IV Percentile29.3%0.8%63.9%5.2%14.3%
Term Structure-3.7%-8.6%9.6%7.5%-1.8%
VWIV44.6%33.3%51.4%33.3%36.9%
Skew 25d4.7%2.4%7.0%2.4%5.7%
Skew 10d10.3%-6.4%29.1%9.7%12.0%
Call IV 25d42.4%33.9%49.1%34.0%37.2%
Put IV 25d47.1%36.4%54.5%36.4%42.9%
Bid-Ask Spread %82.4464.45109.51109.5191.51
Gamma HHI0.270.180.370.300.36
Net GEX26.2K-182.1K249.9K205.8K-182.1K
Net DEX-700.9K-5.7M4.4M-4.9M4.3M
Net VEX-14.6K-20.4K-10.7K-14.7K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.103.140.460.10
Total Volume2,112.4291,0493,3412,2593,321
Total OI6,846.4763,6178,2205,8237,416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$23.88$20.0033.4%9.6%21.0%5.6%33.3%2.4%7.5%205.8K-4.9M-14.7K0.46109.51N/AN/A1,5467134,3341,489
2016-10-04$24.13$20.0033.1%9.5%21.1%4.8%34.9%4.1%9.6%249.9K-5.7M-15.5K0.5398.57N/AN/A1,2696744,6251,489
2016-10-05$23.14$20.0034.8%10.0%26.6%8.3%44.2%6.4%7.8%197.8K-3.6M-14.1K1.10108.98N/AN/A7007734,5971,549
2016-10-06$22.90$22.0033.6%12.1%26.9%5.9%46.2%6.2%-4.8%173.6K-3.4M-14.5K1.1675.04N/AN/A6677734,7371,649
2016-10-07$22.54$22.0032.2%12.0%25.6%3.0%45.2%6.9%-5.7%137.7K-2.7M-13.2K1.1482.47N/AN/A6777734,7371,649
2016-10-10$22.42$22.0036.3%12.5%25.4%11.5%45.9%5.4%-7.1%120.9K-2.2M-11.3K1.2681.79N/AN/A6147734,7211,649
2016-10-11$21.81$22.0034.2%12.2%27.3%7.1%46.2%5.8%-4.3%80.2K-1.6M-10.9K1.2682.39N/AN/A6127694,7191,649
2016-10-12$22.12$22.0044.1%12.6%27.7%27.8%46.9%3.1%-7.2%72.6K-1.8M-10.7K3.1484.20N/AN/A6121,9244,7171,654
2016-10-13$21.53$22.0044.5%12.8%25.6%28.7%46.6%3.3%-6.9%22.6K-274.9K-15.1K3.1166.11N/AN/A6181,9244,7172,814
2016-10-14$21.57$21.0044.2%12.7%24.7%28.0%46.9%3.8%-5.3%17.8K-317.7K-14.8K3.1180.82N/AN/A6181,9244,7272,814
2016-10-17$21.28$21.0048.7%14.0%24.8%37.5%51.0%3.7%-8.0%-32.3K92.7K-13.7K2.4283.81N/AN/A6201,4984,7312,814
2016-10-18$21.68$21.0046.5%13.3%25.9%32.9%48.7%7.0%-8.1%-28.0K-110.8K-13.4K2.4275.18N/AN/A6201,4984,7192,818
2016-10-19$22.05$21.0046.1%13.2%25.3%32.1%47.3%3.2%-7.9%-20.5K-436.7K-13.6K0.6971.04N/AN/A6254294,7192,818
2016-10-20$22.13$21.0047.3%13.6%25.1%34.5%49.2%5.5%-8.5%-4.9K-324.6K-13.7K0.9068.99N/AN/A5524974,6792,862
2016-10-21$22.18$21.0047.0%13.5%25.2%34.0%47.3%2.7%-7.8%-20.1K-408.0K-13.6K0.6664.45N/AN/A7534974,6922,904
2016-10-24$23.00$21.0049.5%14.2%28.8%39.0%51.3%5.6%-8.6%7.6K-516.8K-14.3K0.7971.33N/AN/A1,6111,2751,7901,827
2016-10-25$23.05$22.0049.9%14.3%28.7%39.9%51.4%6.6%-7.6%14.0K-1.2M-19.2K1.1367.54N/AN/A1,5721,7693,0722,947
2016-10-26$21.75$22.0035.7%10.2%34.9%10.3%43.0%3.9%-0.9%-170.2K2.0M-20.4K0.1582.38N/AN/A2,1543333,1454,423
2016-10-27$20.65$22.0036.2%10.4%38.8%11.4%37.9%5.3%-0.2%-152.0K3.9M-18.0K0.1394.92N/AN/A2,2082773,7744,370
2016-10-28$20.33$22.0037.4%10.7%38.7%13.9%35.7%2.5%-1.7%-140.2K4.4M-16.9K0.1090.24N/AN/A3,0112883,8454,375
2016-10-31$20.80$22.0036.7%10.5%39.9%12.3%36.9%5.7%-1.8%-182.1K4.3M-14.1K0.1091.51N/AN/A3,0332883,0414,375