RNG Options History — November 2016

In November 2016, RNG traded between $19.70 and $23.83. ATM implied volatility averaged 36.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.9% (HV 20d: 41.7%). Max pain ranged from $18.00 to $25.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-11-01: Highest Volume — 3,493 contracts
  • 2016-11-09: Largest IV drop — 13.2% change
  • 2016-11-07: Highest IV Rank — 23.5%
  • 2016-11-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.78$19.70$23.83$20.18$21.48
Max Pain$23.24$18.00$25.00$22.00$25.00
ATM IV36.8%31.8%42.0%40.3%37.9%
Expected Move10.4%9.1%11.6%11.6%10.9%
HV 20d41.7%36.5%46.2%40.1%42.6%
HV 60d31.6%28.6%36.5%28.6%36.5%
IV Rank12.6%2.2%23.5%19.9%14.8%
IV Percentile15.2%0.4%31.7%20.6%21.4%
Term Structure-1.2%-3.3%2.0%-2.3%-3.3%
VWIV36.3%30.4%41.3%40.1%41.3%
Skew 25d5.4%2.5%9.4%7.0%4.8%
Skew 10d13.6%-0.0%23.3%13.1%9.0%
Call IV 25d35.4%32.1%39.9%39.6%36.2%
Put IV 25d40.8%36.2%46.8%46.6%40.9%
Bid-Ask Spread %87.4466.56102.0089.9092.17
Gamma HHI0.260.190.350.320.30
Net GEX-54.3K-186.9K266.1K-151.3K-65.9K
Net DEX1.3M-2.6M6.4M5.1M1.5M
Net VEX-11.7K-13.1K-10.0K-12.5K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.311.210.371.14
Total Volume2,370.3819573,4933,4931,062
Total OI6,519.7624,0158,1747,4385,109

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$20.18$22.0040.3%11.6%40.1%19.9%40.1%7.0%-2.3%-151.3K5.1M-12.5K0.3789.90N/AN/A2,5469473,0634,375
2016-11-02$20.02$22.0040.4%11.6%38.2%20.0%41.1%7.5%-2.9%-152.1K5.8M-11.6K0.3486.62N/AN/A2,5498683,0764,531
2016-11-03$19.70$18.0040.7%10.9%38.3%20.7%37.9%2.5%-0.8%-186.9K6.4M-12.1K0.6681.36N/AN/A1,8721,2423,0905,084
2016-11-04$19.98$20.0039.9%11.0%38.9%19.1%37.7%5.2%-1.2%-130.1K3.5M-12.1K0.5281.37N/AN/A1,8339463,0973,754
2016-11-07$20.63$20.0042.0%10.4%41.2%23.5%36.9%4.9%-0.8%-145.5K3.0M-11.7K0.6266.56N/AN/A1,8431,1463,1113,767
2016-11-08$20.90$22.0040.5%10.3%40.7%20.2%35.6%4.8%-0.6%-153.0K2.6M-12.3K0.4077.03N/AN/A1,8627413,1213,967
2016-11-09$21.05$22.0035.1%10.1%40.4%9.1%35.3%6.0%2.0%-168.1K2.7M-12.6K0.4078.91N/AN/A1,8717413,1944,067
2016-11-10$21.68$22.0037.5%10.7%40.8%14.0%38.6%4.0%-3.1%-138.9K1.3M-12.6K0.4084.14N/AN/A1,8717413,1994,067
2016-11-11$22.50$22.0037.2%10.7%42.8%13.5%39.4%9.3%-0.2%-64.1K-72.1K-11.7K0.3195.36N/AN/A2,3977413,1994,067
2016-11-14$22.60$24.0035.4%10.1%42.4%9.6%37.0%7.4%-1.6%-30.8K-402.5K-11.3K0.5488.67N/AN/A1,5618433,1604,167
2016-11-15$23.40$24.0034.0%9.8%43.6%6.8%38.4%6.2%1.0%134.6K-2.0M-10.0K0.5987.46N/AN/A1,7671,0463,1874,091
2016-11-16$23.83$25.0033.7%9.7%43.6%6.2%36.8%4.1%0.6%266.1K-2.6M-10.9K0.4988.02N/AN/A2,1341,0463,3654,291
2016-11-17$22.95$25.0035.7%10.2%46.1%10.3%36.9%3.9%-1.1%19.5K-1.4M-11.4K0.4986.78N/AN/A2,1441,0573,6794,219
2016-11-18$22.75$25.0034.9%10.0%46.2%8.6%34.9%3.1%-1.1%-35.8K-946.3K-11.1K0.4986.28N/AN/A2,1441,0573,1274,230
2016-11-21$22.70$25.0034.3%9.8%44.3%7.3%30.4%4.8%-0.4%-33.7K407.6K-10.7K0.5783.98N/AN/A9505451,5232,492
2016-11-22$22.10$25.0034.2%9.8%45.3%7.2%31.1%4.8%-1.6%-26.1K747.0K-11.8K0.4387.71N/AN/A1,1154782,1702,502
2016-11-23$22.85$25.0031.8%9.1%41.8%2.2%32.2%3.0%0.1%1.7K-260.1K-13.1K1.00101.92N/AN/A4794782,3352,558
2016-11-25$23.00$25.0034.0%9.8%36.5%6.8%32.8%5.1%-2.7%11.6K-375.9K-12.9K1.0097.08N/AN/A4794782,3362,559
2016-11-28$22.15$25.0036.3%10.4%38.9%11.6%30.6%4.8%-2.2%-26.9K511.5K-11.9K1.2192.93N/AN/A4795812,3362,560
2016-11-29$20.98$25.0037.3%10.7%43.4%13.7%36.2%9.4%-2.4%-65.4K1.9M-11.2K1.12102.00N/AN/A5175812,3362,754
2016-11-30$21.48$25.0037.9%10.9%42.6%14.8%41.3%4.8%-3.3%-65.9K1.5M-11.0K1.1492.17N/AN/A4965662,3492,760