RNG Options History — December 2016

In December 2016, RNG traded between $20.55 and $23.33. ATM implied volatility averaged 38.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 6.5% (HV 20d: 44.8%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-12-09: Highest Volume — 2,869 contracts
  • 2016-12-14: Largest IV drop — 34.1% change
  • 2016-12-13: Highest IV Rank — 49.2%
  • 2016-12-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.69$20.55$23.33$21.05$20.60
Max Pain$21.33$21.00$25.00$25.00$22.00
ATM IV38.3%35.1%54.4%37.4%40.8%
Expected Move10.4%9.7%11.7%10.7%11.7%
HV 20d44.8%37.5%49.9%43.2%37.5%
HV 60d39.3%36.7%40.5%36.7%39.6%
IV Rank15.7%9.1%49.2%13.9%21.0%
IV Percentile25.3%13.5%80.2%20.6%36.9%
Term Structure3.5%-2.4%8.3%-2.4%3.5%
VWIV37.4%35.4%42.1%41.9%42.1%
Skew 25d4.5%2.4%7.4%7.4%2.4%
Skew 10d8.0%-14.5%27.2%-14.5%27.2%
Call IV 25d35.6%31.8%41.5%40.0%41.5%
Put IV 25d40.1%36.7%47.4%47.4%43.8%
Bid-Ask Spread %90.4681.13101.2599.94101.25
Gamma HHI0.250.220.330.330.28
Net GEX36.7K-81.6K171.0K-81.6K-75.7K
Net DEX-70.9K-1.9M2.1M1.9M1.9M
Net VEX-10.5K-12.8K-8.3K-10.5K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.284.181.731.21
Total Volume1,510.0485802,8692,7321,337
Total OI5,720.7145,0706,6595,0706,538

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$21.05$25.0037.4%10.7%43.2%13.9%41.9%7.4%-2.4%-81.6K1.9M-10.5K1.7399.94N/AN/A1,0021,7302,3092,761
2016-12-02$20.55$23.0036.8%10.5%43.8%12.5%39.1%5.5%-2.0%-48.5K2.1M-9.2K2.08101.15N/AN/A8401,7462,7532,590
2016-12-05$21.85$21.0036.6%9.7%48.4%12.3%35.6%3.6%4.0%17.6K793.2K-10.1K4.0789.60N/AN/A4331,7622,7502,551
2016-12-06$21.80$21.0038.5%9.8%47.4%16.1%36.4%4.1%3.5%11.9K639.4K-10.5K4.0782.11N/AN/A4331,7622,7502,601
2016-12-07$22.38$21.0037.4%9.8%48.0%13.9%36.1%5.9%3.9%46.2K-88.9K-10.9K4.1888.03N/AN/A4121,7232,7502,595
2016-12-08$23.33$21.0036.4%9.7%49.9%11.7%37.3%4.6%2.8%56.7K-1.3M-11.3K3.5282.06N/AN/A4921,7342,7822,598
2016-12-09$23.00$21.0037.5%9.9%49.4%14.0%37.2%5.1%3.0%69.8K-1.5M-11.1K1.5585.03N/AN/A1,1261,7432,9972,618
2016-12-12$22.85$21.0042.4%9.9%47.8%24.2%36.9%4.1%3.5%111.6K-1.9M-12.3K0.7587.67N/AN/A7925923,5632,648
2016-12-13$22.50$21.0054.4%10.1%48.2%49.2%35.9%3.6%2.3%134.7K-1.8M-12.8K0.7485.31N/AN/A8005923,8592,673
2016-12-14$22.00$21.0035.8%10.3%46.9%10.5%36.4%4.6%2.6%135.0K-681.0K-11.9K0.78100.51N/AN/A7856133,8392,669
2016-12-15$21.95$21.0036.7%10.5%46.2%12.5%35.9%3.2%3.9%171.0K-762.7K-12.1K1.1285.18N/AN/A5566203,8792,694
2016-12-16$21.60$21.0036.6%10.5%44.8%12.3%37.4%5.6%4.0%48.1K393.4K-11.6K1.1498.96N/AN/A5616383,9612,698
2016-12-19$21.75$21.0035.1%10.1%44.9%9.1%35.4%3.8%4.6%58.0K-955.4K-11.1K0.4199.21N/AN/A5452223,4432,025
2016-12-20$21.65$21.0035.1%10.1%44.9%9.1%36.0%4.9%5.1%48.1K-659.5K-10.4K0.6281.13N/AN/A3582223,4712,025
2016-12-21$21.15$21.0036.1%10.4%44.6%11.2%35.8%5.3%4.3%21.3K-199.2K-10.6K0.3983.49N/AN/A5382113,4912,040
2016-12-22$20.85$21.0036.6%10.5%42.8%12.1%36.6%3.8%5.9%-5.3K408.0K-9.1K0.3784.08N/AN/A5692113,3552,040
2016-12-23$21.15$21.0038.0%10.9%43.1%15.2%37.3%4.5%8.3%6.9K234.9K-9.1K0.3791.56N/AN/A5692113,3612,040
2016-12-27$21.60$21.0036.2%10.4%42.1%11.3%37.6%3.8%4.8%41.0K-531.9K-9.3K0.3786.63N/AN/A5692113,3612,040
2016-12-28$20.93$21.0039.2%11.2%39.0%17.7%38.6%5.3%3.3%778311.3K-8.3K0.2891.80N/AN/A6471833,3612,042
2016-12-29$20.85$21.0040.1%11.5%37.9%19.5%40.0%4.1%4.0%3.1K281.0K-8.3K2.2594.87N/AN/A4991,1223,5722,042
2016-12-30$20.60$22.0040.8%11.7%37.5%21.0%42.1%2.4%3.5%-75.7K1.9M-9.0K1.21101.25N/AN/A6057323,6482,890