RNG Options History — January 2017

In January 2017, RNG traded between $21.25 and $24.30. ATM implied volatility averaged 45.8%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 14.2% (HV 20d: 31.6%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-01-30: Highest Volume — 1,716 contracts
  • 2017-01-30: Largest IV spike — 12.2% change
  • 2017-01-30: Highest IV Rank — 46.8%
  • 2017-01-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.45$21.25$24.30$21.25$23.38
Max Pain$22.00$20.00$23.00$22.00$23.00
ATM IV45.8%38.7%53.2%43.0%52.7%
Expected Move13.4%11.5%15.3%12.3%15.1%
HV 20d31.6%27.7%38.1%38.1%35.9%
HV 60d39.7%37.5%41.0%40.1%38.7%
IV Rank31.3%16.5%46.8%25.5%45.9%
IV Percentile56.0%29.0%82.1%45.2%80.6%
Term Structure-4.6%-9.5%4.6%4.3%-6.6%
VWIV47.0%41.9%55.1%42.0%55.1%
Skew 25d4.8%1.8%7.1%1.8%3.3%
Skew 10d8.4%-4.9%21.5%-0.8%10.7%
Call IV 25d46.1%38.7%53.7%42.4%53.7%
Put IV 25d50.9%44.2%57.5%44.2%57.1%
Bid-Ask Spread %75.6954.3598.0198.0175.70
Gamma HHI0.300.210.490.250.21
Net GEX-18.1K-165.9K190.7K-80.7K190.7K
Net DEX-1.0M-4.2M1.2M1.2M-2.9M
Net VEX-7.2K-10.1K-3.7K-10.1K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.221.591.330.34
Total Volume1,201.29381,7161,3071,200
Total OI5,736.851,3698,0747,0823,839

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$21.25$22.0043.0%12.3%38.1%25.5%42.0%1.8%4.3%-80.7K1.2M-10.1K1.3398.01N/AN/A5607473,7423,340
2017-01-04$21.65$22.0040.0%11.5%31.8%19.3%41.9%6.2%4.6%-73.1K555.9K-9.9K1.5991.87N/AN/A4697473,7343,355
2017-01-05$21.25$20.0041.0%13.6%32.4%21.3%47.3%6.0%-4.9%-82.2K1.1M-9.5K1.4862.26N/AN/A4696953,7323,355
2017-01-06$21.78$20.0038.7%12.7%32.2%16.5%45.2%6.1%-3.4%-75.6K405.1K-9.1K1.4467.64N/AN/A4836943,7323,350
2017-01-09$21.60$20.0041.9%13.2%28.0%23.1%46.6%4.3%-4.1%-89.7K603.9K-8.1K1.4675.67N/AN/A4837033,7553,351
2017-01-10$21.65$20.0041.6%13.2%27.8%22.6%47.1%4.9%-5.4%-82.2K152.9K-8.0K0.9472.21N/AN/A4834563,8363,371
2017-01-11$21.93$20.0045.7%13.1%28.3%31.2%46.9%3.4%-4.8%-100.6K-346.5K-7.5K0.9554.35N/AN/A4824563,8363,581
2017-01-12$22.00$20.0045.4%13.0%27.9%30.5%45.9%5.8%-3.7%-117.1K-364.6K-7.0K1.2378.20N/AN/A4585643,8363,580
2017-01-13$22.45$23.0046.6%13.3%27.7%33.0%46.1%3.9%-4.1%-69.3K-1.6M-6.1K0.7479.38N/AN/A7585643,8363,634
2017-01-17$21.70$23.0049.1%14.1%30.4%38.2%47.3%5.5%-6.5%-165.9K77.7K-6.0K0.8679.84N/AN/A6565644,2273,634
2017-01-18$21.93$23.0047.8%13.7%30.0%35.5%47.3%5.5%-6.3%-129.7K-1.0M-5.6K1.1870.64N/AN/A4705534,4253,634
2017-01-19$21.95$23.0047.0%13.5%29.9%34.0%45.8%4.7%-6.5%-163.0K-811.2K-5.1K1.1872.99N/AN/A4705534,4363,638
2017-01-20$22.83$23.0045.2%13.0%32.9%30.1%47.7%6.4%-5.5%49.4K-4.2M-3.7K1.5985.40N/AN/A3755984,4363,638
2017-01-23$23.55$23.0046.2%13.3%32.8%32.3%46.3%7.1%-5.8%49.8K-1.5M-4.0K0.2273.22N/AN/A1,0542321,110259
2017-01-24$23.63$23.0046.9%13.4%32.0%33.7%47.6%3.8%-5.6%107.4K-2.3M-6.7K0.2268.28N/AN/A1,0622352,027269
2017-01-25$23.55$23.0047.8%13.7%32.0%35.5%48.5%3.2%-7.1%112.1K-2.3M-6.9K0.2477.26N/AN/A1,0222452,140291
2017-01-26$23.23$23.0048.1%13.8%32.2%36.1%48.1%3.0%-5.0%113.1K-2.1M-6.7K0.2476.94N/AN/A1,0442552,160301
2017-01-27$24.30$23.0047.4%13.6%32.5%34.7%46.4%3.9%-5.8%125.5K-2.7M-7.1K0.2775.01N/AN/A1,1443052,180311
2017-01-30$23.35$23.0053.2%15.3%36.5%46.8%51.3%6.6%-9.5%119.2K-2.1M-7.2K0.2278.94N/AN/A1,4113052,415411
2017-01-31$23.38$23.0052.7%15.1%35.9%45.9%55.1%3.3%-6.6%190.7K-2.9M-8.7K0.3475.70N/AN/A8943063,428411