RNG Options History — February 2017

In February 2017, RNG traded between $22.25 and $27.28. ATM implied volatility averaged 43.1%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.2% (HV 20d: 38.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2017-02-13: Highest Volume — 5,054 contracts
2017-02-08: Largest IV drop — 25.9% change
2017-02-06: Highest IV Rank — 61.6%
2017-02-01: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.37	$22.25	$27.28	$23.05	$26.75
Max Pain	$23.37	$22.00	$24.00	$23.00	$24.00
ATM IV	43.1%	33.3%	60.3%	54.5%	38.0%
Expected Move	11.5%	9.5%	15.6%	15.6%	10.9%
HV 20d	38.0%	34.5%	42.5%	35.4%	37.6%
HV 60d	38.4%	37.1%	39.6%	38.6%	37.2%
IV Rank	30.9%	8.1%	61.6%	49.5%	23.3%
IV Percentile	44.8%	6.3%	96.8%	87.3%	31.0%
Term Structure	-2.2%	-9.8%	0.8%	-9.8%	-1.9%
VWIV	40.6%	32.7%	53.0%	53.0%	41.4%
Skew 25d	3.3%	0.9%	5.2%	4.9%	3.5%
Skew 10d	8.6%	-2.4%	24.0%	9.9%	6.1%
Call IV 25d	39.9%	33.9%	53.6%	53.6%	38.8%
Put IV 25d	43.2%	36.6%	58.5%	58.5%	42.3%
Bid-Ask Spread %	63.42	42.81	86.28	86.28	42.81
Gamma HHI	0.22	0.15	0.42	0.21	0.15
Net GEX	276.4K	27.0K	1.2M	176.4K	92.0K
Net DEX	-4.6M	-12.7M	-1.9M	-2.7M	-4.4M
Net VEX	-8.6K	-11.2K	-7.0K	-8.4K	-8.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.15	1.03	0.31	0.80
Total Volume	1,712.737	739	5,054	1,239	1,573
Total OI	5,933.526	3,065	10,951	3,847	3,885

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$23.05	$23.00	54.5%	15.6%	35.4%	49.5%	53.0%	4.9%	-9.8%	176.4K	-2.7M	-8.4K	0.31	86.28	N/A	N/A	943	296	3,435	412
2017-02-02	$23.40	$22.00	54.1%	12.6%	35.2%	48.7%	43.8%	3.7%	-2.3%	194.0K	-2.9M	-8.8K	0.23	65.31	N/A	N/A	1,422	325	3,484	493
2017-02-03	$23.20	$23.00	55.9%	12.2%	34.5%	52.5%	43.1%	5.2%	-2.6%	256.8K	-3.3M	-9.7K	0.23	66.74	N/A	N/A	1,417	325	4,484	523
2017-02-06	$22.65	$23.00	60.3%	12.6%	35.1%	61.6%	44.1%	3.3%	-3.2%	225.5K	-2.6M	-8.5K	0.21	71.60	N/A	N/A	1,460	307	4,484	523
2017-02-07	$22.65	$23.00	59.9%	12.5%	34.9%	60.7%	43.9%	5.2%	-2.9%	328.0K	-3.6M	-10.0K	0.23	67.07	N/A	N/A	1,429	322	6,029	525
2017-02-08	$22.25	$23.00	44.4%	12.7%	35.6%	28.4%	43.9%	5.1%	-3.7%	194.6K	-1.9M	-7.3K	0.32	69.40	N/A	N/A	1,412	456	4,553	476
2017-02-09	$22.65	$23.00	44.0%	12.6%	35.8%	40.4%	44.2%	4.6%	-2.3%	231.4K	-2.6M	-8.2K	1.03	56.86	N/A	N/A	615	631	4,582	641
2017-02-10	$23.30	$23.00	46.7%	13.4%	37.1%	48.9%	47.7%	3.2%	-4.6%	264.0K	-3.1M	-8.8K	0.43	67.42	N/A	N/A	1,699	732	4,860	961
2017-02-13	$23.80	$23.00	47.3%	13.6%	37.1%	51.8%	47.5%	3.2%	-5.0%	447.9K	-7.4M	-11.2K	0.33	65.88	N/A	N/A	3,806	1,248	6,895	1,497
2017-02-14	$23.65	$23.00	36.4%	10.4%	34.7%	18.3%	38.6%	2.9%	-0.1%	480.2K	-3.8M	-9.9K	0.69	82.29	N/A	N/A	929	643	7,839	2,576
2017-02-15	$25.20	$23.00	33.3%	9.5%	40.6%	8.1%	32.7%	2.7%	0.8%	1.2M	-11.8M	-8.6K	0.45	55.54	N/A	N/A	1,460	660	8,042	2,588
2017-02-16	$24.48	$24.00	35.6%	10.2%	42.5%	15.4%	34.9%	2.3%	-0.7%	819.6K	-7.0M	-8.6K	0.74	75.20	N/A	N/A	888	660	7,966	2,903
2017-02-17	$25.15	$24.00	34.2%	9.8%	41.4%	11.1%	33.3%	2.7%	0.3%	27.0K	-12.7M	-7.5K	0.48	60.73	N/A	N/A	1,239	598	8,048	2,903
2017-02-21	$25.78	$24.00	34.3%	9.8%	40.9%	11.3%	32.9%	2.2%	-0.3%	41.3K	-2.4M	-7.0K	0.28	43.64	N/A	N/A	602	170	1,750	1,315
2017-02-22	$25.85	$24.00	34.6%	9.9%	40.9%	12.2%	36.8%	0.9%	-0.5%	41.5K	-2.5M	-7.1K	0.31	78.98	N/A	N/A	562	177	1,776	1,349
2017-02-23	$25.70	$24.00	35.3%	10.1%	41.0%	14.5%	36.4%	1.7%	-1.1%	54.9K	-2.7M	-7.3K	0.15	46.46	N/A	N/A	1,226	188	1,927	1,349
2017-02-24	$26.25	$24.00	34.8%	10.0%	40.8%	13.0%	35.4%	3.6%	-0.5%	95.8K	-4.1M	-9.3K	0.21	48.31	N/A	N/A	858	184	2,474	1,362
2017-02-27	$27.28	$24.00	36.1%	10.4%	40.1%	17.2%	37.4%	1.3%	-1.1%	87.6K	-4.8M	-8.3K	0.23	54.53	N/A	N/A	880	200	2,458	1,370
2017-02-28	$26.75	$24.00	38.0%	10.9%	37.6%	23.3%	41.4%	3.5%	-1.9%	92.0K	-4.4M	-8.9K	0.80	42.81	N/A	N/A	876	697	2,482	1,403