RNG Options History — March 2017

In March 2017, RNG traded between $26.35 and $28.38. ATM implied volatility averaged 34.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.1% (HV 20d: 29.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-03-01: Highest Volume — 1,583 contracts
  • 2017-03-15: Largest IV drop — 20.5% change
  • 2017-03-14: Highest IV Rank — 34.6%
  • 2017-03-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.99$26.35$28.38$26.70$28.38
Max Pain$20.65$20.00$25.00$25.00$20.00
ATM IV34.7%31.5%41.5%37.0%31.5%
Expected Move9.7%9.0%10.6%10.6%9.0%
HV 20d29.5%20.9%37.7%37.7%23.1%
HV 60d33.3%31.7%36.9%36.9%31.9%
IV Rank12.5%2.2%34.6%19.9%2.2%
IV Percentile14.6%0.4%47.2%27.0%0.4%
Term Structure4.3%-2.5%9.4%-1.7%9.4%
VWIV34.6%29.8%39.9%39.8%32.6%
Skew 25d2.8%0.1%5.3%1.8%3.5%
Skew 10d7.9%-3.0%25.5%7.2%5.9%
Call IV 25d33.2%29.4%38.5%38.5%30.4%
Put IV 25d35.9%32.4%40.3%40.3%33.9%
Bid-Ask Spread %75.7435.3098.6147.0392.96
Gamma HHI0.180.140.220.140.18
Net GEX71.0K40.5K106.8K40.5K76.3K
Net DEX-3.8M-5.6M-2.8M-4.0M-3.7M
Net VEX-7.5K-9.9K-6.1K-9.9K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.260.860.860.59
Total Volume1,146.7398341,5831,5831,404
Total OI3,421.9572,2804,3364,3152,358

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$26.70$25.0037.0%10.6%37.7%19.9%39.8%1.8%-1.7%40.5K-4.0M-9.9K0.8647.03N/AN/A8517322,4841,831
2017-03-02$26.55$25.0035.4%10.2%37.2%15.1%38.3%2.3%-1.1%47.8K-3.9M-9.6K0.3735.30N/AN/A8743272,4891,847
2017-03-03$26.50$25.0037.1%10.6%37.2%20.4%39.7%5.0%-2.5%55.0K-3.9M-9.6K0.5345.06N/AN/A8734622,5161,802
2017-03-06$26.48$20.0038.5%10.2%36.8%24.9%38.4%3.0%2.7%66.5K-4.0M-8.8K0.5344.39N/AN/A8894732,5131,691
2017-03-07$26.35$20.0037.7%10.2%35.3%22.3%37.2%3.4%2.7%63.7K-3.9M-8.7K0.5466.80N/AN/A8894802,5131,700
2017-03-08$26.40$20.0035.0%9.8%35.3%13.6%34.2%2.7%3.9%59.0K-4.1M-8.2K0.5475.70N/AN/A8894802,5131,737
2017-03-09$26.75$20.0034.9%9.9%34.0%13.2%31.2%3.6%3.3%66.2K-4.2M-8.5K0.7376.35N/AN/A6584802,5131,737
2017-03-10$26.60$20.0033.1%9.8%34.2%7.6%29.8%3.0%2.6%57.4K-4.3M-7.9K0.7274.39N/AN/A6394582,5181,737
2017-03-13$26.65$20.0039.9%10.0%33.4%29.3%32.8%3.4%2.9%52.2K-4.4M-7.5K0.7176.54N/AN/A6164392,5261,737
2017-03-14$26.35$20.0041.5%9.7%33.6%34.6%35.5%3.1%4.7%51.1K-4.1M-7.2K0.7176.86N/AN/A6814842,5261,737
2017-03-15$27.15$20.0033.0%9.5%34.4%7.3%33.9%2.7%4.0%85.4K-5.1M-7.0K0.8085.56N/AN/A7345862,5741,585
2017-03-16$27.50$20.0032.8%9.4%27.3%6.4%32.6%1.8%4.2%106.8K-5.5M-6.8K0.6980.04N/AN/A8525912,6371,616
2017-03-17$27.50$20.0032.7%9.4%24.4%6.1%33.4%2.6%5.2%78.8K-5.6M-6.9K0.8379.39N/AN/A7286052,7051,623
2017-03-20$27.93$20.0031.8%9.1%23.4%3.2%34.2%3.1%7.8%80.4K-3.5M-6.7K0.2678.64N/AN/A6621721,791489
2017-03-21$26.88$20.0033.5%9.6%26.9%8.7%39.9%2.3%5.6%84.0K-3.0M-6.8K0.2980.49N/AN/A6601921,801499
2017-03-22$26.75$20.0033.2%9.5%27.0%7.8%37.4%1.7%6.8%83.0K-2.8M-6.9K0.2877.42N/AN/A7332041,799519
2017-03-23$26.90$20.0033.4%9.6%26.9%8.3%32.9%2.7%5.5%78.5K-2.9M-6.9K0.3087.21N/AN/A7122141,782539
2017-03-24$27.03$20.0033.1%9.5%25.9%7.4%32.9%2.3%6.1%79.4K-3.0M-6.8K0.3091.71N/AN/A7122141,782549
2017-03-27$27.03$20.0034.1%9.8%21.9%10.8%31.4%2.3%5.9%79.6K-2.9M-6.6K0.3098.61N/AN/A7122141,782559
2017-03-28$27.25$20.0033.5%9.6%20.9%8.9%33.0%1.5%6.8%79.7K-3.1M-6.5K0.3091.79N/AN/A7212141,782559
2017-03-29$27.60$20.0032.6%9.4%21.3%6.1%31.8%5.3%7.1%80.0K-3.2M-6.5K0.3095.31N/AN/A7212141,795559
2017-03-30$27.58$20.0032.1%9.2%21.1%4.2%33.1%0.1%8.1%80.6K-3.3M-6.2K0.2984.55N/AN/A7212091,795559
2017-03-31$28.38$20.0031.5%9.0%23.1%2.2%32.6%3.5%9.4%76.3K-3.7M-6.1K0.5992.96N/AN/A8855191,795563