RNG Options History — May 2017

In May 2017, RNG traded between $31.65 and $34.70. ATM implied volatility averaged 31.6%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 27.5%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-05-08: Highest Volume — 2,013 contracts
  • 2017-05-17: Largest IV spike — 9.7% change
  • 2017-05-30: Highest IV Rank — 13.2%
  • 2017-05-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.05$31.65$34.70$32.40$34.05
Max Pain$30.86$30.00$31.00$30.00$31.00
ATM IV31.6%29.6%33.7%33.3%33.0%
Expected Move9.0%8.5%9.7%9.6%9.4%
HV 20d27.5%20.9%32.5%25.5%30.0%
HV 60d27.0%25.0%28.8%28.8%26.0%
IV Rank5.9%0.0%13.2%10.8%10.9%
IV Percentile7.1%0.0%25.0%14.3%17.9%
Term Structure-0.2%-2.6%1.6%-2.6%-1.2%
VWIV32.6%29.2%37.6%33.8%33.8%
Skew 25d3.2%0.7%4.4%0.7%2.3%
Skew 10d8.0%-3.5%20.8%10.9%-3.5%
Call IV 25d30.3%28.6%34.6%34.6%32.6%
Put IV 25d33.5%32.2%35.4%35.4%34.8%
Bid-Ask Spread %47.9526.4091.5785.1966.27
Gamma HHI0.260.180.410.410.18
Net GEX231.4K152.7K318.3K152.7K257.0K
Net DEX-6.4M-8.0M-4.9M-4.9M-7.1M
Net VEX-15.8K-18.4K-10.4K-10.8K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.211.390.431.09
Total Volume1,278.6367662,0139451,275
Total OI4,272.8183,2944,8923,2944,520

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$32.40$30.0033.3%9.6%25.5%10.8%33.8%0.7%-2.6%152.7K-4.9M-10.8K0.4385.19N/AN/A6612842,2921,002
2017-05-02$32.50$30.0032.5%9.3%23.4%8.0%36.9%1.8%-1.8%159.4K-5.2M-10.9K0.4981.26N/AN/A5842842,364984
2017-05-03$32.65$30.0031.0%8.9%23.0%3.2%33.5%3.1%-0.1%161.8K-5.3M-10.9K0.6191.57N/AN/A4772892,386984
2017-05-04$32.95$31.0030.4%8.6%20.9%1.1%33.4%4.4%1.6%162.4K-5.6M-10.4K0.7042.47N/AN/A4803342,380989
2017-05-05$32.80$31.0030.8%9.0%21.4%2.3%32.9%3.9%0.5%168.3K-5.4M-10.4K0.2640.91N/AN/A1,3393442,3811,044
2017-05-08$31.65$31.0033.5%9.2%26.6%11.4%29.2%3.8%-0.4%223.0K-5.4M-18.3K0.2132.78N/AN/A1,6693443,3381,044
2017-05-09$31.70$31.0032.2%8.8%26.5%7.1%31.1%3.4%0.5%258.7K-5.5M-18.0K0.2633.30N/AN/A1,3173443,7451,044
2017-05-10$31.75$31.0030.8%8.8%24.4%2.3%32.1%4.3%0.0%265.6K-5.6M-18.4K0.2626.40N/AN/A1,3183443,7571,044
2017-05-11$32.42$31.0031.0%8.9%24.7%3.2%31.7%3.3%0.6%273.9K-6.4M-18.3K0.2637.97N/AN/A1,4033623,7591,044
2017-05-12$32.05$31.0031.3%9.0%25.5%3.9%31.7%2.8%0.7%276.4K-5.9M-17.4K0.2632.28N/AN/A1,4113623,7051,044
2017-05-15$32.80$31.0030.8%8.8%26.2%2.4%31.6%2.7%-0.6%278.8K-7.0M-16.9K0.2454.68N/AN/A1,4913623,7151,044
2017-05-16$33.55$31.0029.6%8.5%26.8%0.0%32.1%3.7%0.3%275.0K-8.0M-17.0K0.6927.94N/AN/A5223623,7961,044
2017-05-17$32.25$31.0032.5%9.3%31.2%9.4%32.9%3.7%0.6%318.3K-6.6M-16.3K0.5479.24N/AN/A6733653,8291,044
2017-05-18$32.60$31.0032.9%9.4%31.3%10.8%33.3%3.1%0.2%250.5K-6.5M-16.5K0.8226.56N/AN/A6235083,6421,047
2017-05-19$33.65$31.0031.2%9.0%32.5%5.3%34.8%3.6%-0.3%209.2K-7.6M-16.4K0.6553.51N/AN/A7895113,6421,250
2017-05-22$34.40$31.0031.2%8.9%32.2%5.2%37.6%3.7%-0.2%229.8K-7.2M-17.1K0.9536.85N/AN/A4454223,354633
2017-05-23$34.10$31.0031.1%8.9%32.5%4.8%29.6%4.2%0.1%231.2K-7.0M-17.1K1.0752.98N/AN/A4414723,379649
2017-05-24$34.15$31.0031.3%9.0%32.2%5.5%29.3%3.9%0.4%232.4K-7.2M-17.0K1.0841.88N/AN/A4604993,400699
2017-05-25$34.70$31.0030.2%8.7%29.1%1.9%31.0%3.1%0.1%234.4K-7.7M-16.7K1.3929.48N/AN/A4546313,421729
2017-05-26$34.03$31.0031.9%9.1%30.2%7.4%31.8%1.3%-0.3%216.3K-7.1M-17.6K0.8342.16N/AN/A7826513,454874
2017-05-30$34.00$31.0033.7%9.7%30.0%13.2%33.7%3.0%-2.0%255.5K-7.0M-17.9K0.8539.14N/AN/A7786643,613894
2017-05-31$34.05$31.0033.0%9.4%30.0%10.9%33.8%2.3%-1.2%257.0K-7.1M-17.5K1.0966.27N/AN/A6116643,613907