RNG Options History — June 2017

In June 2017, RNG traded between $34.58 and $38.65. ATM implied volatility averaged 35.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.7% (HV 20d: 36.1%). Max pain ranged from $26.00 to $34.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2017-06-08: Highest Volume — 2,617 contracts
  • 2017-06-12: Largest IV spike — 27.7% change
  • 2017-06-12: Highest IV Rank — 61.3%
  • 2017-06-29: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.45$34.58$38.65$34.58$36.85
Max Pain$31.95$26.00$34.00$31.00$34.00
ATM IV35.4%31.7%48.4%31.8%35.6%
Expected Move9.7%8.6%10.8%9.1%10.2%
HV 20d36.1%28.0%42.5%30.4%42.5%
HV 60d29.7%26.1%32.7%26.1%32.5%
IV Rank18.9%6.8%61.3%7.2%19.7%
IV Percentile35.5%8.3%87.3%8.7%42.9%
Term Structure4.1%-1.0%7.2%-1.0%5.8%
VWIV35.3%29.0%41.1%33.5%35.4%
Skew 25d4.3%2.7%6.2%3.0%3.9%
Skew 10d11.6%4.8%60.8%11.9%9.0%
Call IV 25d32.7%28.6%36.1%30.9%34.7%
Put IV 25d36.9%32.0%41.3%33.9%38.6%
Bid-Ask Spread %41.4317.4469.4140.0568.31
Gamma HHI0.240.110.430.200.29
Net GEX165.8K-21.3K394.6K266.3K94.5K
Net DEX-6.4M-13.2M-2.9M-7.8M-3.9M
Net VEX-13.3K-16.9K-10.6K-16.9K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.372.701.100.62
Total Volume1,993.7271,2662,6171,2661,714
Total OI4,524.4092,7795,4014,5254,837

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$34.58$31.0031.8%9.1%30.4%7.2%33.5%3.0%-1.0%266.3K-7.8M-16.9K1.1040.05N/AN/A6026643,618907
2017-06-02$35.23$31.0031.7%9.1%30.8%7.0%31.7%2.7%-0.1%272.6K-8.5M-16.5K0.6742.67N/AN/A9906643,617906
2017-06-05$36.00$26.0032.6%8.9%31.3%9.7%29.3%3.7%4.1%250.0K-9.4M-15.6K0.6640.92N/AN/A1,0106673,565906
2017-06-06$36.85$26.0033.2%8.8%28.1%11.6%32.2%3.0%4.1%309.5K-11.1M-15.5K0.6824.27N/AN/A1,0437093,960910
2017-06-07$37.10$27.0031.7%8.6%28.0%6.8%29.0%3.4%4.3%380.4K-11.7M-16.2K0.9017.44N/AN/A7696934,215961
2017-06-08$38.05$27.0033.3%8.7%28.5%11.9%29.6%2.8%3.4%313.9K-13.2M-15.6K0.3724.35N/AN/A1,9157024,299969
2017-06-09$35.48$27.0037.9%10.0%39.6%27.1%35.9%4.3%3.5%394.6K-8.1M-10.6K1.5653.18N/AN/A8451,3193,746988
2017-06-12$35.25$32.0048.4%10.5%39.4%61.3%36.1%4.5%2.3%269.2K-6.7M-12.3K1.4942.69N/AN/A9781,4613,5461,630
2017-06-13$35.73$34.0043.3%10.3%38.9%44.6%36.2%6.2%2.1%306.9K-7.0M-12.8K1.4923.78N/AN/A9951,4783,5681,795
2017-06-14$35.70$34.0036.4%10.4%38.4%22.3%37.2%4.0%2.6%290.1K-7.3M-12.0K1.7765.89N/AN/A7931,4053,5691,812
2017-06-15$35.33$34.0036.7%10.5%35.3%23.2%36.4%5.1%2.0%270.3K-6.3M-11.5K1.7824.58N/AN/A7911,4053,5841,813
2017-06-16$35.35$34.0035.0%10.0%35.3%17.6%34.6%4.6%3.6%-3.5K-6.3M-10.8K1.7623.75N/AN/A8231,4473,5881,813
2017-06-19$36.88$34.0033.2%9.5%36.6%11.8%34.6%5.3%6.3%-3.0K-3.0M-10.8K1.8020.80N/AN/A5631,0151,5541,225
2017-06-20$36.13$34.0034.8%10.0%37.0%16.9%36.4%3.3%5.7%7.2K-2.9M-10.9K2.5719.26N/AN/A6041,5551,6531,314
2017-06-21$36.92$34.0033.7%9.7%37.3%13.3%36.3%4.9%6.0%-21.3K-3.1M-12.3K2.7020.38N/AN/A5761,5551,6851,847
2017-06-22$37.60$34.0033.6%9.6%37.7%13.1%39.2%4.8%5.9%-15.2K-3.6M-11.8K2.1851.14N/AN/A5161,1261,6981,847
2017-06-23$38.65$34.0033.3%9.6%38.3%12.2%36.4%4.2%6.6%-7.1K-4.3M-11.2K1.1349.63N/AN/A9991,1271,7401,858
2017-06-26$37.67$34.0034.3%9.8%38.9%15.5%41.1%5.5%7.2%53.4K-4.2M-13.5K2.1569.29N/AN/A5441,1722,2591,921
2017-06-27$36.98$34.0035.7%10.2%39.8%19.8%37.9%3.9%4.4%34.9K-3.7M-13.2K1.0964.93N/AN/A1,0531,1502,2791,978
2017-06-28$37.53$34.0034.7%9.9%39.9%16.6%36.9%5.5%6.4%122.1K-4.6M-14.6K1.1054.64N/AN/A1,0481,1492,7971,964
2017-06-29$36.15$34.0037.8%10.8%42.4%26.7%40.1%5.2%4.4%62.8K-3.1M-14.4K1.1069.41N/AN/A1,0601,1682,8101,986
2017-06-30$36.85$34.0035.6%10.2%42.5%19.7%35.4%3.9%5.8%94.5K-3.9M-14.4K0.6268.31N/AN/A1,0586562,8312,006