RNG Options History — July 2017

In July 2017, RNG traded between $34.85 and $37.33. ATM implied volatility averaged 41.6%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 4.7% (HV 20d: 36.9%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-07-20: Highest Volume — 2,002 contracts
  • 2017-07-12: Largest IV spike — 11.5% change
  • 2017-07-31: Highest IV Rank — 64.0%
  • 2017-07-31: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.93$34.85$37.33$35.55$34.88
Max Pain$36.70$34.00$37.00$34.00$37.00
ATM IV41.6%36.5%49.2%38.2%49.2%
Expected Move12.2%10.5%14.1%11.0%14.1%
HV 20d36.9%29.0%45.1%43.9%29.0%
HV 60d34.3%33.5%35.2%33.5%34.3%
IV Rank39.2%22.5%64.0%28.1%64.0%
IV Percentile72.2%50.4%94.0%60.3%94.0%
Term Structure-3.5%-10.2%6.2%5.2%-10.2%
VWIV44.3%39.2%49.1%39.2%49.1%
Skew 25d5.0%4.1%6.2%6.2%4.1%
Skew 10d12.5%6.2%20.1%12.5%15.3%
Call IV 25d41.2%36.8%46.6%37.4%46.6%
Put IV 25d46.2%41.1%50.7%43.5%50.7%
Bid-Ask Spread %38.1326.0286.4586.4528.97
Gamma HHI0.200.080.660.210.09
Net GEX7.3K-261.3K100.6K43.4K13.1K
Net DEX-2.4M-4.1M-1.1M-2.7M-1.1M
Net VEX-10.6K-13.3K-9.6K-13.3K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.581.140.621.14
Total Volume1,522.16392,0021,737849
Total OI4,299.82,1555,7114,8352,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$35.55$34.0038.2%11.0%43.9%28.1%39.2%6.2%5.2%43.4K-2.7M-13.3K0.6286.45N/AN/A1,0736642,8322,003
2017-07-05$36.08$34.0036.5%10.5%43.3%22.5%44.0%4.2%6.2%48.6K-3.0M-12.5K0.7083.50N/AN/A1,0547372,7962,003
2017-07-06$35.50$37.0038.6%12.4%43.6%29.4%45.4%5.1%-3.7%21.1K-2.4M-12.0K0.6328.17N/AN/A1,0486652,7962,076
2017-07-07$36.95$37.0037.1%12.0%45.1%24.5%46.5%5.8%-4.0%82.7K-3.8M-12.1K0.6326.88N/AN/A1,0126342,8012,121
2017-07-10$36.60$37.0039.3%12.3%37.4%31.5%46.8%5.1%-4.2%68.8K-3.5M-11.2K0.5929.04N/AN/A1,0386142,8052,111
2017-07-11$36.35$37.0038.1%12.6%37.4%27.9%47.0%5.1%-4.4%58.3K-3.3M-11.2K0.6126.48N/AN/A1,0366302,8432,115
2017-07-12$37.33$37.0042.5%12.2%38.2%42.1%45.2%4.7%-3.8%100.6K-4.1M-11.1K0.5829.35N/AN/A1,1306522,8512,135
2017-07-13$37.25$37.0042.7%12.2%38.2%42.7%44.0%5.3%-4.9%96.1K-4.1M-10.9K0.6526.02N/AN/A1,1347412,9672,163
2017-07-14$36.45$37.0042.2%12.1%38.9%41.0%42.5%4.7%-4.7%19.6K-3.3M-10.0K0.7631.35N/AN/A1,1118492,9762,283
2017-07-17$35.90$37.0042.1%12.1%39.4%40.6%42.5%4.7%-3.1%-21.8K-2.5M-9.6K0.6430.06N/AN/A1,1887662,9932,405
2017-07-18$35.92$37.0041.5%11.9%36.2%39.0%41.2%4.8%-3.4%-40.9K-2.6M-9.9K0.6929.37N/AN/A1,1798133,0722,425
2017-07-19$35.92$37.0041.9%12.0%35.5%40.2%42.0%5.5%-3.4%-50.8K-2.8M-10.0K0.5934.05N/AN/A1,1926993,1052,467
2017-07-20$34.85$37.0042.3%12.1%36.0%41.3%43.6%4.4%-4.1%-112.4K-1.4M-9.6K0.6534.80N/AN/A1,2137893,1062,477
2017-07-21$35.05$37.0042.3%12.1%35.3%41.4%42.9%5.6%-3.5%-261.3K-1.3M-9.9K0.7026.61N/AN/A1,1758173,1232,588
2017-07-24$35.45$37.0044.0%12.6%33.8%46.8%43.2%5.1%-4.2%6.7K-1.3M-9.7K1.0631.64N/AN/A4264511,244911
2017-07-25$35.67$37.0043.2%12.4%33.0%44.3%44.2%5.8%-5.7%16.7K-1.5M-9.9K1.0329.42N/AN/A4384521,302909
2017-07-26$36.00$37.0042.3%12.1%32.7%41.3%44.7%4.6%-2.9%21.0K-1.7M-10.0K1.0974.21N/AN/A4054411,325912
2017-07-27$35.70$37.0043.6%12.5%32.3%45.8%45.8%4.4%-5.2%19.3K-1.5M-10.0K0.7447.23N/AN/A3682711,376940
2017-07-28$35.13$37.0045.0%12.9%30.0%50.2%46.7%4.9%-6.2%16.9K-1.3M-9.8K0.7328.92N/AN/A3972911,384930
2017-07-31$34.88$37.0049.2%14.1%29.0%64.0%49.1%4.1%-10.2%13.1K-1.1M-9.7K1.1428.97N/AN/A3974521,375950