RNG Options History — August 2017

In August 2017, RNG traded between $34.58 and $42.38. ATM implied volatility averaged 37.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.3% (HV 20d: 34.9%). Max pain ranged from $34.00 to $39.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-08-03: Highest Volume — 2,300 contracts
  • 2017-08-09: Largest IV spike — 77.3% change
  • 2017-08-09: Highest IV Rank — 91.3%
  • 2017-08-09: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.00$34.58$42.38$35.55$42.38
Max Pain$35.87$34.00$39.00$37.00$38.00
ATM IV37.2%27.9%57.5%47.1%32.7%
Expected Move10.8%8.7%16.5%13.5%9.4%
HV 20d34.9%22.5%41.4%27.2%41.4%
HV 60d36.2%33.7%38.4%34.5%38.4%
IV Rank28.5%0.0%91.3%57.2%15.0%
IV Percentile39.2%0.0%99.2%90.1%21.0%
Term Structure-2.5%-18.7%3.3%-8.6%2.8%
VWIV39.4%31.8%60.7%48.9%32.9%
Skew 25d4.9%-7.2%31.5%5.2%1.3%
Skew 10d12.3%-48.9%59.8%11.6%11.1%
Call IV 25d37.3%30.2%64.5%45.4%34.7%
Put IV 25d42.2%34.1%82.0%50.6%36.0%
Bid-Ask Spread %66.4824.91107.1332.8275.22
Gamma HHI0.160.110.330.120.16
Net GEX67.9K-150.0K258.4K8.9K153.2K
Net DEX-4.0M-7.3M98.3K-1.4M-7.3M
Net VEX-12.5K-16.2K-10.0K-10.0K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.321.921.330.36
Total Volume1,486.3488552,3001,0261,553
Total OI4,053.6962,4795,7782,4793,712

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$35.55$37.0047.1%13.5%27.2%57.2%48.9%5.2%-8.6%8.9K-1.4M-10.0K1.3332.82N/AN/A4415851,3841,095
2017-08-02$34.95$37.0046.2%13.2%27.2%54.1%50.2%5.1%-7.5%-12.8K-839.5K-10.4K1.5342.70N/AN/A8671,3251,4591,232
2017-08-03$34.58$34.0029.0%9.2%26.9%0.0%31.8%5.4%2.7%-150.0K98.3K-11.1K1.4742.12N/AN/A9311,3691,9882,328
2017-08-04$34.92$35.0027.9%9.2%22.5%0.0%31.9%4.1%2.5%-82.5K-561.7K-10.6K1.9224.91N/AN/A4157952,0522,104
2017-08-07$35.15$35.0029.5%9.2%22.6%5.2%32.3%3.5%3.0%-58.3K-922.6K-10.1K1.7527.03N/AN/A4217352,0882,106
2017-08-08$35.75$35.0032.4%9.1%23.5%14.0%32.8%3.8%2.6%-23.0K-1.4M-10.5K1.1531.66N/AN/A6076952,1332,135
2017-08-09$38.80$35.0057.5%16.5%36.6%91.3%60.7%31.5%-16.5%110.8K-5.0M-13.9K0.93101.87N/AN/A1,1111,0382,3602,132
2017-08-10$37.70$34.0055.4%15.9%38.2%84.9%51.2%-7.2%-14.6%114.1K-5.1M-15.9K0.8290.34N/AN/A1,0778872,9602,509
2017-08-11$38.40$34.0041.5%11.9%37.7%42.2%42.9%4.9%-3.8%104.3K-5.3M-16.2K0.9262.28N/AN/A9809013,0362,690
2017-08-14$39.23$35.0044.6%12.8%37.7%51.8%47.1%4.9%-4.4%152.3K-6.5M-14.9K0.8271.25N/AN/A9477793,0072,715
2017-08-15$39.25$35.0035.9%10.3%37.7%25.0%42.0%10.2%-0.9%213.2K-7.1M-12.9K0.8048.27N/AN/A9767792,9792,530
2017-08-16$39.40$35.0032.5%9.3%37.6%14.3%40.2%8.1%-5.7%258.4K-7.3M-12.5K0.91107.13N/AN/A8617812,9902,530
2017-08-17$38.17$35.0036.9%10.6%37.8%28.0%41.2%6.1%0.1%124.3K-5.3M-13.1K1.1180.46N/AN/A8909893,0232,537
2017-08-18$38.38$35.0050.1%14.4%37.8%68.6%45.1%5.1%-18.7%82.9K-5.3M-12.3K1.3291.12N/AN/A8041,0583,0242,754
2017-08-21$38.15$35.0033.0%9.5%37.9%15.8%36.3%2.0%0.5%89.0K-3.7M-11.6K0.7565.10N/AN/A5524141,806775
2017-08-22$38.40$35.0034.9%10.0%37.9%21.8%35.6%3.4%0.3%82.4K-3.8M-11.9K0.7361.45N/AN/A5574051,805865
2017-08-23$39.13$35.0031.5%9.0%38.3%11.3%34.0%1.5%0.4%84.6K-4.2M-11.5K1.1181.38N/AN/A5806411,814943
2017-08-24$39.05$38.0030.6%8.8%38.0%8.4%35.0%4.2%2.0%52.4K-3.9M-12.4K0.8087.68N/AN/A5314261,8461,132
2017-08-25$37.88$39.0030.2%8.7%39.4%7.3%32.5%1.8%3.3%49.8K-3.1M-12.7K0.6472.38N/AN/A6173961,8731,162
2017-08-28$38.67$38.0031.4%9.0%39.6%10.9%33.3%4.0%1.8%60.4K-3.7M-12.5K0.5859.03N/AN/A5413141,9401,162
2017-08-29$39.80$38.0032.3%9.3%40.2%13.6%32.8%1.8%0.3%67.7K-4.6M-12.0K0.5370.92N/AN/A7013721,9601,183
2017-08-30$40.38$38.0032.7%9.4%39.4%14.9%35.7%1.0%1.5%79.8K-5.1M-13.7K0.32101.82N/AN/A1,1653772,1331,244
2017-08-31$42.38$38.0032.7%9.4%41.4%15.0%32.9%1.3%2.8%153.2K-7.3M-13.8K0.3675.22N/AN/A1,1424112,4631,249