RNG Options History — September 2017

In September 2017, RNG traded between $38.98 and $42.63. ATM implied volatility averaged 38.3%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.3% (HV 20d: 31.0%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2017-09-29: Highest Volume — 1,943 contracts
  • 2017-09-05: Largest IV spike — 74.4% change
  • 2017-09-05: Highest IV Rank — 100.0%
  • 2017-09-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.24$38.98$42.63$42.35$41.85
Max Pain$33.75$32.00$39.00$39.00$35.00
ATM IV38.3%31.9%67.3%38.6%32.3%
Expected Move9.7%9.2%11.1%11.1%9.3%
HV 20d31.0%25.8%42.5%41.5%25.8%
HV 60d34.1%32.0%38.1%38.1%32.7%
IV Rank26.7%10.4%100.0%33.2%11.4%
IV Percentile43.8%13.1%100.0%64.3%15.9%
Term Structure4.2%-5.2%7.6%-5.2%7.6%
VWIV36.8%34.3%41.5%40.5%35.7%
Skew 25d2.2%-2.1%3.8%-2.1%1.5%
Skew 10d2.2%-29.9%19.1%0.2%0.8%
Call IV 25d34.7%32.7%40.4%40.4%34.1%
Put IV 25d36.9%34.7%38.7%38.4%35.6%
Bid-Ask Spread %80.3669.1996.7982.6885.75
Gamma HHI0.130.110.170.110.12
Net GEX155.3K60.4K289.5K186.0K98.9K
Net DEX-6.3M-8.8M-3.3M-7.9M-5.8M
Net VEX-12.3K-15.0K-10.6K-15.0K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.292.970.311.89
Total Volume1,449.356851,9431,5511,943
Total OI3,951.82,8964,3754,1724,085

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$42.35$39.0038.6%11.1%41.5%33.2%40.5%-2.1%-5.2%186.0K-7.9M-15.0K0.3182.68N/AN/A1,1833682,8271,345
2017-09-05$42.48$32.0067.3%10.2%41.6%100.0%41.5%1.2%2.8%196.0K-8.1M-14.8K0.3072.07N/AN/A1,2033662,9451,352
2017-09-06$41.78$32.0040.8%9.8%42.5%32.7%38.2%2.9%4.5%216.9K-7.7M-14.4K0.3375.38N/AN/A1,0703492,9491,352
2017-09-07$42.63$32.0063.8%10.1%32.8%91.0%36.1%1.5%1.4%201.4K-8.5M-13.4K0.3273.23N/AN/A1,0713452,9541,354
2017-09-08$42.35$32.0037.2%9.9%30.6%23.8%37.6%3.6%3.9%250.8K-8.3M-13.5K0.3269.19N/AN/A1,0723452,9551,355
2017-09-11$42.50$32.0044.8%10.2%30.3%42.9%36.6%3.6%1.9%286.7K-8.4M-12.2K0.2978.34N/AN/A1,1723452,9441,355
2017-09-12$42.55$32.0041.8%9.8%29.7%35.3%37.0%3.5%4.1%289.5K-8.8M-11.4K0.3077.74N/AN/A1,1553412,9711,355
2017-09-13$41.73$32.0034.5%9.9%30.8%16.8%35.1%3.2%1.5%274.1K-7.9M-11.5K0.3576.50N/AN/A1,1574052,9651,361
2017-09-14$41.53$32.0033.5%9.6%30.9%14.4%36.0%2.2%2.3%233.6K-7.3M-11.3K0.3473.27N/AN/A1,1743982,9661,405
2017-09-15$41.55$32.0033.5%9.6%28.2%14.3%34.3%3.0%3.7%103.0K-7.2M-10.9K0.3476.57N/AN/A1,1013772,9671,408
2017-09-18$41.20$33.0032.8%9.4%28.5%12.6%38.7%1.7%6.0%106.8K-5.3M-10.6K0.7785.36N/AN/A3882971,951945
2017-09-19$41.15$35.0034.5%9.9%28.4%16.8%37.8%1.5%5.1%101.1K-5.3M-10.9K0.6974.50N/AN/A4282971,9641,072
2017-09-20$40.75$35.0032.8%9.4%28.7%12.6%37.1%3.2%6.0%104.0K-4.9M-11.6K0.9996.79N/AN/A5625582,0051,072
2017-09-21$39.85$35.0032.5%9.3%29.4%11.8%34.4%1.8%5.5%77.0K-4.2M-12.3K1.1780.92N/AN/A4785582,0311,281
2017-09-22$39.78$35.0031.9%9.2%29.4%10.4%34.7%2.3%7.0%81.0K-4.3M-12.2K2.8574.46N/AN/A4431,2612,0541,281
2017-09-25$39.15$35.0033.4%9.6%27.8%13.9%35.8%3.8%6.2%65.3K-3.6M-12.9K2.9793.16N/AN/A4241,2612,0531,984
2017-09-26$38.98$35.0033.6%9.6%26.9%14.4%38.2%3.3%6.7%60.4K-3.3M-12.8K2.8989.11N/AN/A4361,2612,0621,984
2017-09-27$40.40$35.0032.3%9.3%28.0%11.2%34.7%1.2%5.9%86.3K-4.7M-11.8K2.9789.52N/AN/A4251,2612,0851,984
2017-09-28$40.20$35.0033.2%9.5%27.6%13.6%36.4%1.7%6.6%87.5K-4.6M-11.6K2.8882.59N/AN/A4411,2682,0741,984
2017-09-29$41.85$35.0032.3%9.3%25.8%11.4%35.7%1.5%7.6%98.9K-5.8M-10.8K1.8985.75N/AN/A6721,2712,0931,992