RNG Options History — October 2017

In October 2017, RNG traded between $40.98 and $44.75. ATM implied volatility averaged 42.4%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 10.5% (HV 20d: 31.9%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2017-10-16: Highest Volume — 3,365 contracts
  • 2017-10-11: Largest IV spike — 20.0% change
  • 2017-10-31: Highest IV Rank — 58.6%
  • 2017-10-31: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.78$40.98$44.75$44.00$42.20
Max Pain$41.05$35.00$42.00$35.00$42.00
ATM IV42.4%31.5%51.0%35.6%51.0%
Expected Move12.5%9.5%14.6%10.2%14.6%
HV 20d31.9%26.0%35.7%31.4%26.7%
HV 60d33.3%32.1%34.1%33.2%34.1%
IV Rank36.9%9.3%58.6%19.6%58.6%
IV Percentile69.7%10.3%95.2%45.6%95.2%
Term Structure-4.9%-9.5%7.6%3.1%-9.5%
VWIV45.4%33.7%56.5%34.1%56.5%
Skew 25d3.5%1.7%4.8%2.0%3.2%
Skew 10d3.9%-49.1%12.6%9.5%-0.8%
Call IV 25d43.4%33.0%51.0%34.7%51.0%
Put IV 25d47.0%36.5%55.2%36.6%54.2%
Bid-Ask Spread %48.8034.6086.6081.2850.68
Gamma HHI0.140.100.210.160.10
Net GEX139.8K58.5K243.6K134.2K84.0K
Net DEX-5.9M-10.2M-1.1M-7.5M-1.9M
Net VEX-24.3K-30.4K-9.9K-9.9K-28.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.734.560.981.04
Total Volume2,057.5911,4543,3652,1271,459
Total OI6,319.8184,2598,2084,2596,439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$44.00$35.0035.6%10.2%31.4%19.6%34.1%2.0%3.1%134.2K-7.5M-9.9K0.9881.28N/AN/A1,0731,0542,2641,995
2017-10-03$44.20$35.0034.5%9.9%31.5%16.8%36.7%1.7%6.6%171.1K-8.7M-14.3K1.6081.02N/AN/A6421,0272,8092,130
2017-10-04$43.88$35.0033.3%9.5%30.9%13.8%33.7%3.5%7.6%191.6K-8.8M-15.0K1.7186.60N/AN/A6041,0302,9502,144
2017-10-05$43.90$42.0033.0%11.6%30.2%13.1%40.1%4.4%-5.3%207.4K-9.1M-16.6K1.5346.49N/AN/A6651,0193,1132,200
2017-10-06$44.75$42.0031.5%11.4%30.6%9.3%41.6%4.5%-5.2%221.9K-10.2M-17.6K2.0445.76N/AN/A4799753,2742,212
2017-10-09$44.40$42.0034.7%11.5%30.9%17.3%41.9%2.4%-5.9%227.3K-9.9M-17.8K2.1548.96N/AN/A4951,0643,3162,247
2017-10-10$43.40$42.0035.8%12.3%32.1%20.1%42.9%4.8%-5.0%223.8K-8.9M-19.3K1.5934.60N/AN/A7041,1193,3822,340
2017-10-11$43.40$42.0042.9%12.3%31.2%38.1%43.1%4.8%-5.4%243.6K-8.9M-21.3K3.3237.98N/AN/A7062,3463,5612,410
2017-10-12$43.40$42.0043.0%12.3%31.1%38.3%43.3%4.0%-5.6%186.4K-8.1M-28.5K3.5835.90N/AN/A6562,3503,6023,601
2017-10-13$43.83$42.0041.7%11.9%31.2%35.0%43.6%4.7%-5.3%195.4K-8.6M-28.2K4.4139.92N/AN/A5322,3473,6263,603
2017-10-16$42.73$42.0044.9%12.9%32.6%43.1%45.0%4.7%-5.8%183.0K-7.0M-27.8K3.8340.82N/AN/A6962,6693,6393,603
2017-10-17$42.53$42.0044.6%12.8%32.6%42.5%45.2%4.2%-5.6%125.4K-6.4M-28.1K4.5643.00N/AN/A5932,7053,8353,952
2017-10-18$41.38$42.0045.7%13.1%34.0%45.2%45.7%4.5%-7.2%79.1K-4.6M-26.9K2.2448.14N/AN/A1,0162,2763,8243,940
2017-10-19$40.98$42.0046.1%13.2%33.2%46.2%48.1%4.0%-6.9%63.1K-4.6M-28.5K1.2046.83N/AN/A6818164,2753,933
2017-10-20$42.53$42.0045.4%13.0%35.5%44.3%45.3%2.5%-7.8%96.6K-6.7M-29.0K0.8239.85N/AN/A8787234,2253,963
2017-10-23$41.80$42.0047.4%13.6%35.6%49.4%51.5%2.1%-6.4%85.9K-1.7M-28.7K0.7943.03N/AN/A9567592,6802,722
2017-10-24$41.53$42.0047.5%13.6%35.7%49.9%50.6%2.3%-6.8%80.6K-1.5M-30.0K0.8040.07N/AN/A9667742,8683,201
2017-10-25$41.08$42.0048.3%13.9%33.8%51.9%51.2%3.8%-7.4%69.1K-1.1M-28.7K0.7343.15N/AN/A9426862,9373,197
2017-10-26$41.50$42.0047.9%13.7%33.9%50.9%51.5%2.9%-6.2%67.8K-1.3M-30.4K0.7842.76N/AN/A9177112,9553,399
2017-10-27$42.30$42.0047.6%13.7%31.4%50.1%50.9%2.5%-8.0%80.9K-1.9M-29.4K0.7948.93N/AN/A9237302,9003,424
2017-10-30$41.55$42.0050.8%14.6%26.0%58.2%56.4%4.6%-8.9%58.5K-1.3M-28.7K0.9547.88N/AN/A7707342,8923,454
2017-10-31$42.20$42.0051.0%14.6%26.7%58.6%56.5%3.2%-9.5%84.0K-1.9M-28.8K1.0450.68N/AN/A7167432,9563,483