RNG Options History — November 2017

In November 2017, RNG traded between $42.40 and $49.55. ATM implied volatility averaged 41.4%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.3% (HV 20d: 37.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-11-08: Highest Volume — 3,207 contracts
  • 2017-11-08: Largest IV drop — 33.9% change
  • 2017-11-01: Highest IV Rank — 100.0%
  • 2017-11-01: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.51$42.40$49.55$42.40$47.10
Max Pain$43.19$40.00$45.00$42.00$45.00
ATM IV41.4%33.5%69.8%69.8%38.6%
Expected Move11.1%9.6%20.0%20.0%11.1%
HV 20d37.1%26.3%43.9%26.7%43.0%
HV 60d33.0%29.0%34.9%34.0%34.0%
IV Rank32.4%13.4%100.0%100.0%25.8%
IV Percentile58.0%30.2%100.0%100.0%61.9%
Term Structure-1.6%-6.7%2.7%-6.7%-3.1%
VWIV41.5%35.1%85.1%85.1%38.2%
Skew 25d3.4%-15.9%25.0%25.0%2.8%
Skew 10d11.6%2.2%67.4%67.4%3.4%
Call IV 25d39.3%28.6%75.2%63.1%37.5%
Put IV 25d42.8%36.3%88.1%88.1%40.3%
Bid-Ask Spread %46.5022.0797.2997.2935.16
Gamma HHI0.140.090.250.100.16
Net GEX275.3K53.2K691.5K81.5K192.0K
Net DEX-6.9M-13.1M-1.9M-1.9M-4.6M
Net VEX-23.4K-30.3K-18.4K-30.3K-20.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.281.120.911.02
Total Volume1,4437283,2071,530750
Total OI6,469.3813,9888,8256,4974,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$42.40$42.0069.8%20.0%26.7%100.0%85.1%25.0%-6.7%81.5K-1.9M-30.3K0.9197.29N/AN/A7997312,9723,525
2017-11-02$43.17$42.0052.6%12.5%27.6%59.1%44.3%4.0%-3.3%119.3K-3.3M-29.3K0.8258.51N/AN/A9057412,9863,543
2017-11-03$44.03$42.0055.2%12.8%27.7%65.4%52.4%-15.9%-4.8%156.7K-4.4M-29.6K0.6673.65N/AN/A1,1137373,1633,541
2017-11-06$44.23$42.0059.0%12.2%27.6%74.4%44.6%4.3%-4.1%191.4K-4.9M-28.1K0.7133.16N/AN/A1,1117943,2493,548
2017-11-07$44.30$40.0060.7%12.0%26.3%78.4%46.5%4.2%-2.8%198.6K-4.9M-27.6K1.1227.34N/AN/A7388273,2983,619
2017-11-08$43.35$40.0040.1%11.5%27.5%29.2%42.6%2.9%-2.2%193.0K-3.9M-27.4K0.4459.98N/AN/A2,2289793,3573,630
2017-11-09$47.50$40.0035.4%10.1%42.6%18.0%37.2%3.6%-1.5%632.3K-12.8M-26.7K0.3668.28N/AN/A1,7316194,4554,218
2017-11-10$46.25$43.0034.4%9.9%43.9%15.6%36.3%0.9%-0.4%503.7K-9.5M-26.3K0.3551.07N/AN/A1,0723764,1214,397
2017-11-13$46.00$43.0035.0%10.0%42.8%17.0%37.2%1.3%-1.1%541.0K-8.9M-23.6K0.3926.64N/AN/A9003494,1294,298
2017-11-14$46.98$43.0035.0%10.0%43.1%17.0%37.3%7.3%-0.5%621.8K-11.2M-23.0K0.2833.56N/AN/A1,2603474,1434,367
2017-11-15$46.43$44.0036.1%10.3%41.9%19.6%37.4%1.9%-1.0%585.1K-10.3M-21.6K0.3431.28N/AN/A9803384,0984,367
2017-11-16$47.25$44.0035.3%10.1%41.6%17.7%38.3%4.0%-0.8%691.5K-12.0M-20.2K0.6136.86N/AN/A7664684,1184,367
2017-11-17$48.00$44.0033.5%9.6%40.3%13.4%39.3%8.1%2.7%53.2K-13.1M-19.4K0.4453.29N/AN/A1,0854814,3124,513
2017-11-20$48.70$44.0034.0%9.7%39.4%14.6%35.1%1.6%0.4%75.2K-5.2M-18.4K0.6236.86N/AN/A5003101,8122,176
2017-11-21$48.63$44.0035.2%10.1%39.2%17.5%36.0%1.2%0.0%95.5K-5.3M-19.7K0.4722.07N/AN/A6473031,9372,188
2017-11-22$48.40$45.0035.3%10.1%38.9%17.7%35.1%1.9%0.1%99.8K-5.2M-19.5K0.3745.67N/AN/A1,0453871,9232,188
2017-11-24$48.70$45.0035.7%10.2%38.9%18.7%35.5%2.4%-0.9%176.7K-6.1M-20.4K0.3758.52N/AN/A9593592,2902,282
2017-11-27$48.25$45.0036.5%10.5%39.1%20.7%37.5%2.8%-1.2%191.2K-5.9M-19.6K0.8058.49N/AN/A4273432,3182,285
2017-11-28$49.55$45.0034.2%9.8%38.6%15.1%37.8%2.9%1.1%193.7K-6.8M-19.4K0.5933.71N/AN/A6753952,3172,289
2017-11-29$47.43$45.0038.8%11.1%42.7%26.1%38.0%5.0%-3.3%187.2K-4.9M-20.7K1.0635.15N/AN/A3543742,3692,340
2017-11-30$47.10$45.0038.6%11.1%43.0%25.8%38.2%2.8%-3.1%192.0K-4.6M-20.8K1.0235.16N/AN/A3723782,4272,382