RNG Options History — December 2017

In December 2017, RNG traded between $44.00 and $49.35. ATM implied volatility averaged 37.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 5.8% (HV 20d: 43.4%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.34.

Notable Days

  • 2017-12-28: Highest Volume — 1,756 contracts
  • 2017-12-13: Largest IV drop — 39.5% change
  • 2017-12-12: Highest IV Rank — 75.5%
  • 2017-12-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.49$44.00$49.35$46.30$48.50
Max Pain$43.30$42.00$45.00$45.00$45.00
ATM IV37.6%31.1%59.5%43.4%31.9%
Expected Move9.9%8.9%12.4%12.4%9.2%
HV 20d43.4%39.8%51.8%43.4%40.2%
HV 60d37.7%34.0%39.4%34.0%37.0%
IV Rank23.3%7.7%75.5%37.1%9.8%
IV Percentile42.5%6.0%97.6%75.4%15.5%
Term Structure4.4%-9.2%8.0%-9.2%6.2%
VWIV35.7%31.2%43.3%40.5%31.2%
Skew 25d2.1%-0.7%4.2%4.2%1.3%
Skew 10d5.2%-10.2%12.8%-10.2%0.1%
Call IV 25d34.3%30.5%38.8%38.0%30.5%
Put IV 25d36.4%31.9%42.2%42.2%31.9%
Bid-Ask Spread %35.6918.7777.4170.6927.60
Gamma HHI0.220.120.380.150.37
Net GEX96.5K-157.2K416.5K159.5K-127.0K
Net DEX-4.2M-6.9M-1.1M-3.8M-3.4M
Net VEX-19.7K-21.9K-16.3K-20.8K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.995.371.315.37
Total Volume1,102.056851,7566851,707
Total OI5,5434,2076,7024,8216,702

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$46.30$45.0043.4%12.4%43.4%37.1%40.5%4.2%-9.2%159.5K-3.8M-20.8K1.3170.69N/AN/A2973882,4362,385
2017-12-04$44.00$42.0050.4%10.7%47.0%53.7%43.3%2.1%3.6%65.7K-1.7M-20.2K2.4046.63N/AN/A2796702,4532,386
2017-12-05$44.13$42.0041.6%10.7%47.0%32.7%40.3%3.6%1.2%-4.9K-1.1M-19.9K2.3440.56N/AN/A2385582,4552,667
2017-12-06$45.40$42.0045.1%10.5%48.0%41.2%41.4%3.8%3.1%78.2K-2.6M-19.4K2.3528.08N/AN/A2335482,4572,677
2017-12-07$48.30$42.0038.4%10.3%51.8%25.3%37.0%3.4%3.9%263.4K-5.6M-19.0K1.0354.97N/AN/A5505672,4762,688
2017-12-08$48.25$42.0037.7%10.3%40.6%23.6%37.9%3.6%2.6%335.2K-6.4M-20.5K1.0127.22N/AN/A5905972,7812,725
2017-12-11$47.53$42.0043.9%10.3%39.8%38.4%36.3%2.8%4.0%363.1K-5.7M-19.8K1.0525.80N/AN/A5866153,0042,735
2017-12-12$46.55$42.0059.5%10.1%40.5%75.5%36.0%3.2%2.5%255.7K-4.6M-19.9K1.9028.99N/AN/A3266193,0432,766
2017-12-13$48.10$42.0036.0%10.3%41.5%19.4%36.1%-0.7%3.6%309.4K-6.9M-18.6K1.6377.41N/AN/A4256913,0542,776
2017-12-14$47.58$42.0034.8%10.0%41.4%16.5%36.0%3.3%4.3%416.5K-5.3M-18.3K1.8230.59N/AN/A3726782,9802,792
2017-12-15$48.90$42.0033.9%9.7%42.1%14.3%34.4%3.6%5.9%94.6K-6.5M-17.1K0.9926.00N/AN/A6426362,9832,848
2017-12-18$49.35$42.0033.7%9.7%41.9%14.0%35.4%1.9%6.9%97.8K-5.2M-16.3K1.7125.98N/AN/A3856571,8352,372
2017-12-19$47.65$44.0032.0%9.2%43.5%10.0%34.0%1.1%7.4%51.0K-3.9M-18.4K4.0319.23N/AN/A2521,0151,9212,786
2017-12-20$48.20$45.0031.9%9.2%43.7%9.8%32.1%-0.1%5.8%-39.2K-3.6M-20.4K2.0176.94N/AN/A2755541,9283,519
2017-12-21$47.90$45.0032.2%9.2%43.7%10.3%32.3%0.7%6.4%-60.8K-3.3M-21.4K1.9819.54N/AN/A2745431,9583,834
2017-12-22$47.70$45.0031.1%8.9%43.7%7.8%31.3%2.1%7.0%-68.9K-3.0M-21.7K1.9819.64N/AN/A2835601,9653,835
2017-12-26$48.80$45.0031.9%9.2%44.3%9.7%32.1%1.4%6.7%-27.4K-4.3M-19.1K2.3521.06N/AN/A2836641,9673,889
2017-12-27$48.40$45.0031.4%9.0%43.3%8.6%33.0%-0.1%7.7%-74.0K-3.6M-20.3K4.9228.00N/AN/A2921,4361,9934,117
2017-12-28$48.33$45.0031.1%8.9%40.3%7.7%33.3%0.9%8.0%-157.2K-3.1M-21.9K4.5418.77N/AN/A3171,4392,0124,660
2017-12-29$48.50$45.0031.9%9.2%40.2%9.8%31.2%1.3%6.2%-127.0K-3.4M-21.1K5.3727.60N/AN/A2681,4392,0404,662