RNG Options History — January 2018

In January 2018, RNG traded between $47.25 and $55.30. ATM implied volatility averaged 41.9%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 10.6% (HV 20d: 31.4%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.14.

Notable Days

  • 2018-01-16: Highest Volume — 2,239 contracts
  • 2018-01-10: Largest IV spike — 27.4% change
  • 2018-01-31: Highest IV Rank — 67.4%
  • 2018-01-31: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.48$47.25$55.30$47.55$54.40
Max Pain$47.14$44.00$48.00$45.00$48.00
ATM IV41.9%31.4%56.1%33.5%56.1%
Expected Move12.5%9.3%16.1%9.6%16.1%
HV 20d31.4%27.8%40.4%40.4%32.4%
HV 60d37.6%36.8%38.6%37.2%38.5%
IV Rank33.6%8.6%67.4%13.4%67.4%
IV Percentile62.6%9.9%96.4%32.5%96.4%
Term Structure-4.1%-12.0%6.9%6.8%-12.0%
VWIV44.0%32.7%56.3%35.0%56.3%
Skew 25d-0.0%-9.7%3.3%-0.5%-9.7%
Skew 10d3.9%-17.0%36.5%5.6%36.5%
Call IV 25d44.5%32.4%59.3%34.2%59.2%
Put IV 25d44.5%33.7%54.6%33.7%49.6%
Bid-Ask Spread %46.8420.0094.9439.0994.94
Gamma HHI0.350.240.560.430.27
Net GEX34.4K-436.4K300.7K-216.9K158.4K
Net DEX-5.8M-11.8M-1.6M-2.3M-5.4M
Net VEX-19.3K-23.5K-14.4K-20.6K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.141.073.623.301.49
Total Volume1,492.8579782,2391,5781,037
Total OI6,643.9523,2259,5326,7014,413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$47.55$45.0033.5%9.6%40.4%13.4%35.0%-0.5%6.8%-216.9K-2.3M-20.6K3.3039.09N/AN/A3671,2112,0394,662
2018-01-03$47.93$45.0032.4%9.3%35.4%10.8%32.7%2.0%6.9%-217.4K-2.8M-21.6K3.4064.11N/AN/A3541,2032,1354,989
2018-01-04$47.25$48.0031.6%11.5%36.0%9.0%40.0%3.3%-0.8%-319.1K-1.7M-21.1K3.6224.68N/AN/A4311,5592,1334,997
2018-01-05$47.45$47.0031.5%11.5%34.8%8.7%39.8%2.9%-1.0%-436.4K-1.6M-22.0K2.2420.00N/AN/A4379792,1765,655
2018-01-08$48.63$47.0031.9%11.7%28.2%9.6%41.3%2.5%-1.9%-164.4K-4.1M-18.9K2.6621.96N/AN/A3729902,2295,685
2018-01-09$48.70$47.0031.4%11.4%28.2%8.6%40.2%2.6%-2.0%-126.7K-4.7M-18.0K2.6125.61N/AN/A3799902,3165,729
2018-01-10$49.25$46.0040.1%11.5%27.8%29.2%39.7%1.5%-2.1%-44.6K-5.7M-16.0K3.6133.88N/AN/A3931,4172,3155,730
2018-01-11$51.60$44.0039.9%11.4%30.7%28.7%40.5%1.0%-2.0%159.2K-8.5M-14.4K1.0741.92N/AN/A1,0281,1022,3376,183
2018-01-12$52.25$46.0040.6%11.6%29.1%30.3%41.8%-2.3%-2.0%207.7K-10.0M-16.3K1.4560.77N/AN/A7621,1042,6666,306
2018-01-16$50.70$47.0043.2%12.4%31.1%36.6%41.8%-0.4%-4.5%300.7K-8.1M-16.5K1.1364.62N/AN/A1,0491,1902,6586,384
2018-01-17$51.40$48.0045.0%12.9%30.1%40.8%47.7%-3.9%-5.9%290.6K-9.3M-18.3K1.5173.64N/AN/A7861,1882,9376,496
2018-01-18$53.15$48.0044.9%12.9%32.0%40.6%47.1%2.7%-7.4%42.4K-9.3M-19.3K1.9653.35N/AN/A5871,1503,0166,492
2018-01-19$54.00$48.0043.0%12.3%28.7%36.1%44.7%1.9%-5.4%142.9K-11.8M-16.8K2.1822.88N/AN/A5341,1633,0056,527
2018-01-22$53.85$48.0045.2%13.0%28.8%41.5%46.9%0.2%-6.1%143.3K-5.3M-16.5K1.9227.90N/AN/A3837361,7731,452
2018-01-23$53.45$48.0046.6%13.3%28.9%44.6%45.8%1.4%-7.7%125.0K-5.0M-19.9K2.4358.55N/AN/A3548611,8831,752
2018-01-24$52.70$48.0046.1%13.2%29.5%43.6%46.9%-0.3%-6.1%108.0K-4.5M-20.5K1.5346.89N/AN/A4376691,9051,951
2018-01-25$53.25$48.0047.0%13.5%28.9%45.8%47.8%-0.3%-7.4%124.6K-4.9M-20.9K1.9245.63N/AN/A3476672,0401,975
2018-01-26$55.30$48.0046.9%13.5%30.8%45.6%45.0%0.8%-6.3%159.0K-6.5M-19.8K2.0652.86N/AN/A3206582,0851,991
2018-01-29$53.65$48.0050.9%14.6%33.4%54.9%51.7%-1.1%-9.8%137.2K-5.2M-21.0K1.3652.80N/AN/A4696362,1122,017
2018-01-30$54.55$48.0052.6%15.1%33.6%59.1%50.8%-4.7%-10.2%148.4K-5.6M-23.5K1.5357.53N/AN/A4156362,2482,129
2018-01-31$54.40$48.0056.1%16.1%32.4%67.4%56.3%-9.7%-12.0%158.4K-5.4M-22.9K1.4994.94N/AN/A4176202,2842,129