RNG Options History — February 2018

In February 2018, RNG traded between $51.05 and $64.75. ATM implied volatility averaged 45.1%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 5.1% (HV 20d: 40.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2018-02-13: Highest Volume — 2,693 contracts
  • 2018-02-05: Largest IV spike — 27.4% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.07$51.05$64.75$54.20$62.93
Max Pain$54.74$50.00$55.00$55.00$55.00
ATM IV45.1%34.6%71.3%54.1%40.1%
Expected Move12.0%9.9%15.4%12.5%11.5%
HV 20d40.0%32.6%46.9%32.6%44.0%
HV 60d38.2%34.6%40.3%38.4%39.0%
IV Rank40.0%15.6%100.0%62.6%28.2%
IV Percentile73.0%43.7%100.0%94.0%65.1%
Term Structure-2.1%-7.9%2.5%-2.2%-0.9%
VWIV43.7%36.6%55.5%44.1%51.3%
Skew 25d5.6%0.5%22.1%0.5%5.3%
Skew 10d10.7%-6.2%46.0%6.6%12.9%
Call IV 25d41.9%35.3%54.3%45.0%40.2%
Put IV 25d47.6%39.3%76.4%45.4%45.5%
Bid-Ask Spread %53.5517.9179.0657.5073.48
Gamma HHI0.390.180.750.250.51
Net GEX249.0K77.2K519.6K147.4K256.3K
Net DEX-8.9M-18.1M-3.1M-5.2M-9.9M
Net VEX-23.1K-28.7K-16.6K-23.4K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.262.471.992.47
Total Volume1,257.1588062,6939521,253
Total OI5,059.3164,3286,9864,4535,291

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$54.20$55.0054.1%12.5%32.6%62.6%44.1%0.5%-2.2%147.4K-5.2M-23.4K1.9957.50N/AN/A3186342,3192,134
2018-02-02$53.18$55.0055.9%12.5%33.0%67.0%44.0%1.4%-4.5%144.3K-4.8M-23.2K1.9841.97N/AN/A3276462,3272,149
2018-02-05$51.05$55.0071.3%14.1%37.0%100.0%50.7%0.7%-6.3%77.2K-3.1M-22.2K1.5967.55N/AN/A3786022,3162,138
2018-02-06$51.60$55.0062.4%13.7%36.3%79.6%46.3%8.3%-0.9%98.9K-3.5M-21.4K0.9179.06N/AN/A4634202,3422,145
2018-02-07$52.75$55.0045.3%13.0%36.9%40.3%45.9%4.1%-4.3%149.4K-4.8M-21.8K0.8056.41N/AN/A5134112,4322,174
2018-02-08$52.65$55.0047.1%13.5%36.8%44.3%55.5%22.1%-4.4%130.5K-4.7M-23.3K1.1771.92N/AN/A3714352,5422,194
2018-02-09$52.15$55.0053.6%15.4%33.3%59.4%54.6%6.8%-3.4%128.6K-4.2M-22.4K0.6473.14N/AN/A5323392,5522,226
2018-02-12$53.25$55.0049.4%14.2%33.8%49.7%49.8%9.1%-7.9%159.8K-5.2M-21.1K0.5361.11N/AN/A1,0515622,5232,308
2018-02-13$57.03$50.0040.7%11.7%39.5%29.5%40.8%8.5%-1.1%489.1K-11.5M-19.6K0.2665.99N/AN/A2,1455483,1692,490
2018-02-14$57.85$55.0037.7%10.8%39.5%22.7%41.3%5.8%-1.7%519.6K-11.5M-20.2K0.6934.39N/AN/A6214303,3202,633
2018-02-15$61.55$55.0037.0%10.6%43.2%21.0%37.8%4.3%-1.2%480.1K-17.0M-16.6K0.2744.72N/AN/A2,0795533,3712,718
2018-02-16$63.10$55.0034.6%9.9%43.6%15.6%37.8%4.0%-0.4%198.3K-18.1M-20.7K0.3464.38N/AN/A1,4324814,0952,891
2018-02-20$64.75$55.0038.6%11.1%43.9%24.6%39.2%4.7%-1.8%236.6K-12.0M-20.6K0.3960.26N/AN/A8923502,5581,770
2018-02-21$62.20$55.0041.1%11.8%46.9%30.4%38.8%4.3%-3.3%283.8K-10.1M-26.0K0.6017.91N/AN/A5993572,9601,881
2018-02-22$62.30$55.0039.7%11.4%46.3%27.4%38.6%4.3%-1.9%290.3K-9.9M-26.5K1.3422.04N/AN/A3644882,9531,909
2018-02-23$63.20$55.0035.5%10.2%46.3%17.6%38.4%5.1%2.4%308.5K-10.4M-27.1K1.5245.38N/AN/A3254942,9432,041
2018-02-26$63.45$55.0036.4%10.4%45.1%19.8%38.6%3.5%2.5%328.4K-11.1M-25.8K1.5033.83N/AN/A4977462,9792,035
2018-02-27$64.20$55.0036.4%10.4%42.9%19.7%36.6%3.9%0.8%304.7K-11.3M-28.3K1.3646.41N/AN/A5217093,0202,279
2018-02-28$62.93$55.0040.1%11.5%44.0%28.2%51.3%5.3%-0.9%256.3K-9.9M-28.7K2.4773.48N/AN/A3618922,9842,307