RNG Options History — March 2018

In March 2018, RNG traded between $62.00 and $68.60. ATM implied volatility averaged 37.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.0% (HV 20d: 33.6%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2018-03-14: Highest Volume — 2,100 contracts
  • 2018-03-12: Largest IV spike — 13.4% change
  • 2018-03-28: Highest IV Rank — 36.8%
  • 2018-03-28: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.16$62.00$68.60$62.45$63.60
Max Pain$54.76$50.00$60.00$55.00$60.00
ATM IV37.6%33.9%43.8%41.4%38.8%
Expected Move10.7%9.7%12.6%11.9%11.1%
HV 20d33.6%21.5%44.3%44.1%35.2%
HV 60d35.3%33.6%38.8%38.8%37.2%
IV Rank22.5%13.9%36.8%31.2%25.1%
IV Percentile55.7%37.3%77.4%67.5%60.7%
Term Structure3.9%-1.9%8.1%-1.9%5.6%
VWIV39.5%35.9%45.5%44.4%39.9%
Skew 25d3.6%2.0%5.3%3.6%4.0%
Skew 10d7.3%4.9%11.6%6.5%8.6%
Call IV 25d36.8%34.3%41.6%38.5%39.5%
Put IV 25d40.4%36.5%46.9%42.1%43.5%
Bid-Ask Spread %49.278.6780.8771.6025.48
Gamma HHI0.380.220.550.400.26
Net GEX248.3K33.0K506.4K223.1K53.2K
Net DEX-12.8M-18.3M-4.9M-9.3M-6.6M
Net VEX-38.8K-49.0K-29.1K-31.0K-46.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.611.871.380.68
Total Volume1,221.6198632,1001,3721,079
Total OI6,529.4295,7167,8575,8676,557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$62.45$55.0041.4%11.9%44.1%31.2%44.4%3.6%-1.9%223.1K-9.3M-31.0K1.3871.60N/AN/A5767963,0742,793
2018-03-02$63.90$55.0036.9%10.6%44.3%20.8%43.3%4.4%1.8%260.7K-11.1M-29.2K1.8746.29N/AN/A4879123,1052,611
2018-03-05$64.80$50.0038.8%10.7%43.2%25.3%37.4%3.5%1.9%328.6K-12.5M-29.1K0.7867.50N/AN/A1,0288053,2202,764
2018-03-06$64.68$50.0037.0%10.7%39.1%21.0%38.2%3.4%2.2%412.8K-13.0M-31.7K1.6116.26N/AN/A5078173,5702,814
2018-03-07$65.85$50.0038.6%10.9%39.2%24.7%40.1%3.5%1.3%409.6K-14.7M-30.7K1.1739.28N/AN/A7188373,5602,845
2018-03-08$65.75$50.0035.8%10.4%39.3%18.2%38.7%2.9%2.5%435.8K-14.8M-31.3K0.7530.32N/AN/A5293963,6412,866
2018-03-09$66.68$50.0033.9%10.5%39.0%14.0%35.9%4.6%2.2%436.3K-15.9M-29.9K0.6553.71N/AN/A6494193,6322,862
2018-03-12$67.20$50.0038.5%10.3%38.2%24.4%36.4%3.4%3.2%440.0K-16.9M-30.1K0.6779.51N/AN/A6554383,7112,914
2018-03-13$66.05$50.0039.6%10.4%39.5%27.1%36.7%3.2%2.9%506.4K-15.7M-31.7K1.0880.87N/AN/A4554903,8412,939
2018-03-14$68.05$55.0035.8%10.3%34.0%18.2%38.1%3.6%3.8%412.5K-18.3M-31.6K0.9349.40N/AN/A1,0891,0113,8753,046
2018-03-15$68.10$55.0035.9%10.3%34.0%18.5%45.5%3.5%3.4%336.3K-17.9M-43.3K0.7033.63N/AN/A7565264,2283,629
2018-03-16$68.53$55.0034.5%9.9%27.4%15.3%39.1%2.7%4.5%120.2K-18.1M-41.6K0.7256.69N/AN/A6894994,1553,631
2018-03-19$67.40$55.0038.6%11.1%27.5%24.7%39.8%4.0%5.6%114.2K-11.5M-44.6K1.7569.69N/AN/A5098933,2212,833
2018-03-20$68.60$55.0035.6%10.2%26.7%17.9%38.9%2.9%7.0%132.7K-12.7M-47.1K1.308.67N/AN/A4656033,2942,994
2018-03-21$68.55$55.0033.9%9.7%21.5%13.9%36.7%2.0%8.1%146.0K-12.7M-46.3K1.1364.91N/AN/A4885503,3023,001
2018-03-22$67.38$60.0037.7%10.8%22.8%22.8%38.4%3.4%5.9%110.2K-11.2M-49.0K1.0379.63N/AN/A5125293,3553,126
2018-03-23$66.30$60.0039.0%11.2%23.5%25.7%39.6%3.2%5.3%94.4K-10.1M-48.8K1.1332.92N/AN/A4535113,3633,136
2018-03-26$68.00$60.0035.7%10.2%24.9%18.1%39.3%4.2%7.1%125.9K-11.7M-47.5K0.8552.70N/AN/A4673963,3583,153
2018-03-27$65.45$60.0040.3%11.6%28.7%28.7%39.8%5.0%5.4%81.8K-8.8M-48.0K0.7760.01N/AN/A5053913,3503,176
2018-03-28$62.00$60.0043.8%12.6%34.1%36.8%42.5%5.3%4.5%33.0K-4.9M-46.4K0.6115.57N/AN/A7574623,3923,181
2018-03-29$63.60$60.0038.8%11.1%35.2%25.1%39.9%4.0%5.6%53.2K-6.6M-46.8K0.6825.48N/AN/A6424373,3613,196