RNG Options History — April 2018

In April 2018, RNG traded between $61.85 and $68.95. ATM implied volatility averaged 45.0%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 7.5% (HV 20d: 37.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-04-04: Highest Volume — 1,479 contracts
  • 2018-04-11: Largest IV spike — 12.5% change
  • 2018-04-30: Highest IV Rank — 58.5%
  • 2018-04-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.09$61.85$68.95$61.85$67.30
Max Pain$64.29$60.00$65.00$60.00$65.00
ATM IV45.0%39.5%53.2%46.6%53.2%
Expected Move13.2%11.8%15.3%13.4%15.3%
HV 20d37.5%29.2%40.6%35.6%29.2%
HV 60d37.5%36.6%38.3%37.8%36.8%
IV Rank39.4%26.8%58.5%43.1%58.5%
IV Percentile78.3%61.1%94.0%86.5%94.0%
Term Structure-5.5%-10.3%5.4%3.1%-10.3%
VWIV47.2%43.0%54.3%48.0%54.3%
Skew 25d4.8%3.3%7.1%3.3%7.1%
Skew 10d9.8%6.0%13.4%8.6%12.7%
Call IV 25d44.9%40.7%49.1%46.2%49.1%
Put IV 25d49.7%45.1%56.3%49.5%56.3%
Bid-Ask Spread %22.5415.5854.7254.7222.14
Gamma HHI0.320.230.530.240.30
Net GEX241.5K26.0K617.6K26.0K304.8K
Net DEX-9.6M-15.7M-4.7M-4.8M-6.9M
Net VEX-43.0K-47.6K-39.1K-44.3K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.401.050.710.61
Total Volume943.2384741,4791,064474
Total OI6,479.2384,1387,6216,5864,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$61.85$60.0046.6%13.4%35.6%43.1%48.0%3.3%3.1%26.0K-4.8M-44.3K0.7154.72N/AN/A6214433,3843,202
2018-04-03$63.68$60.0042.6%12.2%36.9%33.9%45.5%3.3%2.8%69.4K-7.4M-44.8K0.8715.58N/AN/A4784153,5193,172
2018-04-04$65.22$60.0041.1%11.8%37.9%30.5%44.9%4.4%5.4%103.2K-8.8M-45.1K0.4037.74N/AN/A1,0574223,5043,165
2018-04-05$65.00$65.0039.5%13.3%37.4%26.8%47.1%4.7%-5.9%162.8K-9.5M-47.6K0.8920.08N/AN/A5114554,1353,183
2018-04-06$63.80$65.0040.4%13.6%37.9%28.8%49.1%4.4%-6.2%119.1K-7.9M-47.0K1.0420.03N/AN/A4414594,1423,190
2018-04-09$64.30$65.0041.1%13.5%37.6%30.5%48.4%3.5%-6.6%127.7K-8.8M-45.0K0.9920.06N/AN/A4584554,1423,194
2018-04-10$65.90$65.0042.3%13.5%38.6%33.4%47.3%4.6%-7.2%196.5K-10.7M-45.4K1.0520.16N/AN/A5395644,1803,211
2018-04-11$65.83$65.0047.6%13.7%38.2%45.6%47.2%4.5%-7.6%213.3K-11.1M-44.7K0.6925.66N/AN/A6694594,2563,155
2018-04-12$67.90$65.0045.5%13.1%38.3%40.8%47.7%5.1%-7.2%347.3K-14.4M-45.0K0.7521.41N/AN/A6014524,3143,167
2018-04-13$66.10$65.0047.5%13.6%39.4%45.3%47.9%4.6%-8.1%209.6K-11.4M-43.6K0.8717.41N/AN/A5134464,3173,177
2018-04-16$66.70$65.0043.4%12.4%39.5%35.8%45.3%4.3%-6.0%261.2K-12.5M-40.6K0.8117.47N/AN/A5604514,3193,177
2018-04-17$68.75$65.0042.2%12.1%40.6%33.1%43.0%4.6%-7.0%520.7K-15.7M-41.2K0.7217.68N/AN/A6284504,3383,223
2018-04-18$68.95$65.0041.9%12.0%40.1%32.3%44.7%4.0%-6.1%617.6K-15.6M-40.2K0.7420.76N/AN/A6504824,2893,253
2018-04-19$68.05$65.0041.7%12.0%40.4%31.9%44.6%4.4%-5.4%431.7K-14.2M-39.6K0.8318.63N/AN/A5584614,3193,281
2018-04-20$67.15$65.0045.1%12.9%40.2%39.9%45.7%4.7%-7.3%201.0K-13.1M-39.1K0.7527.37N/AN/A6885134,3133,308
2018-04-23$66.75$65.0046.5%13.3%39.9%43.0%45.7%5.7%-6.8%211.8K-5.7M-40.5K0.4519.43N/AN/A5642552,7651,373
2018-04-24$65.80$65.0048.6%13.9%39.0%47.8%47.6%5.2%-7.1%196.6K-4.9M-41.0K0.4719.77N/AN/A5462592,8351,429
2018-04-25$64.90$65.0048.2%13.8%36.9%46.8%49.3%4.9%-7.1%211.4K-4.7M-41.7K0.7715.84N/AN/A3402613,0401,457
2018-04-26$66.80$65.0049.7%14.2%32.4%50.3%48.4%5.8%-8.0%262.7K-6.2M-42.6K0.6320.30N/AN/A3582243,0641,454
2018-04-27$67.18$65.0049.2%14.1%31.3%49.2%48.9%6.8%-7.8%277.2K-6.3M-42.1K0.5621.14N/AN/A4032253,0681,445
2018-04-30$67.30$65.0053.2%15.3%29.2%58.5%54.3%7.1%-10.3%304.8K-6.9M-41.7K0.6122.14N/AN/A2951793,1611,444