RNG Options History — May 2018

In May 2018, RNG traded between $67.75 and $77.35. ATM implied volatility averaged 38.9%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.6% (HV 20d: 31.3%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-05-10: Highest Volume — 3,833 contracts
  • 2018-05-09: Largest IV drop — 34.2% change
  • 2018-05-08: Highest IV Rank — 77.5%
  • 2018-05-02: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.50$67.75$77.35$67.75$75.75
Max Pain$70.91$65.00$75.00$65.00$70.00
ATM IV38.9%30.8%61.5%50.6%34.0%
Expected Move10.4%8.8%14.8%14.5%9.7%
HV 20d31.3%26.6%34.9%27.7%33.7%
HV 60d34.0%32.1%36.5%36.5%32.9%
IV Rank25.5%6.8%77.5%52.3%14.1%
IV Percentile38.8%2.8%98.0%91.7%27.0%
Term Structure-1.8%-10.9%1.0%-10.0%-0.6%
VWIV37.4%29.6%52.5%52.5%34.6%
Skew 25d4.3%2.1%6.1%5.8%5.6%
Skew 10d8.8%6.2%13.9%11.9%9.1%
Call IV 25d35.2%29.3%50.2%50.1%32.1%
Put IV 25d39.5%32.7%56.0%56.0%37.7%
Bid-Ask Spread %20.9612.6529.0319.6620.13
Gamma HHI0.460.300.680.300.55
Net GEX745.9K315.6K1.8M315.6K905.3K
Net DEX-13.2M-26.7M-7.3M-7.3M-13.1M
Net VEX-46.8K-54.5K-34.8K-41.6K-52.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.181.890.590.55
Total Volume1,178.1364903,833490779
Total OI6,907.2734,6069,0994,6068,741

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$67.75$65.0050.6%14.5%27.7%52.3%52.5%5.8%-10.0%315.6K-7.3M-41.6K0.5919.66N/AN/A3081823,1521,454
2018-05-02$69.45$65.0051.6%14.8%27.8%54.6%52.5%5.6%-10.9%362.8K-8.9M-41.7K0.7423.84N/AN/A3072273,1671,465
2018-05-03$69.75$70.0051.7%11.7%27.7%54.9%42.0%4.8%-3.3%373.3K-9.1M-42.3K0.9713.76N/AN/A3583483,1981,492
2018-05-04$69.40$70.0053.3%11.7%26.6%58.6%42.5%4.8%-3.9%366.6K-8.5M-42.3K0.8916.02N/AN/A3793383,2581,638
2018-05-07$71.15$70.0059.8%12.0%27.6%73.7%43.6%4.6%-4.5%391.3K-10.2M-41.0K0.8412.65N/AN/A4473753,2591,642
2018-05-08$71.63$70.0061.5%12.3%26.7%77.5%43.0%5.5%-5.4%438.8K-11.1M-41.6K0.8915.69N/AN/A4133693,4011,700
2018-05-09$73.30$70.0040.5%11.6%27.4%29.1%43.1%4.2%-3.6%468.8K-12.8M-41.0K0.5119.77N/AN/A6443313,3841,784
2018-05-10$77.35$70.0031.5%9.0%31.2%8.5%31.0%2.1%0.3%698.0K-19.2M-34.8K0.1825.97N/AN/A3,2495843,5731,917
2018-05-11$75.10$70.0030.9%8.9%31.5%7.2%32.0%3.6%0.1%1.1M-15.9M-47.8K0.4522.07N/AN/A9434225,1162,074
2018-05-14$74.95$70.0031.3%9.0%31.7%8.0%32.1%3.3%0.5%1.1M-15.4M-45.7K0.3025.55N/AN/A9892985,1262,142
2018-05-15$73.45$70.0031.1%8.9%31.6%7.6%33.7%3.8%1.0%997.7K-12.3M-44.5K0.2729.03N/AN/A1,3803695,1512,130
2018-05-16$75.55$70.0030.8%8.8%32.8%6.8%29.7%2.9%0.6%1.8M-18.6M-45.7K0.3722.69N/AN/A1,0844035,5862,208
2018-05-17$76.80$75.0031.2%8.9%32.3%7.7%29.6%4.0%0.6%1.4M-22.6M-45.1K0.3519.20N/AN/A1,6275765,7092,251
2018-05-18$76.95$75.0031.1%8.9%31.6%7.4%29.7%3.9%0.8%794.8K-26.7M-53.9K0.4116.94N/AN/A1,1144576,7912,308
2018-05-21$74.40$75.0032.9%9.4%34.5%11.6%33.7%3.4%0.6%695.6K-11.8M-51.4K0.3220.64N/AN/A1,2984145,2091,890
2018-05-22$72.95$70.0033.3%9.5%34.9%12.4%36.9%4.0%-0.0%608.7K-9.6M-53.5K0.7819.98N/AN/A5934626,0882,045
2018-05-23$72.38$75.0035.5%10.2%34.6%17.6%34.8%3.8%-0.0%526.6K-8.7M-52.2K0.5120.41N/AN/A4682376,1152,073
2018-05-24$74.10$75.0031.8%9.1%34.1%9.2%33.6%3.9%0.5%755.5K-11.5M-54.5K0.4525.60N/AN/A4952256,1682,071
2018-05-25$74.05$75.0032.9%9.4%34.2%11.6%36.0%3.7%0.2%726.9K-11.2M-52.2K1.8926.04N/AN/A3757096,0912,073
2018-05-29$74.95$70.0034.6%9.9%34.3%15.6%37.3%6.1%-1.0%719.6K-11.4M-52.3K0.6025.62N/AN/A4012406,0932,555
2018-05-30$75.95$70.0034.2%9.8%34.4%14.6%38.7%4.8%-0.6%934.4K-13.9M-52.7K0.4919.87N/AN/A4702326,1182,554
2018-05-31$75.75$70.0034.0%9.7%33.7%14.1%34.6%5.6%-0.6%905.3K-13.1M-52.2K0.5520.13N/AN/A5012786,1722,569