RNG Options History — June 2018

In June 2018, RNG traded between $68.55 and $80.53. ATM implied volatility averaged 36.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.7% (HV 20d: 33.5%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2018-06-20: Highest Volume — 4,361 contracts
  • 2018-06-13: Largest IV drop — 29.3% change
  • 2018-06-12: Highest IV Rank — 45.0%
  • 2018-06-25: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.11$68.55$80.53$76.30$70.45
Max Pain$69.29$65.00$75.00$75.00$75.00
ATM IV36.3%31.5%47.4%32.4%35.6%
Expected Move9.9%8.9%11.0%9.3%10.2%
HV 20d33.5%28.3%39.8%33.7%39.6%
HV 60d33.8%32.8%35.3%32.8%34.0%
IV Rank19.4%8.4%45.0%10.6%17.9%
IV Percentile37.8%6.7%83.3%14.7%35.7%
Term Structure4.0%0.7%6.0%0.7%5.0%
VWIV35.6%32.7%40.2%32.9%35.9%
Skew 25d3.5%1.4%5.1%4.4%2.8%
Skew 10d7.4%4.3%12.3%7.0%5.3%
Call IV 25d34.0%30.6%37.7%30.8%34.8%
Put IV 25d37.5%34.7%41.5%35.2%37.6%
Bid-Ask Spread %24.0712.9077.9517.6731.71
Gamma HHI0.420.240.660.580.33
Net GEX291.1K-583.0K1.6M1.0M-583.0K
Net DEX-7.4M-19.9M8.9M-14.6M5.6M
Net VEX-56.2K-71.1K-45.9K-51.2K-67.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.204.210.632.26
Total Volume1,628.9525694,3616281,478
Total OI8,4924,9379,9888,8109,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$76.30$75.0032.4%9.3%33.7%10.6%32.9%4.4%0.7%1.0M-14.6M-51.2K0.6317.67N/AN/A3862426,1642,646
2018-06-04$77.03$65.0035.2%9.6%33.6%16.9%33.8%3.7%2.5%1.2M-15.9M-48.5K0.6219.74N/AN/A3522176,1242,671
2018-06-05$78.72$65.0031.5%8.9%33.4%8.4%34.6%4.1%3.4%1.6M-19.9M-49.3K0.6116.13N/AN/A3972426,1352,682
2018-06-06$78.10$65.0033.7%9.2%33.7%13.6%32.7%3.0%3.5%1.5M-18.2M-48.3K0.2016.49N/AN/A2,7535476,1612,675
2018-06-07$74.70$65.0038.9%9.6%37.0%25.4%34.9%3.4%3.1%303.8K-9.2M-50.0K0.3921.84N/AN/A1,7406805,1172,975
2018-06-08$74.88$65.0037.7%9.7%31.4%22.6%35.2%4.2%3.1%359.9K-9.7M-53.5K0.5618.41N/AN/A1,1496445,3603,062
2018-06-11$74.93$65.0043.8%9.7%29.6%36.8%35.7%3.9%3.0%373.1K-9.8M-52.0K1.3419.15N/AN/A4846475,4283,064
2018-06-12$77.05$65.0047.4%9.7%31.2%45.0%33.8%4.7%3.2%815.5K-14.2M-50.8K0.7616.12N/AN/A6314775,5293,095
2018-06-13$77.78$65.0033.5%9.6%30.3%13.1%35.5%4.2%2.7%966.4K-15.2M-49.7K1.1716.87N/AN/A5706655,5093,101
2018-06-14$77.85$65.0033.7%9.7%28.7%13.5%35.0%3.1%3.2%1.1M-15.5M-48.9K0.8214.71N/AN/A6655465,5393,203
2018-06-15$78.50$65.0033.4%9.6%28.3%12.7%34.3%3.7%3.4%175.8K-14.9M-47.0K0.7133.55N/AN/A8005655,6553,199
2018-06-18$80.53$65.0033.8%9.7%29.6%13.7%34.5%3.3%5.3%215.8K-13.2M-45.9K0.9216.48N/AN/A7757162,7992,138
2018-06-19$76.72$70.0035.6%10.2%32.3%17.8%36.2%4.0%5.9%189.7K-9.7M-51.9K1.3254.07N/AN/A3714903,1622,346
2018-06-20$77.30$70.0035.3%10.1%31.4%17.1%37.1%2.8%5.7%195.9K-10.4M-52.0K4.2112.90N/AN/A8373,5243,1732,350
2018-06-21$74.88$75.0034.8%10.0%33.6%16.0%40.2%2.6%6.0%-388.6K-2.4M-71.1K2.9977.95N/AN/A6932,0693,6595,321
2018-06-22$72.45$75.0036.1%10.3%34.7%18.9%35.4%2.5%4.4%-563.8K2.9M-71.0K1.1814.84N/AN/A7458763,7235,455
2018-06-25$69.55$75.0038.5%11.0%37.4%24.6%38.7%3.8%3.8%-575.6K7.8M-68.6K1.3520.37N/AN/A6699023,8555,786
2018-06-26$70.15$75.0036.4%10.4%37.3%19.6%37.4%3.2%5.0%-559.8K6.3M-68.0K1.7032.54N/AN/A5238873,9775,746
2018-06-27$68.55$75.0037.4%10.7%37.3%22.0%37.8%1.4%4.6%-579.4K8.9M-65.6K1.6314.40N/AN/A5889574,0245,785
2018-06-28$70.88$75.0036.9%10.6%39.8%20.9%35.6%5.1%5.3%-577.6K5.6M-69.3K2.1819.51N/AN/A5381,1714,0425,909
2018-06-29$70.45$75.0035.6%10.2%39.6%17.9%35.9%2.8%5.0%-583.0K5.6M-67.0K2.2631.71N/AN/A4531,0254,0575,931