RNG Options History — July 2018

In July 2018, RNG traded between $71.00 and $82.83. ATM implied volatility averaged 42.4%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.8% (HV 20d: 39.6%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2018-07-30: Highest Volume — 3,156 contracts
  • 2018-07-11: Largest IV spike — 23.4% change
  • 2018-07-31: Highest IV Rank — 56.4%
  • 2018-07-31: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.62$71.00$82.83$71.28$73.30
Max Pain$76.90$75.00$80.00$75.00$80.00
ATM IV42.4%33.3%52.3%37.4%52.3%
Expected Move12.6%10.4%15.0%10.7%15.0%
HV 20d39.6%32.4%47.2%39.7%47.2%
HV 60d35.3%33.4%40.3%33.8%40.3%
IV Rank33.5%12.5%56.4%22.0%56.4%
IV Percentile63.6%19.0%91.7%46.4%91.7%
Term Structure-5.5%-11.8%6.3%5.3%-11.8%
VWIV45.9%35.5%53.3%35.5%51.8%
Skew 25d4.1%1.6%5.3%4.5%5.3%
Skew 10d7.9%2.8%10.2%8.5%10.1%
Call IV 25d43.2%34.3%51.3%34.3%51.3%
Put IV 25d47.3%37.8%56.5%38.8%56.5%
Bid-Ask Spread %24.0110.9851.8310.9819.63
Gamma HHI0.320.240.400.320.24
Net GEX-10.5K-556.2K828.0K-519.1K-248.5K
Net DEX-7.0M-21.4M4.3M3.2M4.3M
Net VEX-58.0K-74.9K-45.0K-64.1K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.585.132.143.12
Total Volume1,666.5248143,1561,2862,180
Total OI8,628.4295,39610,9089,8217,674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$71.28$75.0037.4%10.7%39.7%22.0%35.5%4.5%5.3%-519.1K3.2M-64.1K2.1410.98N/AN/A4098774,0855,736
2018-07-03$71.00$75.0036.3%10.4%38.5%19.5%36.0%1.6%6.3%-535.1K3.8M-62.4K2.2050.23N/AN/A4349564,0905,773
2018-07-05$71.18$75.0037.2%12.3%38.6%21.5%48.4%4.6%-3.6%-556.2K3.6M-59.6K2.5451.83N/AN/A4341,1024,0965,768
2018-07-06$74.95$75.0033.3%12.2%40.5%12.5%45.9%2.9%-4.5%-367.8K-4.6M-60.1K1.7528.18N/AN/A5058864,1225,563
2018-07-09$74.30$75.0035.1%12.5%40.6%16.7%47.3%4.2%-5.4%-378.9K-3.6M-55.3K2.4833.66N/AN/A4501,1164,0805,567
2018-07-10$74.50$75.0034.9%12.3%40.6%16.3%48.5%3.9%-4.7%-280.1K-4.8M-53.1K2.6621.09N/AN/A3921,0414,0825,461
2018-07-11$74.63$75.0043.1%12.4%39.2%35.1%48.3%4.1%-4.9%-330.3K-5.0M-52.6K2.8619.82N/AN/A3641,0414,1145,465
2018-07-12$78.22$75.0041.8%12.0%42.7%32.2%42.5%3.5%-5.0%88.9K-12.2M-50.5K1.3019.51N/AN/A7489754,0955,465
2018-07-13$78.68$75.0042.1%12.1%42.8%32.7%41.9%4.3%-4.8%208.4K-12.6M-48.3K2.1818.70N/AN/A4529864,0355,371
2018-07-16$78.90$75.0043.2%12.4%42.7%35.4%44.2%4.2%-6.5%283.1K-13.1M-45.5K3.0516.69N/AN/A3771,1504,0635,397
2018-07-17$82.05$75.0043.4%12.4%44.0%35.8%42.8%4.0%-6.0%709.0K-18.9M-45.0K0.9620.84N/AN/A8988664,1435,487
2018-07-18$82.83$75.0042.1%12.1%40.0%32.8%47.4%4.5%-6.3%828.0K-20.7M-45.9K1.5512.96N/AN/A6621,0254,3345,483
2018-07-19$82.80$75.0042.2%12.1%40.0%33.0%44.0%4.1%-6.7%827.5K-21.4M-49.5K4.3415.13N/AN/A4501,9544,5605,407
2018-07-20$81.95$80.0043.9%12.6%38.2%36.9%43.9%3.5%-7.0%-13.7K-16.3M-57.8K3.1515.55N/AN/A6181,9484,4286,480
2018-07-23$81.60$80.0045.1%12.9%35.7%39.7%45.1%4.4%-7.2%8.5K-6.0M-58.4K4.4316.18N/AN/A4001,7742,6422,754
2018-07-24$79.43$80.0044.7%12.8%33.6%38.8%47.3%4.6%-7.5%-13.9K-3.5M-63.9K2.1017.56N/AN/A3627612,8703,056
2018-07-25$81.60$80.0047.0%13.5%34.4%44.1%50.4%4.7%-8.0%4.9K-6.1M-64.0K0.5851.63N/AN/A7994652,8663,136
2018-07-26$82.60$80.0046.0%13.2%32.4%41.7%51.0%4.3%-8.5%86.4K-8.7M-74.9K0.6616.88N/AN/A7034673,3483,144
2018-07-27$80.55$80.0047.1%13.5%33.3%44.3%48.1%4.2%-8.5%39.4K-5.8M-72.7K1.5430.20N/AN/A3214933,3283,145
2018-07-30$73.75$80.0052.1%14.9%47.2%55.8%53.3%5.0%-11.1%-60.4K1.9M-63.8K5.1316.86N/AN/A5152,6413,3323,152
2018-07-31$73.30$80.0052.3%15.0%47.2%56.4%51.8%5.3%-11.8%-248.5K4.3M-70.6K3.1219.63N/AN/A5291,6513,4754,199