RNG Options History — August 2018

In August 2018, RNG traded between $76.33 and $94.15. ATM implied volatility averaged 38.6%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.2% (HV 20d: 42.8%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2018-08-06: Highest Volume — 10,307 contracts
  • 2018-08-07: Largest IV drop — 39.5% change
  • 2018-08-06: Highest IV Rank — 76.2%
  • 2018-08-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.26$76.33$94.15$76.33$93.08
Max Pain$81.74$75.00$90.00$80.00$90.00
ATM IV38.6%32.0%60.9%58.8%32.8%
Expected Move10.7%9.2%16.9%16.9%9.4%
HV 20d42.8%24.0%50.8%49.1%25.2%
HV 60d39.9%38.3%41.1%40.8%38.3%
IV Rank20.4%3.7%76.2%71.3%5.1%
IV Percentile38.2%9.5%97.6%96.0%13.9%
Term Structure-1.1%-15.0%2.4%-14.9%1.5%
VWIV38.1%30.8%62.9%56.6%32.2%
Skew 25d3.8%2.2%9.7%3.9%2.9%
Skew 10d7.5%-1.0%12.5%-1.0%6.8%
Call IV 25d36.6%31.9%58.1%56.7%32.6%
Put IV 25d40.4%34.8%67.8%60.6%35.5%
Bid-Ask Spread %28.0418.1266.5462.1520.92
Gamma HHI0.480.220.630.220.53
Net GEX1.2M-160.2K1.9M-160.2K1.2M
Net DEX-32.3M-46.2M-814.3K-814.3K-34.9M
Net VEX-96.1K-104.5K-78.2K-78.2K-101.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.203.710.202.29
Total Volume2,152.78393810,3073,3251,169
Total OI12,238.2177,83416,6727,83410,319

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$76.33$80.0058.8%16.9%49.1%71.3%56.6%3.9%-14.9%-160.2K-814.3K-78.2K0.2062.15N/AN/A2,7805453,6044,230
2018-08-02$78.45$80.0056.6%16.2%49.8%66.2%57.5%6.1%-14.6%487.1K-11.4M-91.5K0.4526.36N/AN/A1,2735715,8424,236
2018-08-03$79.70$80.0058.0%16.6%46.9%69.5%62.9%9.7%-15.0%570.7K-14.9M-94.5K1.7066.54N/AN/A9581,6326,1064,264
2018-08-06$81.58$75.0060.9%12.4%47.2%76.2%42.8%3.7%-1.8%488.3K-18.1M-93.9K0.5130.45N/AN/A6,8043,5036,2545,309
2018-08-07$86.40$75.0036.8%10.2%50.8%17.5%34.8%4.2%0.2%1.9M-41.9M-104.5K0.5735.66N/AN/A2,2061,2688,6207,162
2018-08-08$87.05$75.0036.3%10.0%50.7%14.9%35.9%3.3%0.4%1.9M-42.9M-104.4K0.5318.12N/AN/A1,6778858,9167,561
2018-08-09$87.28$80.0036.6%9.8%48.6%15.5%34.9%3.3%0.5%1.6M-38.6M-101.5K1.1425.06N/AN/A9891,1248,2537,726
2018-08-10$87.65$80.0032.7%9.7%48.6%6.1%34.5%4.5%0.2%1.6M-39.5M-102.5K0.6520.04N/AN/A1,5631,0148,2828,018
2018-08-13$87.55$80.0038.0%9.8%48.6%18.8%36.3%3.3%1.1%1.7M-39.5M-97.8K1.0518.44N/AN/A7167528,3098,092
2018-08-14$89.30$80.0036.0%9.7%47.3%14.0%35.8%4.2%0.9%1.7M-46.0M-92.1K1.1119.43N/AN/A6647408,2858,226
2018-08-15$88.75$80.0035.4%10.2%47.4%12.7%35.8%3.8%0.6%1.7M-44.3M-92.9K1.0438.11N/AN/A7147438,3388,246
2018-08-16$89.30$80.0034.6%9.9%47.4%10.7%35.2%4.0%0.2%1.8M-46.2M-93.0K1.4520.70N/AN/A4706818,3668,283
2018-08-17$88.85$80.0034.4%9.9%47.2%10.2%37.3%4.0%1.6%889.5K-43.3M-91.4K1.5929.97N/AN/A4407008,3138,359
2018-08-20$89.70$85.0033.9%9.7%47.1%8.9%35.0%3.1%0.9%841.8K-23.8M-93.3K2.2019.44N/AN/A2936455,2403,140
2018-08-21$90.00$85.0033.7%9.7%45.6%8.4%33.7%3.4%1.0%892.3K-24.5M-93.7K1.1322.21N/AN/A5966745,3283,169
2018-08-22$90.75$85.0033.5%9.6%45.0%8.0%34.8%3.0%0.9%955.7K-26.4M-93.4K2.2629.05N/AN/A3016815,3963,200
2018-08-23$91.20$85.0033.5%9.6%44.9%8.0%34.9%2.2%0.9%974.0K-27.7M-91.9K1.3222.99N/AN/A5877735,4543,219
2018-08-24$93.78$85.0032.0%9.2%44.1%4.4%33.6%3.1%2.4%932.8K-32.7M-94.7K0.6533.84N/AN/A1,8101,1845,6273,351
2018-08-27$93.05$85.0032.9%9.4%26.8%6.5%33.9%3.0%1.7%1.2M-35.7M-103.1K1.8120.90N/AN/A5169356,4703,575
2018-08-28$93.80$85.0032.3%9.2%26.0%3.7%33.8%3.0%2.3%1.2M-37.4M-101.3K2.3022.61N/AN/A4209656,4873,745
2018-08-29$94.15$85.0032.8%9.4%24.0%5.0%32.5%3.3%1.8%1.2M-38.2M-99.2K3.7118.62N/AN/A2609656,5003,765
2018-08-30$92.33$85.0034.3%9.8%25.3%8.6%30.8%2.6%1.1%1.3M-34.0M-101.0K2.9623.39N/AN/A3359936,4913,803
2018-08-31$93.08$90.0032.8%9.4%25.2%5.1%32.2%2.9%1.5%1.2M-34.9M-101.7K2.2920.92N/AN/A3558146,4853,834