RNG Options History — September 2018

In September 2018, RNG traded between $89.50 and $96.83. ATM implied volatility averaged 35.9%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 8.7% (HV 20d: 27.2%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.36.

Notable Days

  • 2018-09-17: Highest Volume — 3,369 contracts
  • 2018-09-18: Largest IV drop — 5.7% change
  • 2018-09-17: Highest IV Rank — 20.5%
  • 2018-09-17: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.51$89.50$96.83$94.95$93.35
Max Pain$83.42$80.00$90.00$85.00$85.00
ATM IV35.9%34.1%39.1%34.5%34.6%
Expected Move10.3%9.8%11.2%9.9%9.9%
HV 20d27.2%19.6%34.1%24.9%33.4%
HV 60d37.9%37.0%38.9%38.4%37.3%
IV Rank12.7%8.1%20.5%9.2%9.3%
IV Percentile38.6%24.2%57.5%29.0%26.6%
Term Structure4.0%0.8%8.4%0.8%8.4%
VWIV38.1%34.5%44.4%35.2%35.6%
Skew 25d3.8%3.0%5.2%3.9%4.3%
Skew 10d8.2%5.9%12.9%8.2%9.4%
Call IV 25d35.3%33.4%37.9%33.4%33.8%
Put IV 25d39.1%37.2%41.8%37.3%38.1%
Bid-Ask Spread %29.5114.6050.6738.7920.88
Gamma HHI0.450.200.770.500.25
Net GEX1.1M81.2K2.7M1.2M265.4K
Net DEX-30.7M-45.5M-4.6M-40.1M-20.7M
Net VEX-89.0K-95.1K-82.0K-90.9K-92.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.361.195.322.361.98
Total Volume1,983.3681,1483,3691,1481,347
Total OI11,391.6849,12314,31210,36210,219

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$94.95$85.0034.5%9.9%24.9%9.2%35.2%3.9%0.8%1.2M-40.1M-90.9K2.3638.79N/AN/A3428066,5043,858
2018-09-05$92.63$90.0034.1%9.8%19.6%8.1%35.8%3.6%1.4%1.4M-34.5M-95.1K1.9918.17N/AN/A5501,0966,5113,874
2018-09-06$93.55$80.0034.9%10.4%19.7%10.2%38.6%4.0%2.6%1.3M-36.4M-94.5K2.4850.67N/AN/A4101,0156,6874,176
2018-09-07$93.95$80.0034.8%10.4%19.7%9.9%37.2%3.4%2.6%1.3M-37.9M-94.0K1.1925.61N/AN/A8269856,7414,288
2018-09-10$96.20$80.0036.4%10.5%20.9%13.9%37.2%3.6%2.6%1.2M-44.5M-88.9K1.6922.00N/AN/A7641,2927,0384,365
2018-09-11$96.00$80.0037.1%10.6%21.0%15.6%38.0%3.3%2.6%1.2M-42.6M-90.4K2.0229.43N/AN/A6631,3367,0944,519
2018-09-12$96.83$80.0037.2%10.7%20.3%15.9%38.8%3.2%2.7%1.2M-45.5M-85.8K1.6321.61N/AN/A6079897,1314,295
2018-09-13$94.85$80.0036.4%10.4%21.8%13.7%37.4%4.0%1.8%1.4M-40.5M-88.1K1.9434.27N/AN/A4909517,1694,288
2018-09-14$95.95$80.0037.4%10.7%22.0%16.3%39.6%5.2%3.0%1.2M-44.4M-84.8K2.9527.25N/AN/A5031,4827,1764,293
2018-09-17$91.20$85.0039.1%11.2%29.2%20.5%40.5%4.3%1.7%1.6M-26.3M-95.0K5.3244.28N/AN/A5332,8367,1875,101
2018-09-18$93.60$85.0036.8%10.6%30.4%15.0%41.3%3.5%3.1%1.3M-33.0M-90.0K4.9248.30N/AN/A4522,2267,2206,295
2018-09-19$90.55$85.0038.4%11.0%32.8%18.7%44.4%3.6%2.4%2.2M-21.2M-90.8K2.0826.52N/AN/A1,0312,1407,2896,261
2018-09-20$91.50$85.0036.9%10.6%32.9%15.2%42.5%3.2%3.4%2.7M-29.2M-88.8K2.8629.62N/AN/A7372,1087,5716,629
2018-09-21$89.50$85.0035.5%10.2%33.8%11.5%36.1%3.9%4.7%81.2K-4.6M-82.0K1.3920.83N/AN/A1,0521,4597,5736,739
2018-09-24$90.95$85.0035.8%10.3%32.7%12.4%37.9%3.0%7.5%152.7K-14.9M-83.6K2.0422.59N/AN/A5791,1804,2264,897
2018-09-25$93.45$85.0034.2%9.8%34.1%8.5%36.5%3.6%8.0%226.0K-20.4M-86.6K2.2018.56N/AN/A7141,5684,5105,114
2018-09-26$93.65$85.0034.4%9.9%34.0%8.9%34.5%4.0%7.8%306.9K-22.5M-86.9K1.7746.67N/AN/A4457874,7005,062
2018-09-27$94.10$85.0034.4%9.8%34.0%8.8%35.9%3.8%8.3%346.1K-23.4M-82.5K2.1014.60N/AN/A4469374,7495,093
2018-09-28$93.35$85.0034.6%9.9%33.4%9.3%35.6%4.3%8.4%265.4K-20.7M-92.9K1.9820.88N/AN/A4528954,7935,426