RNG Options History — November 2018

In November 2018, RNG traded between $68.61 and $85.89. ATM implied volatility averaged 57.9%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 16.2% (HV 20d: 74.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2018-11-05: Highest Volume — 7,673 contracts
  • 2018-11-12: Largest IV spike — 60.9% change
  • 2018-11-02: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.88$68.61$85.89$79.45$82.56
Max Pain$77.62$75.00$80.00$80.00$75.00
ATM IV57.9%44.7%90.2%75.5%46.8%
Expected Move15.2%12.0%23.5%21.7%13.4%
HV 20d74.0%62.2%81.8%62.2%78.9%
HV 60d53.9%43.4%61.2%43.4%61.2%
IV Rank47.2%23.4%100.0%95.3%27.0%
IV Percentile85.1%71.0%100.0%98.8%71.0%
Term Structure-3.5%-24.8%0.9%-21.0%-0.8%
VWIV52.9%41.8%83.9%76.7%49.0%
Skew 25d6.4%4.7%8.8%6.9%6.0%
Skew 10d12.7%8.6%17.3%15.5%11.0%
Call IV 25d50.7%40.5%79.9%74.6%46.2%
Put IV 25d57.1%45.2%87.3%81.5%52.2%
Bid-Ask Spread %32.3519.7863.0128.2762.62
Gamma HHI0.260.210.380.250.26
Net GEX314.8K-282.9K1.7M564.5K399.7K
Net DEX-4.8M-43.3M9.5M-13.9M-12.3M
Net VEX-127.0K-148.8K-95.5K-148.8K-138.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.443.561.411.03
Total Volume2,762.191,5367,6731,5361,748
Total OI15,490.0488,74621,61114,79910,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$79.45$80.0075.5%21.7%62.2%95.3%76.7%6.9%-21.0%564.5K-13.9M-148.8K1.4128.27N/AN/A6378998,8585,941
2018-11-02$77.03$80.0082.0%23.5%62.9%100.0%83.9%7.4%-24.8%453.9K-8.1M-142.1K3.0029.14N/AN/A7652,2938,8455,952
2018-11-05$74.64$75.0090.2%16.8%62.2%100.0%61.7%5.3%-5.6%299.4K-1.6M-131.9K2.9634.08N/AN/A1,9405,7338,9586,018
2018-11-06$75.68$75.0052.5%13.4%62.2%36.6%48.6%7.0%-0.6%-126.7K3.3M-132.1K1.5627.07N/AN/A1,1221,7549,4679,932
2018-11-07$84.50$75.0044.7%12.0%70.1%23.4%41.8%4.7%0.9%1.4M-32.1M-134.8K0.6539.59N/AN/A2,6601,7179,67510,434
2018-11-08$85.89$80.0050.3%12.7%69.5%32.9%47.6%8.8%0.0%1.7M-43.3M-142.5K0.7041.47N/AN/A2,0541,43210,75510,191
2018-11-09$83.76$80.0047.4%12.6%66.8%28.0%48.0%5.7%-0.8%1.1M-26.2M-142.9K1.2240.23N/AN/A1,1401,38910,19911,002
2018-11-12$75.91$80.0076.2%14.1%75.7%76.5%49.4%5.3%-0.8%-78.2K5.4M-128.4K0.7528.13N/AN/A1,16887110,40511,007
2018-11-13$75.09$80.0077.6%14.2%75.2%78.8%52.4%5.3%-2.0%-282.9K9.5M-119.8K3.5623.34N/AN/A8953,18310,40710,956
2018-11-14$75.04$80.0050.4%14.5%75.1%33.0%53.1%5.9%-2.0%-197.8K9.2M-121.3K2.4426.92N/AN/A8772,14010,50011,111
2018-11-15$76.80$80.0049.9%14.3%75.0%32.1%49.4%6.6%-2.2%779.6K3.0M-119.7K1.1726.15N/AN/A9761,13810,52011,045
2018-11-16$76.67$80.0049.0%14.0%73.5%30.6%49.6%6.0%-0.8%2.2K4.1M-113.7K1.1519.78N/AN/A77989210,48811,061
2018-11-19$68.85$80.0056.0%16.0%81.5%42.4%55.3%8.0%-2.3%-124.9K6.8M-95.5K1.1825.86N/AN/A1,1401,3484,5854,161
2018-11-20$68.61$80.0058.4%16.7%81.5%46.5%58.9%7.3%-2.9%-110.8K7.8M-106.9K0.8022.65N/AN/A1,1729325,1914,711
2018-11-21$71.58$75.0052.6%15.1%80.4%36.7%49.0%6.1%-0.8%-32.4K4.2M-113.5K0.4526.92N/AN/A1,6507505,2694,591
2018-11-23$71.71$75.0054.4%15.6%79.7%39.8%49.6%8.0%-2.3%21.4K3.4M-117.2K0.5834.26N/AN/A1,2837455,6844,630
2018-11-26$76.29$75.0052.0%14.9%81.8%35.7%44.3%6.3%-1.7%128.9K-2.2M-126.1K0.4423.80N/AN/A1,7087565,6824,623
2018-11-27$74.95$75.0051.2%14.7%80.9%34.4%43.8%6.1%-0.9%131.6K-892.6K-123.9K0.4526.69N/AN/A1,5457025,9714,555
2018-11-28$79.15$75.0048.5%13.9%80.4%29.8%48.8%6.1%-0.7%301.2K-7.3M-134.3K0.6629.34N/AN/A1,0827196,0944,569
2018-11-29$80.27$75.0049.4%14.2%78.5%31.3%50.6%6.0%-1.8%322.6K-8.8M-133.8K0.5163.01N/AN/A1,5017716,0094,582
2018-11-30$82.56$75.0046.8%13.4%78.9%27.0%49.0%6.0%-0.8%399.7K-12.3M-138.4K1.0362.62N/AN/A8608886,0824,575