RNG Options History — March 2019

In March 2019, RNG traded between $101.64 and $111.38. ATM implied volatility averaged 34.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 9.7% (HV 20d: 24.7%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2019-03-07: Highest Volume — 3,149 contracts
  • 2019-03-04: Largest IV spike — 9.7% change
  • 2019-03-04: Highest IV Rank — 12.7%
  • 2019-03-25: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.91$101.64$111.38$105.82$107.83
Max Pain$102.00$90.00$105.00$105.00$105.00
ATM IV34.4%31.2%38.3%34.9%31.2%
Expected Move10.9%10.0%11.6%10.0%11.2%
HV 20d24.7%18.2%30.4%27.1%25.7%
HV 60d39.7%31.6%45.8%45.8%31.6%
IV Rank6.1%0.8%12.7%7.0%0.8%
IV Percentile17.3%2.0%39.3%19.8%2.0%
Term Structure4.5%0.4%7.5%0.4%7.5%
VWIV38.6%34.7%41.4%34.7%41.1%
Skew 25d4.6%3.7%5.1%4.3%5.0%
Skew 10d9.5%8.0%11.3%9.1%10.1%
Call IV 25d31.9%30.0%35.0%32.5%30.0%
Put IV 25d36.5%33.7%39.9%36.8%35.0%
Bid-Ask Spread %42.7323.2676.9265.6637.68
Gamma HHI0.250.190.330.300.29
Net GEX648.0K-33.7K1.6M1.6M833.4K
Net DEX-30.6M-42.2M-17.1M-40.4M-33.5M
Net VEX-150.7K-190.5K-137.0K-170.5K-137.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.052.561.751.69
Total Volume927.0481253,149467395
Total OI14,907.66712,17518,01813,64314,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$105.82$105.0034.9%10.0%27.1%7.0%34.7%4.3%0.4%1.6M-40.4M-170.5K1.7565.66N/AN/A1702979,5804,063
2019-03-04$102.93$105.0038.3%11.0%29.0%12.7%41.1%4.9%2.6%1.0M-31.1M-162.5K2.5666.24N/AN/A3218219,6124,270
2019-03-05$104.61$105.0035.3%10.1%28.8%7.6%34.7%4.9%3.4%995.8K-34.1M-166.5K0.7071.11N/AN/A1,4319989,6744,870
2019-03-06$102.39$105.0038.0%10.9%30.2%12.1%36.5%5.0%2.0%551.2K-25.8M-179.6K1.7572.20N/AN/A6321,10310,4306,160
2019-03-07$101.64$105.0037.5%10.7%30.4%11.3%35.1%5.0%2.2%274.9K-21.3M-190.5K0.4676.48N/AN/A2,15299710,8757,143
2019-03-08$102.19$105.0037.0%10.6%30.4%10.4%36.7%4.7%2.7%-33.7K-17.1M-155.6K0.4076.92N/AN/A1,6266489,3937,163
2019-03-11$104.08$90.0037.8%11.0%28.2%11.7%38.7%4.8%2.9%238.0K-24.4M-146.9K1.4123.55N/AN/A881249,4147,232
2019-03-12$105.10$90.0034.8%10.9%28.2%6.8%37.8%4.6%3.1%298.2K-27.2M-143.0K0.7023.87N/AN/A1701199,4317,256
2019-03-13$105.96$95.0033.6%10.7%20.4%4.8%38.0%4.4%3.7%494.1K-31.1M-138.1K0.6623.26N/AN/A2861909,4777,327
2019-03-14$106.68$95.0033.9%10.7%18.2%5.2%39.2%4.8%3.4%490.6K-33.1M-140.1K2.5424.72N/AN/A2827159,4877,404
2019-03-15$106.26$95.0032.5%10.4%18.2%2.9%35.5%3.8%3.7%379.7K-31.7M-139.0K0.7727.62N/AN/A4673599,5557,626
2019-03-18$106.28$0.0032.7%11.4%18.2%3.3%38.6%4.0%6.9%420.0K-27.9M-137.0K0.0551.23N/AN/A875476,1256,050
2019-03-19$107.52$105.0031.3%10.9%18.5%0.9%38.5%4.4%6.7%725.5K-32.1M-146.1K0.2529.30N/AN/A354876,8226,094
2019-03-20$108.26$105.0032.2%11.0%18.5%2.3%41.3%4.9%6.2%859.4K-34.7M-144.8K2.0334.10N/AN/A3196476,9606,156
2019-03-21$111.38$105.0032.0%11.1%20.7%2.0%39.5%3.7%6.7%1.0M-42.2M-144.8K0.1926.61N/AN/A6091167,0216,642
2019-03-22$106.96$105.0034.4%11.5%25.2%6.2%40.1%4.3%5.7%642.5K-30.6M-151.8K0.5032.85N/AN/A3391707,2116,643
2019-03-25$106.74$105.0034.7%11.6%25.3%6.6%40.3%5.1%5.9%637.8K-29.6M-147.5K0.3732.13N/AN/A91347,2696,670
2019-03-26$107.57$105.0032.6%11.1%25.3%3.1%40.2%4.7%6.3%749.7K-32.9M-142.5K0.7230.93N/AN/A2882077,2626,678
2019-03-27$106.52$105.0033.9%11.5%25.6%5.2%40.7%4.9%6.3%626.9K-29.7M-141.7K0.8836.39N/AN/A2542237,3586,591
2019-03-28$107.47$105.0033.5%11.6%25.8%4.5%41.4%4.6%7.1%779.2K-32.7M-138.4K1.2334.39N/AN/A1872307,3976,609
2019-03-29$107.83$105.0031.2%11.2%25.7%0.8%41.1%5.0%7.5%833.4K-33.5M-137.9K1.6937.68N/AN/A1472487,4266,635