RNG Options History — June 2019

In June 2019, RNG traded between $111.12 and $122.85. ATM implied volatility averaged 40.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 1.7% (HV 20d: 38.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2019-06-14: Highest Volume — 3,572 contracts
  • 2019-06-21: Largest IV spike — 11.6% change
  • 2019-06-03: Highest IV Rank — 24.9%
  • 2019-06-03: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.15$111.12$122.85$113.47$114.85
Max Pain$115.75$115.00$120.00$120.00$115.00
ATM IV40.0%35.6%45.8%45.8%35.6%
Expected Move11.4%10.2%13.1%13.1%10.2%
HV 20d38.3%34.0%44.7%42.9%36.5%
HV 60d34.7%33.5%35.8%33.5%35.8%
IV Rank15.1%7.7%24.9%24.9%7.7%
IV Percentile43.0%23.0%60.7%60.7%23.0%
Term Structure2.5%-2.1%5.9%-2.1%5.4%
VWIV40.9%35.5%50.4%45.4%35.5%
Skew 25d4.6%3.9%6.2%6.2%4.4%
Skew 10d8.9%7.4%12.8%12.8%7.4%
Call IV 25d38.0%33.9%44.2%44.2%33.9%
Put IV 25d42.6%38.4%50.4%50.4%38.4%
Bid-Ask Spread %58.0145.1372.6654.1272.66
Gamma HHI0.260.170.480.170.24
Net GEX807.4K-2.4M2.2M641.7K231.0K
Net DEX-16.9M-36.0M2.3M-9.2M-9.6M
Net VEX-213.9K-231.5K-196.0K-214.2K-207.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.097.200.371.23
Total Volume1,502.654573,5722,037988
Total OI17,439.5513,64920,55815,97514,664

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$113.47$120.0045.8%13.1%42.9%24.9%45.4%6.2%-2.1%641.7K-9.2M-214.2K0.3754.12N/AN/A1,4855529,6036,372
2019-06-04$117.74$120.0041.1%11.8%44.7%17.1%48.2%5.4%-0.1%910.6K-17.5M-230.0K4.9662.20N/AN/A1849139,3937,735
2019-06-05$119.55$120.0040.6%11.7%44.1%16.2%50.4%4.6%0.4%1.3M-23.1M-231.5K7.2061.47N/AN/A1299299,4007,826
2019-06-06$121.66$115.0039.5%11.6%44.5%14.2%42.2%4.6%2.1%1.8M-31.1M-231.2K3.1245.13N/AN/A1133539,3947,869
2019-06-07$122.50$115.0039.6%11.4%42.6%14.5%40.4%4.4%2.4%2.0M-34.2M-228.1K1.2047.09N/AN/A2853439,4037,857
2019-06-10$122.85$115.0041.2%11.4%42.6%17.2%40.3%4.8%1.6%2.2M-36.0M-220.0K0.2551.25N/AN/A366919,4617,869
2019-06-11$118.59$115.0044.7%11.6%39.3%23.0%41.7%4.8%2.0%1.1M-18.8M-215.3K0.6649.56N/AN/A9156039,5207,872
2019-06-12$117.46$115.0042.0%12.0%38.8%18.4%41.8%4.9%1.3%938.1K-15.3M-213.9K1.2949.56N/AN/A36547110,0268,135
2019-06-13$117.51$115.0040.4%11.6%38.7%15.7%41.0%4.4%2.1%779.4K-13.6M-209.6K0.4050.48N/AN/A2,15586710,0258,337
2019-06-14$118.30$115.0041.1%11.8%35.0%16.9%41.8%4.8%1.4%1.1M-18.3M-217.9K0.2555.30N/AN/A2,86670610,5648,696
2019-06-17$117.40$115.0040.4%11.6%35.0%15.8%39.6%3.9%2.3%1.1M-19.9M-216.3K0.8856.30N/AN/A84474011,7048,732
2019-06-18$118.09$115.0039.4%11.3%34.4%14.1%39.6%4.5%1.6%1.3M-22.3M-214.8K0.0958.07N/AN/A9228411,8208,627
2019-06-19$117.67$115.0038.5%11.0%34.0%12.5%38.6%4.5%2.7%884.2K-19.2M-209.6K0.1959.77N/AN/A85916711,7878,626
2019-06-20$119.74$115.0036.3%10.4%34.7%8.9%36.4%4.4%4.6%1.9M-29.9M-206.8K0.1962.23N/AN/A1,33224911,8828,676
2019-06-21$114.76$115.0040.5%11.6%35.9%16.0%40.4%5.1%1.3%-2.4M-6.5M-196.0K0.4964.35N/AN/A2,4001,16511,4618,690
2019-06-24$114.01$115.0039.6%11.4%34.5%14.4%40.1%4.5%5.9%371.9K-9.0M-206.2K0.8762.85N/AN/A5554856,9576,692
2019-06-25$111.13$115.0039.1%11.2%35.4%13.6%38.8%3.9%4.9%-14.6K1.3M-200.8K1.0165.39N/AN/A9359416,9427,039
2019-06-26$111.12$115.0038.1%10.9%34.9%11.9%39.6%4.2%5.3%-172.7K2.3M-201.9K2.0563.12N/AN/A4859956,7457,793
2019-06-27$114.68$115.0036.2%10.4%36.5%8.7%36.0%3.9%5.9%201.6K-8.4M-207.3K0.8369.33N/AN/A6655516,8317,766
2019-06-28$114.85$115.0035.6%10.2%36.5%7.7%35.5%4.4%5.4%231.0K-9.6M-207.0K1.2372.66N/AN/A4445446,8837,781