RNG Options History — September 2019

In September 2019, RNG traded between $123.72 and $141.49. ATM implied volatility averaged 38.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.8% (HV 20d: 31.2%). Max pain ranged from $125.00 to $140.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.72.

Notable Days

  • 2019-09-24: Highest Volume — 3,538 contracts
  • 2019-09-24: Largest IV spike — 27.1% change
  • 2019-09-24: Highest IV Rank — 20.0%
  • 2019-09-24: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.65$123.72$141.49$140.93$125.72
Max Pain$134.50$125.00$140.00$140.00$135.00
ATM IV38.0%32.4%42.9%37.2%42.6%
Expected Move10.9%9.7%12.3%10.7%12.2%
HV 20d31.2%19.9%39.3%21.0%39.3%
HV 60d37.8%34.8%39.3%35.6%39.3%
IV Rank11.7%2.2%20.0%10.4%19.6%
IV Percentile32.7%3.2%56.7%32.9%54.4%
Term Structure3.5%-1.0%6.8%-1.0%2.5%
VWIV38.8%33.8%44.4%35.8%42.2%
Skew 25d5.6%4.4%7.3%5.5%7.2%
Skew 10d12.6%9.0%21.7%10.6%17.9%
Call IV 25d35.3%31.6%40.3%34.5%39.0%
Put IV 25d40.9%36.5%46.8%39.9%46.2%
Bid-Ask Spread %64.5551.5076.7555.6476.42
Gamma HHI0.180.130.260.230.15
Net GEX-920.7K-2.7M1.5M1.5M-1.7M
Net DEX-8.6M-52.7M23.2M-50.7M12.3M
Net VEX-277.7K-303.1K-259.0K-266.9K-278.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.720.3535.850.400.82
Total Volume1,389.41283,5385562,787
Total OI19,588.2515,42123,42015,50219,929

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$140.93$140.0037.2%10.7%21.0%10.4%35.8%5.5%-1.0%1.5M-50.7M-266.9K0.4055.64N/AN/A3981588,0457,457
2019-09-04$141.49$140.0035.6%10.2%21.0%7.7%35.4%4.8%-0.8%1.5M-52.7M-265.3K0.8858.63N/AN/A75667,9667,455
2019-09-05$140.45$125.0034.5%10.0%19.9%5.8%34.9%4.8%4.8%1.5M-49.3M-263.6K0.3554.02N/AN/A5131807,9797,500
2019-09-06$135.85$125.0032.4%9.9%20.9%2.2%35.6%4.9%4.7%1.1M-34.3M-259.0K2.9656.03N/AN/A7842,3188,1537,515
2019-09-09$131.71$135.0040.2%11.2%23.3%15.5%40.5%5.5%3.1%-216.1K-10.2M-287.4K2.3851.50N/AN/A8111,9298,7019,687
2019-09-10$123.89$135.0041.5%11.3%30.9%17.6%42.0%5.4%4.0%-1.5M19.5M-287.5K4.7059.36N/AN/A4372,0528,98110,951
2019-09-11$124.12$135.0038.2%10.9%29.4%12.0%38.8%5.8%3.7%-2.3M23.2M-297.1K1.6157.58N/AN/A7321,1829,11412,546
2019-09-12$128.19$135.0035.9%10.3%31.8%8.2%36.4%5.0%4.7%-2.1M3.9M-303.1K1.4858.84N/AN/A1562319,57213,125
2019-09-13$127.06$135.0037.9%10.9%31.5%11.6%39.3%5.6%4.0%-2.4M9.5M-299.3K16.5562.49N/AN/A1542,5489,58613,125
2019-09-16$126.56$135.0039.2%11.2%31.5%13.8%40.1%5.4%3.7%-2.7M8.8M-284.6K0.5459.18N/AN/A115629,56113,179
2019-09-17$130.75$135.0038.0%10.9%34.1%11.7%39.7%6.0%3.5%-1.4M-8.7M-277.6K0.8366.87N/AN/A2341959,55613,201
2019-09-18$130.72$135.0037.1%10.6%34.2%10.2%37.5%5.3%5.1%-1.5M-9.6M-275.6K0.7372.81N/AN/A1761299,60713,328
2019-09-19$133.25$135.0034.0%9.8%34.6%5.0%37.2%5.1%5.5%-827.1K-20.0M-260.0K1.3869.39N/AN/A6158519,62113,348
2019-09-20$133.32$135.0034.1%9.8%34.1%5.2%36.0%4.6%6.8%-928.9K-20.1M-261.5K2.0471.65N/AN/A3416949,87913,541
2019-09-23$133.22$135.0033.7%9.7%34.1%4.5%33.8%4.4%6.1%-870.9K-18.8M-259.0K0.6676.75N/AN/A5733816,1499,616
2019-09-24$126.67$135.0042.9%12.3%37.6%20.0%44.4%7.3%1.7%-1.2M2.1M-273.6K35.8570.90N/AN/A963,4426,6459,929
2019-09-25$128.30$135.0040.1%11.5%38.0%15.3%40.3%6.3%3.2%-1.5M2.0M-284.1K0.4266.19N/AN/A1,1514886,67711,550
2019-09-26$127.14$135.0041.3%11.8%38.0%17.3%42.7%6.2%2.9%-1.3M4.9M-289.7K1.7873.88N/AN/A46827,66311,812
2019-09-27$123.72$135.0042.7%12.2%38.5%19.6%44.2%6.5%1.7%-1.6M17.1M-281.4K17.9472.89N/AN/A325747,67311,843
2019-09-30$125.72$135.0042.6%12.2%39.3%19.6%42.2%7.2%2.5%-1.7M12.3M-278.5K0.8276.42N/AN/A1,5301,2577,67112,258