RNG Options History — December 2019

In December 2019, RNG traded between $160.74 and $169.11. ATM implied volatility averaged 33.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 12.8% (HV 20d: 20.9%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2019-12-02: Highest Volume — 1,987 contracts
  • 2019-12-20: Largest IV drop — 7.5% change
  • 2019-12-03: Highest IV Rank — 21.3%
  • 2019-12-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.18$160.74$169.11$165.44$169.11
Max Pain$156.90$150.00$165.00$165.00$160.00
ATM IV33.7%29.4%40.3%38.2%30.4%
Expected Move9.6%8.4%11.6%10.9%8.7%
HV 20d20.9%14.2%27.4%27.4%14.2%
HV 60d58.9%31.3%62.9%62.9%31.3%
IV Rank7.2%0.0%21.3%16.4%2.1%
IV Percentile15.2%0.0%47.6%40.1%2.0%
Term Structure5.0%-1.7%7.4%-1.6%6.9%
VWIV33.6%29.0%40.5%38.3%30.3%
Skew 25d4.1%3.1%5.3%4.2%3.7%
Skew 10d8.2%5.7%11.1%7.2%7.7%
Call IV 25d31.6%28.1%37.5%36.3%29.0%
Put IV 25d35.7%31.4%42.6%40.4%32.7%
Bid-Ask Spread %58.7144.4370.7261.2870.72
Gamma HHI0.180.130.400.140.17
Net GEX-718.5K-2.6M1.3M-820.9K1.3M
Net DEX-45.8M-72.3M-26.1M-46.0M-41.5M
Net VEX-362.0K-430.0K-319.0K-419.6K-325.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.126.311.510.68
Total Volume704.0481611,9871,987161
Total OI22,729.71414,23926,96224,72914,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$165.44$165.0038.2%10.9%27.4%16.4%38.3%4.2%-1.6%-820.9K-46.0M-419.6K1.5161.28N/AN/A7931,19410,79013,939
2019-12-03$166.63$165.0040.3%11.6%26.0%21.3%40.5%5.1%-1.7%-770.9K-50.1M-430.0K0.7161.79N/AN/A16711810,84914,240
2019-12-04$165.56$165.0037.6%10.8%24.2%15.0%37.4%4.9%-1.6%-1.0M-45.2M-415.6K0.8058.46N/AN/A16913610,86414,268
2019-12-05$165.18$150.0036.3%10.3%22.4%12.1%35.8%5.3%5.5%-1.2M-42.7M-410.5K6.3147.57N/AN/A13182710,90914,280
2019-12-06$165.94$150.0035.0%10.1%21.7%9.0%36.3%4.9%5.1%-1.2M-47.6M-401.8K0.6744.43N/AN/A34623210,94614,982
2019-12-09$165.79$150.0037.2%10.1%21.7%14.1%38.0%4.7%5.6%-1.3M-46.0M-388.6K0.6848.49N/AN/A23215710,89614,961
2019-12-10$164.92$150.0038.1%10.1%21.7%16.1%35.3%4.9%5.7%-1.5M-42.1M-383.6K0.2751.23N/AN/A79621711,05814,958
2019-12-11$161.82$150.0036.4%10.4%21.4%12.4%36.7%5.3%5.1%-1.8M-29.9M-375.8K1.1349.54N/AN/A49155311,45014,853
2019-12-12$160.74$150.0035.5%10.2%19.4%10.2%34.8%4.7%5.3%-1.9M-26.1M-365.3K1.3454.22N/AN/A32944011,51614,747
2019-12-13$163.68$150.0033.7%9.6%20.4%5.9%33.4%5.0%5.2%-1.5M-42.2M-362.3K0.3553.96N/AN/A61621711,48414,472
2019-12-16$165.40$155.0032.7%9.4%20.8%3.8%32.8%3.4%5.8%-1.4M-51.6M-348.3K0.6956.38N/AN/A35024211,71414,471
2019-12-17$165.65$155.0032.4%9.3%20.8%3.1%32.5%3.3%5.8%-1.6M-55.7M-341.6K2.3360.70N/AN/A17540711,82314,417
2019-12-18$167.19$160.0032.4%9.3%19.9%3.1%32.0%3.3%6.2%-1.6M-64.0M-338.4K1.5861.75N/AN/A41866111,86814,520
2019-12-19$167.33$160.0031.9%9.2%19.8%2.0%32.6%3.3%6.8%-2.6M-63.7M-333.3K3.2357.67N/AN/A16553311,94514,914
2019-12-20$168.89$160.0029.5%8.5%19.7%0.0%29.4%3.3%7.2%-1.6M-72.3M-324.8K0.4566.07N/AN/A1,09548911,83015,132
2019-12-23$168.49$160.0029.5%8.5%19.6%0.0%29.0%3.4%7.3%967.0K-39.8M-330.6K0.4462.84N/AN/A3571586,5687,671
2019-12-24$168.37$160.0029.4%8.4%19.5%0.0%29.3%3.3%7.0%1.0M-39.7M-331.9K0.5064.24N/AN/A2471236,8297,802
2019-12-26$168.23$160.0029.9%8.6%19.0%1.0%31.4%3.1%7.0%1.2M-40.4M-327.3K1.6563.30N/AN/A881456,9987,754
2019-12-27$168.70$160.0029.6%8.5%19.0%0.4%29.5%3.4%7.4%1.2M-40.8M-327.2K0.1269.60N/AN/A374466,9907,789
2019-12-30$166.67$160.0031.0%8.9%19.4%3.5%30.8%3.5%6.0%1.1M-35.0M-319.0K0.9568.64N/AN/A2001907,0267,809
2019-12-31$169.11$160.0030.4%8.7%14.2%2.1%30.3%3.7%6.9%1.3M-41.5M-325.7K0.6870.72N/AN/A96657,0887,904