RNG Options History — January 2020

In January 2020, RNG traded between $171.16 and $205.89. ATM implied volatility averaged 36.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 16.2% (HV 20d: 20.8%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2020-01-06: Highest Volume — 4,134 contracts
  • 2020-01-13: Largest IV spike — 14.9% change
  • 2020-01-31: Highest IV Rank — 29.8%
  • 2020-01-31: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.08$171.16$205.89$173.15$205.89
Max Pain$164.29$155.00$170.00$160.00$170.00
ATM IV36.9%30.5%42.8%31.5%42.8%
Expected Move11.3%9.0%12.9%9.0%12.9%
HV 20d20.8%16.2%23.0%16.2%21.1%
HV 60d26.4%21.7%30.2%28.7%21.7%
IV Rank16.7%2.3%29.8%4.6%29.8%
IV Percentile39.8%2.4%77.4%4.0%77.4%
Term Structure-0.9%-2.9%5.8%5.3%-1.5%
VWIV39.8%31.8%45.1%31.8%45.1%
Skew 25d4.0%2.8%4.9%3.4%4.0%
Skew 10d7.9%4.4%10.0%6.1%7.2%
Call IV 25d36.9%30.5%40.5%30.5%40.5%
Put IV 25d40.9%33.6%44.5%33.9%44.5%
Bid-Ask Spread %51.8641.0369.2869.2850.26
Gamma HHI0.170.100.350.190.11
Net GEX3.0M1.8M4.3M1.8M2.9M
Net DEX-99.4M-141.8M-48.6M-52.6M-117.4M
Net VEX-400.3K-476.1K-321.1K-325.1K-476.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.670.490.17
Total Volume1,602.3334674,1341,2162,202
Total OI17,779.23814,52021,56415,10818,582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$173.15$160.0031.5%9.0%16.2%4.6%31.8%3.4%5.3%1.8M-52.6M-325.1K0.4969.28N/AN/A8164007,1757,933
2020-01-03$171.16$160.0032.2%9.2%16.6%6.0%32.8%2.8%5.8%1.9M-48.6M-324.7K1.0066.90N/AN/A2472467,4717,890
2020-01-06$177.24$155.0035.0%11.4%20.3%12.3%42.0%4.8%-1.9%2.5M-65.9M-321.1K0.2548.38N/AN/A3,3158197,4978,052
2020-01-07$176.79$155.0035.0%11.5%20.4%12.4%39.5%4.3%-2.5%3.8M-85.3M-376.0K1.3841.03N/AN/A4516219,6528,595
2020-01-08$181.52$160.0033.8%11.3%21.9%9.6%39.5%4.5%-2.5%3.7M-102.0M-371.6K0.2547.29N/AN/A1,9745019,6898,933
2020-01-09$184.42$160.0032.6%11.6%21.9%7.1%41.1%4.1%-2.9%3.5M-113.1M-371.8K0.2146.52N/AN/A2,7055659,8609,072
2020-01-10$183.03$160.0030.5%11.1%20.6%2.3%40.8%4.0%-2.7%4.3M-107.9M-386.4K0.3452.83N/AN/A1,00034410,6049,278
2020-01-13$186.60$160.0035.0%11.3%20.5%12.4%40.0%4.0%-2.6%4.3M-119.4M-376.1K0.9257.78N/AN/A53048610,3899,423
2020-01-14$185.95$160.0034.3%11.1%20.4%10.7%39.5%3.7%-2.6%4.0M-115.8M-381.5K0.2857.89N/AN/A88825010,5189,561
2020-01-15$189.53$165.0038.0%10.9%20.9%18.9%38.6%4.2%-1.7%4.0M-124.5M-379.2K0.6553.94N/AN/A94161210,3129,673
2020-01-16$190.74$165.0037.9%10.5%20.8%18.7%34.9%3.6%-1.4%3.4M-129.0M-380.4K0.1159.52N/AN/A1,96321810,3069,948
2020-01-17$192.36$165.0037.3%10.4%20.8%17.5%35.9%3.9%-1.1%2.2M-141.8M-399.1K0.3260.77N/AN/A1,03833311,47110,093
2020-01-21$196.28$165.0038.8%11.0%21.2%20.7%38.8%2.9%-1.5%2.5M-87.2M-405.7K0.3147.29N/AN/A2,3137078,3456,175
2020-01-22$195.76$170.0038.9%11.1%21.5%21.0%39.1%4.0%-1.3%2.3M-85.1M-421.3K0.8346.96N/AN/A6075028,8576,613
2020-01-23$198.35$170.0039.1%11.3%21.3%21.6%40.6%4.3%-1.1%2.7M-92.2M-428.5K0.8847.29N/AN/A4513979,0256,870
2020-01-24$196.92$170.0040.2%11.7%21.7%23.9%41.5%4.8%-1.2%2.3M-88.3M-441.2K1.0546.40N/AN/A6656989,1587,209
2020-01-27$195.80$170.0042.3%12.6%22.1%28.5%44.9%4.9%-0.7%2.4M-84.2M-452.7K0.2544.78N/AN/A6901739,1847,019
2020-01-28$201.21$170.0040.5%12.2%23.0%24.6%43.1%4.6%-0.2%3.0M-102.1M-449.8K1.6746.15N/AN/A6731,1249,4757,156
2020-01-29$203.75$170.0039.7%12.2%21.7%22.8%42.6%4.0%0.3%2.9M-109.7M-469.2K0.3746.97N/AN/A3421259,9058,090
2020-01-30$205.22$170.0040.5%12.4%21.6%24.6%43.1%3.3%-0.7%3.0M-115.9M-468.5K1.1450.93N/AN/A33538210,1258,181
2020-01-31$205.89$170.0042.8%12.9%21.1%29.8%45.1%4.0%-1.5%2.9M-117.4M-476.1K0.1750.26N/AN/A1,87932310,2098,373