RNG Options History — March 2020 In March 2020, RNG traded between $144.36 and $242.58. ATM implied volatility averaged 71.8%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 5.2% (HV 20d: 77.0%). Max pain ranged from $195.00 to $220.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2020-03-27 : Highest Volume — 8,585 contracts2020-03-27 : Largest IV spike — 37.1% change2020-03-12 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 27.5%Monthly Statistics Metric Avg Min Max Open Close Price $201.36 $144.36 $242.58 $237.69 $211.97 Max Pain $202.16 $195.00 $220.00 $220.00 $200.00 ATM IV 71.8% 49.0% 96.8% 49.1% 73.7% Expected Move 20.8% 14.1% 27.5% 14.1% 20.4% HV 20d 77.0% 37.5% 126.0% 37.5% 126.0% HV 60d 50.4% 26.5% 76.5% 26.5% 76.5% IV Rank 72.8% 43.5% 100.0% 43.8% 65.7% IV Percentile 98.0% 92.9% 100.0% 94.0% 95.6% Term Structure -0.6% -4.6% 3.4% 0.1% 2.6% VWIV 74.0% 50.0% 98.1% 50.0% 72.1% Skew 25d 15.5% 3.9% 29.1% 3.9% 8.9% Skew 10d 30.0% 8.1% 54.0% 9.0% 17.2% Call IV 25d 64.7% 45.4% 88.1% 47.7% 72.3% Put IV 25d 80.2% 51.6% 109.5% 51.6% 81.3% Bid-Ask Spread % 43.88 20.10 64.50 28.12 53.84 Gamma HHI 0.08 0.06 0.15 0.10 0.15 Net GEX 563.6K -895.9K 3.5M 3.5M 2.6M Net DEX -30.3M -187.9M 89.5M -126.8M -77.1M Net VEX -689.7K -807.7K -460.8K -719.9K -744.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.18 2.26 0.50 0.52 Total Volume 2,577.227 573 8,585 1,098 7,011 Total OI 26,586.136 23,522 31,544 23,522 31,544
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $237.69 $220.00 49.1% 14.1% 37.5% 43.8% 50.0% 3.9% 0.1% 3.5M -126.8M -719.9K 0.50 28.12 N/A N/A 730 368 13,725 9,797 2020-03-03 $228.52 $220.00 52.1% 15.9% 40.8% 50.5% 59.3% 8.3% -0.3% 2.2M -89.0M -721.2K 0.95 23.27 N/A N/A 1,216 1,157 14,021 9,934 2020-03-04 $230.57 $220.00 49.0% 14.3% 40.4% 43.5% 51.0% 6.5% -1.6% 2.1M -95.3M -729.5K 1.88 20.10 N/A N/A 463 869 14,421 11,072 2020-03-05 $225.51 $200.00 56.8% 15.4% 41.1% 60.9% 53.9% 8.8% -0.7% 757.8K -73.1M -750.8K 1.45 40.82 N/A N/A 882 1,275 14,478 11,488 2020-03-06 $213.65 $200.00 61.1% 17.0% 45.9% 70.4% 60.6% 13.5% -1.2% -535.4K -16.4M -742.5K 2.26 44.17 N/A N/A 944 2,134 14,910 12,426 2020-03-09 $210.04 $200.00 65.7% 17.9% 46.2% 80.6% 63.3% 14.0% -2.5% -212.0K -22.7M -742.2K 1.44 41.29 N/A N/A 643 924 13,439 11,658 2020-03-10 $213.58 $200.00 58.9% 16.6% 45.6% 65.6% 55.9% 14.0% -0.2% -120.4K -32.2M -725.1K 1.11 46.89 N/A N/A 508 563 13,680 11,565 2020-03-11 $198.17 $200.00 65.9% 18.3% 45.7% 81.1% 67.6% 17.5% -2.9% -738.7K 12.8M -679.1K 0.99 60.93 N/A N/A 1,793 1,777 13,863 11,577 2020-03-12 $181.91 $200.00 77.7% 22.7% 51.5% 100.0% 80.2% 19.0% 3.4% -895.9K 51.9M -658.1K 1.26 44.08 N/A N/A 439 552 14,899 12,683 2020-03-13 $166.56 $200.00 81.0% 22.5% 54.6% 100.0% 85.9% 20.2% -3.9% -781.0K 80.9M -564.9K 1.14 58.52 N/A N/A 1,063 1,211 14,567 12,515 2020-03-16 $144.36 $200.00 96.8% 27.5% 69.8% 100.0% 96.0% 29.1% 0.1% -525.8K 89.5M -460.8K 2.21 41.83 N/A N/A 421 931 14,036 12,008 2020-03-17 $161.89 $200.00 86.8% 24.7% 84.9% 85.2% 78.8% 25.6% 0.5% -547.2K 66.9M -553.6K 0.91 38.33 N/A N/A 877 799 14,207 11,728 2020-03-18 $161.23 $200.00 88.6% 25.4% 84.1% 87.8% 89.5% 24.3% 2.5% -371.8K 56.9M -558.0K 0.60 48.18 N/A N/A 1,041 629 14,747 11,438 2020-03-19 $185.75 $200.00 79.7% 22.9% 102.1% 74.7% 80.3% 22.1% -1.1% -99.8K 3.1M -662.7K 0.68 49.17 N/A N/A 1,930 1,316 15,080 11,857 2020-03-20 $186.97 $200.00 88.8% 25.8% 102.0% 88.2% 96.5% 21.3% -4.6% 57.6K -579.7K -693.1K 1.47 48.82 N/A N/A 1,578 2,315 15,956 12,572 2020-03-23 $188.21 $200.00 78.1% 23.1% 102.1% 72.3% 81.2% 20.1% -0.7% -549.9K -3.9M -686.4K 1.00 41.93 N/A N/A 1,271 1,272 12,461 12,379 2020-03-24 $203.79 $200.00 64.3% 19.2% 107.0% 51.8% 69.8% 17.5% -0.8% 414.8K -46.6M -721.9K 0.65 46.59 N/A N/A 620 404 13,321 13,127 2020-03-25 $195.61 $195.00 70.7% 20.2% 107.6% 61.3% 74.6% 18.7% -0.1% -134.8K -22.2M -706.1K 0.57 45.81 N/A N/A 364 209 13,487 13,241 2020-03-26 $212.81 $197.50 64.9% 20.2% 112.5% 52.6% 70.7% 16.5% -0.4% 1.0M -75.5M -746.1K 0.18 43.84 N/A N/A 2,501 449 13,568 13,262 2020-03-27 $242.58 $195.00 88.9% 27.1% 122.2% 88.3% 98.1% 5.9% -3.7% 2.1M -187.9M -807.7K 0.26 64.50 N/A N/A 6,822 1,763 14,536 13,440 2020-03-30 $228.63 $200.00 81.4% 26.4% 123.9% 77.1% 92.3% 5.5% 1.7% 3.1M -160.3M -799.9K 1.11 34.44 N/A N/A 1,264 1,401 16,528 13,654 2020-03-31 $211.97 $200.00 73.7% 20.4% 126.0% 65.7% 72.1% 8.9% 2.6% 2.6M -77.1M -744.2K 0.52 53.84 N/A N/A 4,624 2,387 17,000 14,544
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