RNG Options History — April 2020

In April 2020, RNG traded between $196.69 and $253.60. ATM implied volatility averaged 73.6%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 36.0% (HV 20d: 109.6%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2020-04-02: Highest Volume — 7,136 contracts
  • 2020-04-17: Largest IV drop — 9.9% change
  • 2020-04-16: Highest IV Rank — 76.4%
  • 2020-04-03: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.55$196.69$253.60$209.50$230.49
Max Pain$219.05$200.00$220.00$200.00$220.00
ATM IV73.6%65.2%80.9%74.6%70.3%
Expected Move21.7%20.1%23.6%20.7%22.9%
HV 20d109.6%80.7%134.2%125.9%80.7%
HV 60d84.0%76.3%88.2%76.3%88.2%
IV Rank65.6%53.0%76.4%67.1%60.8%
IV Percentile92.9%86.9%97.2%96.0%88.5%
Term Structure-0.9%-6.2%6.4%1.1%-0.9%
VWIV77.5%69.4%89.1%71.0%87.2%
Skew 25d10.4%5.3%15.6%10.5%11.6%
Skew 10d22.7%13.2%41.7%17.4%22.5%
Call IV 25d69.1%59.3%75.6%69.2%67.5%
Put IV 25d79.5%72.6%87.3%79.7%79.1%
Bid-Ask Spread %55.8537.0370.6639.1147.91
Gamma HHI0.120.070.200.070.07
Net GEX2.3M-1.7M6.4M1.1M-1.7M
Net DEX-103.9M-179.0M-6.5M-57.4M-63.5M
Net VEX-743.3K-823.9K-688.5K-756.8K-728.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.113.250.562.00
Total Volume2,7209077,1363,1691,982
Total OI28,853.33321,00935,39132,47626,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$209.50$200.0074.6%20.7%125.9%67.1%71.0%10.5%1.1%1.1M-57.4M-756.8K0.5639.11N/AN/A2,0381,13116,41916,057
2020-04-02$217.49$220.0075.3%22.8%126.6%68.1%79.8%10.8%5.7%3.0M-94.0M-797.9K0.1137.03N/AN/A6,40473217,06916,803
2020-04-03$221.69$220.0074.3%23.6%125.3%66.7%80.4%10.7%6.4%3.7M-114.1M-823.9K0.4462.66N/AN/A1,89382818,19117,200
2020-04-06$220.55$220.0075.8%21.2%125.1%68.8%77.4%10.2%-3.0%2.3M-104.0M-778.1K1.3460.87N/AN/A8351,12215,67114,615
2020-04-07$196.69$220.0077.8%22.6%131.6%71.9%76.0%9.9%0.8%-884.2K-6.5M-719.9K0.8164.10N/AN/A2,3271,88615,80615,399
2020-04-08$218.29$220.0076.2%20.9%134.2%69.4%73.1%9.8%-2.4%2.5M-107.0M-776.5K1.0570.66N/AN/A2,1572,27016,80515,348
2020-04-09$205.76$220.0077.0%21.2%132.1%70.6%76.6%7.5%-3.7%869.3K-51.0M-721.2K1.0868.41N/AN/A1,3811,48716,67915,998
2020-04-13$211.96$220.0076.5%21.7%127.5%69.9%74.8%8.7%-1.0%2.2M-76.6M-715.5K0.9564.46N/AN/A79375416,03013,825
2020-04-14$225.04$220.0070.6%20.1%114.5%61.1%69.4%5.3%-1.3%4.4M-131.0M-723.0K0.5864.67N/AN/A1,30575216,34014,280
2020-04-15$229.76$220.0077.1%22.1%109.1%70.8%75.1%6.9%-6.2%4.2M-149.1M-738.6K0.1957.95N/AN/A1,01019616,56515,490
2020-04-16$234.12$220.0080.9%23.4%108.8%76.4%80.3%12.7%-3.6%5.1M-173.2M-736.1K0.2856.14N/AN/A2,59773216,72915,582
2020-04-17$235.70$220.0072.9%20.8%98.7%64.5%80.4%9.4%1.3%6.4M-179.0M-732.3K0.4866.77N/AN/A1,76684217,17515,964
2020-04-20$253.60$220.0076.0%22.8%101.0%69.2%89.1%14.0%-3.2%2.7M-167.5M-741.1K0.3955.29N/AN/A3,2431,25712,2408,769
2020-04-21$235.58$220.0078.9%22.9%105.8%73.5%79.6%11.7%-1.3%3.0M-117.1M-753.7K0.6147.27N/AN/A1,05964813,9949,484
2020-04-22$243.09$220.0073.1%21.9%103.0%64.8%75.1%10.2%-2.4%3.8M-145.0M-757.8K0.4650.02N/AN/A62128614,2349,573
2020-04-23$240.22$220.0071.1%21.2%101.7%61.8%73.9%11.8%-1.3%3.6M-131.4M-745.3K2.3150.81N/AN/A5861,35514,4149,727
2020-04-24$240.65$220.0068.3%20.4%97.9%57.7%72.6%13.0%0.3%3.7M-124.5M-746.0K0.3644.24N/AN/A1,96171214,45110,979
2020-04-27$235.90$220.0067.6%20.4%86.3%56.7%81.8%7.6%-1.8%1.4M-95.9M-717.5K2.0660.38N/AN/A6191,27713,26710,582
2020-04-28$224.86$220.0065.2%20.3%85.4%53.0%73.0%15.6%0.4%-1.2M-45.1M-688.5K3.2555.05N/AN/A6242,03113,57011,513
2020-04-29$226.57$220.0066.5%21.1%80.7%55.0%80.5%10.9%-1.9%-1.0M-50.0M-712.0K1.0848.99N/AN/A78184013,71412,409
2020-04-30$230.49$220.0070.3%22.9%80.7%60.8%87.2%11.6%-0.9%-1.7M-63.5M-728.4K2.0047.91N/AN/A6601,32214,04812,912