RNG Options History — May 2020 In May 2020, RNG traded between $217.99 and $286.90. ATM implied volatility averaged 61.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 5.5% (HV 20d: 66.8%). Max pain ranged from $220.00 to $255.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.05.
Notable Days 2020-05-06 : Highest Volume — 7,001 contracts2020-05-07 : Largest IV drop — 18.5% change2020-05-04 : Highest IV Rank — 72.6%2020-05-01 : Largest Expected Move — 26.3%Monthly Statistics Metric Avg Min Max Open Close Price $260.00 $217.99 $286.90 $217.99 $270.34 Max Pain $239.25 $220.00 $255.00 $220.00 $255.00 ATM IV 61.3% 54.4% 78.4% 74.7% 55.5% Expected Move 17.6% 15.2% 26.3% 26.3% 15.2% HV 20d 66.8% 59.8% 85.9% 82.4% 61.9% HV 60d 90.9% 88.9% 92.3% 88.9% 92.3% IV Rank 47.3% 37.0% 72.6% 67.1% 38.8% IV Percentile 82.8% 77.0% 96.0% 92.1% 77.0% Term Structure -0.0% -6.2% 2.7% -6.2% 0.5% VWIV 62.3% 52.8% 91.2% 91.2% 52.8% Skew 25d 9.2% 3.0% 18.1% 18.1% 6.7% Skew 10d 19.4% 9.1% 32.8% 27.9% 11.4% Call IV 25d 58.0% 51.0% 71.9% 66.1% 53.1% Put IV 25d 67.2% 57.9% 87.8% 84.2% 59.8% Bid-Ask Spread % 47.32 19.63 58.08 48.61 57.05 Gamma HHI 0.12 0.08 0.46 0.09 0.46 Net GEX -130.7K -4.4M 4.5M -999.8K -3.7M Net DEX -126.2M -251.3M -17.9M -17.9M -143.8M Net VEX -708.2K -746.1K -644.5K -715.1K -702.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.13 2.25 1.82 0.82 Total Volume 2,857.1 895 7,001 3,251 2,378 Total OI 26,401.6 22,318 32,484 27,565 25,009
Daily Data (20 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 2020-05-01 $217.99 $220.00 74.7% 26.3% 82.4% 67.1% 91.2% 18.1% -6.2% -999.8K -17.9M -715.1K 1.82 48.61 N/A N/A 1,152 2,099 14,251 13,314 2020-05-04 $233.72 $220.00 78.4% 21.4% 85.9% 72.6% 72.3% 15.9% -2.0% 71.0K -83.7M -743.3K 0.77 24.17 N/A N/A 887 680 11,538 12,871 2020-05-05 $234.39 $220.00 75.6% 20.7% 85.8% 68.5% 75.3% 16.0% -2.7% 94.2K -87.2M -733.3K 2.02 25.81 N/A N/A 772 1,560 11,923 13,363 2020-05-06 $245.29 $220.00 71.3% 19.6% 74.8% 62.1% 71.7% 15.8% -0.4% 519.0K -122.7M -740.9K 0.86 19.63 N/A N/A 3,774 3,227 12,263 14,674 2020-05-07 $258.26 $220.00 58.1% 16.7% 68.2% 42.5% 63.2% 11.5% 1.3% 4.3M -205.1M -695.7K 0.80 29.94 N/A N/A 3,016 2,402 14,666 17,261 2020-05-08 $265.76 $220.00 59.3% 17.4% 63.6% 44.4% 61.7% 9.0% -0.8% 4.4M -223.1M -690.8K 0.13 53.45 N/A N/A 3,528 445 14,333 17,628 2020-05-11 $275.41 $220.00 56.8% 16.0% 63.8% 40.7% 58.4% 12.0% -1.2% 4.5M -229.1M -667.5K 0.39 40.94 N/A N/A 1,263 493 13,096 12,804 2020-05-12 $279.06 $230.00 54.4% 15.7% 61.4% 37.0% 55.7% 9.9% 1.2% 4.3M -242.5M -644.5K 0.61 47.70 N/A N/A 1,067 647 13,104 13,132 2020-05-13 $283.00 $250.00 59.7% 17.5% 61.3% 44.9% 61.5% 8.8% 2.0% 4.4M -251.3M -662.9K 1.71 51.89 N/A N/A 2,210 3,773 13,409 13,442 2020-05-14 $272.52 $250.00 61.0% 17.8% 63.5% 46.8% 58.5% 8.0% 2.1% 3.1M -191.8M -742.7K 1.65 50.88 N/A N/A 843 1,394 14,497 16,480 2020-05-15 $286.90 $250.00 65.3% 18.5% 65.4% 53.3% 66.4% 4.1% -1.8% 2.2M -246.6M -746.1K 0.38 54.67 N/A N/A 2,533 969 14,586 17,898 2020-05-18 $264.82 $250.00 60.7% 17.4% 68.3% 46.4% 61.6% 5.9% 1.0% -1.7M -76.7M -732.4K 0.64 49.86 N/A N/A 1,504 955 10,784 11,700 2020-05-19 $265.49 $250.00 57.6% 16.5% 62.1% 41.8% 57.8% 8.0% 1.9% -1.9M -80.2M -740.0K 2.13 57.24 N/A N/A 733 1,558 11,307 12,301 2020-05-20 $263.82 $250.00 55.5% 15.9% 61.5% 38.8% 55.6% 5.0% 0.4% -3.5M -69.5M -732.1K 0.72 54.26 N/A N/A 521 374 11,574 13,550 2020-05-21 $261.78 $250.00 54.9% 15.6% 61.4% 37.8% 57.5% 4.6% 2.7% -3.9M -62.8M -717.8K 0.41 58.08 N/A N/A 946 391 11,741 13,683 2020-05-22 $261.00 $250.00 55.0% 15.8% 61.4% 38.0% 54.5% 6.7% 0.9% -2.9M -61.1M -710.8K 1.13 56.23 N/A N/A 839 949 11,832 13,779 2020-05-26 $251.13 $250.00 59.8% 16.8% 62.8% 45.1% 58.3% 3.0% -0.8% -3.2M -38.9M -680.6K 2.25 56.45 N/A N/A 677 1,520 10,648 11,670 2020-05-27 $250.67 $255.00 55.5% 16.2% 59.8% 38.8% 55.6% 6.5% 2.5% -4.4M -21.5M -681.0K 1.38 54.15 N/A N/A 1,019 1,406 10,927 12,896 2020-05-28 $258.63 $255.00 57.1% 16.2% 60.5% 41.1% 56.7% 7.6% -0.8% -4.3M -67.7M -683.6K 0.40 55.45 N/A N/A 1,881 757 11,243 12,855 2020-05-29 $270.34 $255.00 55.5% 15.2% 61.9% 38.8% 52.8% 6.7% 0.5% -3.7M -143.8M -702.5K 0.82 57.05 N/A N/A 1,310 1,068 12,312 12,697
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