RNG Options History — September 2020 In September 2020, RNG traded between $249.49 and $309.76. ATM implied volatility averaged 58.9%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 2.1% (HV 20d: 56.8%). Max pain ranged from $260.00 to $280.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.
Notable Days 2020-09-17 : Highest Volume — 10,280 contracts2020-09-02 : Largest IV spike — 8.3% change2020-09-08 : Highest IV Rank — 58.7%2020-09-08 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $267.83 $249.49 $309.76 $309.76 $274.15 Max Pain $263.81 $260.00 $280.00 $280.00 $260.00 ATM IV 58.9% 54.1% 69.0% 56.5% 55.2% Expected Move 16.6% 14.6% 18.8% 17.0% 14.6% HV 20d 56.8% 48.0% 61.9% 48.0% 56.9% HV 60d 55.7% 52.5% 58.1% 55.2% 52.9% IV Rank 43.8% 36.7% 58.7% 40.2% 38.2% IV Percentile 67.4% 54.4% 85.7% 65.5% 56.3% Term Structure 0.7% -3.1% 5.5% -0.2% 2.7% VWIV 58.0% 50.2% 66.4% 58.0% 50.2% Skew 25d 5.0% 2.5% 6.9% 3.6% 5.7% Skew 10d 10.6% 5.0% 17.8% 11.4% 11.8% Call IV 25d 56.9% 50.9% 65.8% 54.7% 50.9% Put IV 25d 61.9% 56.6% 71.2% 58.4% 56.6% Bid-Ask Spread % 64.39 52.23 73.21 62.76 68.24 Gamma HHI 0.11 0.06 0.28 0.08 0.07 Net GEX -1.1M -7.2M 4.9M 4.9M 3.6M Net DEX -45.2M -249.2M 65.4M -249.2M -117.1M Net VEX -1.2M -1.3M -1.1M -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.30 2.83 0.30 0.66 Total Volume 3,341.667 1,320 10,280 2,936 2,082 Total OI 39,341.238 32,527 46,908 32,527 39,111
Daily Data (21 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 2020-09-01 $309.76 $280.00 56.5% 17.0% 48.0% 40.2% 58.0% 3.6% -0.2% 4.9M -249.2M -1.2M 0.30 62.76 N/A N/A 2,262 674 17,905 14,622 2020-09-02 $302.75 $280.00 61.2% 16.7% 48.5% 47.1% 59.7% 3.5% -0.2% 4.0M -215.0M -1.2M 2.83 52.23 N/A N/A 980 2,773 18,321 14,925 2020-09-03 $276.05 $270.00 63.9% 17.9% 58.9% 51.1% 63.5% 5.1% 0.1% -2.0M -51.3M -1.3M 1.83 62.87 N/A N/A 2,770 5,067 18,547 16,988 2020-09-04 $267.59 $270.00 66.0% 18.3% 52.8% 54.2% 64.3% 5.5% 0.3% -2.6M 12.2M -1.3M 0.77 62.40 N/A N/A 1,600 1,227 20,032 19,732 2020-09-08 $260.57 $260.00 69.0% 18.8% 53.6% 58.7% 66.4% 5.4% -3.1% -2.7M 9.8M -1.2M 0.83 64.29 N/A N/A 1,934 1,614 19,136 17,846 2020-09-09 $260.43 $260.00 63.7% 17.9% 48.8% 50.9% 63.5% 5.7% -1.6% -4.0M 18.4M -1.2M 1.07 64.32 N/A N/A 811 871 19,814 18,674 2020-09-10 $273.64 $270.00 61.9% 17.3% 52.3% 48.2% 61.6% 5.4% -1.7% -1.2M -59.1M -1.2M 1.09 70.43 N/A N/A 1,046 1,140 20,147 18,877 2020-09-11 $255.79 $270.00 58.9% 16.5% 56.4% 43.8% 58.0% 5.2% -1.7% -7.2M 61.6M -1.1M 1.63 72.20 N/A N/A 1,649 2,691 20,498 19,246 2020-09-14 $263.26 $260.00 57.5% 16.5% 57.7% 41.7% 57.9% 4.8% 1.3% -1.9M -15.9M -1.1M 1.16 66.43 N/A N/A 1,075 1,246 20,322 17,577 2020-09-15 $254.01 $260.00 56.7% 16.2% 57.1% 40.4% 55.9% 3.8% 1.3% -3.2M 37.8M -1.1M 0.92 73.21 N/A N/A 2,539 2,325 20,772 18,101 2020-09-16 $256.73 $260.00 58.0% 16.6% 57.4% 42.4% 58.2% 6.0% 0.3% -3.1M 20.2M -1.2M 0.64 73.11 N/A N/A 1,758 1,118 22,396 19,579 2020-09-17 $249.49 $260.00 59.9% 17.1% 58.0% 45.2% 59.7% 5.6% 1.1% -3.7M 65.4M -1.1M 0.99 70.35 N/A N/A 5,177 5,103 22,541 19,847 2020-09-18 $256.80 $260.00 57.3% 16.3% 59.2% 41.3% 57.3% 5.0% 0.9% -1.9M 4.7M -1.2M 1.42 69.74 N/A N/A 1,384 1,963 25,482 21,426 2020-09-21 $265.43 $260.00 57.1% 16.6% 60.8% 41.1% 56.6% 6.9% 2.0% 668.8K -66.5M -1.2M 1.24 58.17 N/A N/A 1,626 2,010 20,586 19,382 2020-09-22 $268.29 $260.00 55.5% 15.6% 60.5% 38.7% 54.7% 5.0% -0.6% 542.9K -74.8M -1.2M 0.38 59.48 N/A N/A 2,150 827 20,530 20,402 2020-09-23 $262.79 $260.00 56.6% 16.3% 60.8% 40.4% 56.1% 5.3% 1.4% -436.2K -49.1M -1.2M 0.97 57.88 N/A N/A 1,265 1,227 20,852 20,728 2020-09-24 $259.60 $260.00 57.2% 16.3% 60.0% 41.3% 57.8% 5.8% 1.1% -1.5M -22.3M -1.2M 0.98 60.18 N/A N/A 711 700 20,933 21,240 2020-09-25 $269.50 $260.00 54.1% 15.1% 61.9% 36.7% 54.1% 4.2% 1.4% -5.7M -91.0M -1.2M 0.52 59.33 N/A N/A 1,164 604 21,171 21,313 2020-09-28 $268.00 $260.00 55.1% 15.1% 61.2% 38.1% 52.9% 2.5% 5.5% 1.6M -80.9M -1.2M 1.14 61.12 N/A N/A 616 704 19,108 18,927 2020-09-29 $269.78 $260.00 55.7% 15.0% 61.3% 39.0% 52.5% 5.2% 4.2% 2.0M -87.9M -1.2M 0.74 63.45 N/A N/A 975 717 19,274 19,256 2020-09-30 $274.15 $260.00 55.2% 14.6% 56.9% 38.2% 50.2% 5.7% 2.7% 3.6M -117.1M -1.2M 0.66 68.24 N/A N/A 1,254 828 19,655 19,456
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