RNG Options History — November 2020

In November 2020, RNG traded between $255.19 and $302.55. ATM implied volatility averaged 49.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 7.9% (HV 20d: 57.1%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2020-11-09: Highest Volume — 19,863 contracts
  • 2020-11-10: Largest IV drop — 13.5% change
  • 2020-11-09: Highest IV Rank — 45.5%
  • 2020-11-02: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$285.69$255.19$302.55$255.19$297.20
Max Pain$262.50$260.00$270.00$270.00$270.00
ATM IV49.2%44.0%60.1%60.0%45.1%
Expected Move14.5%12.9%19.9%19.9%14.1%
HV 20d57.1%39.3%64.7%40.5%57.3%
HV 60d51.0%45.7%53.6%45.9%48.4%
IV Rank29.3%21.6%45.5%45.4%23.3%
IV Percentile35.6%22.6%68.3%67.9%27.0%
Term Structure-0.7%-2.5%1.5%-0.8%1.5%
VWIV51.2%45.4%68.5%68.5%49.1%
Skew 25d3.3%0.6%4.8%3.7%3.8%
Skew 10d6.3%1.2%9.5%9.5%6.2%
Call IV 25d47.8%43.2%58.2%58.1%44.0%
Put IV 25d51.1%45.9%61.8%61.8%47.8%
Bid-Ask Spread %65.3448.8777.0448.8760.13
Gamma HHI0.080.050.130.060.05
Net GEX5.0M-2.2M16.2M-1.8M1.3M
Net DEX-141.2M-360.8M19.1M19.1M-125.4M
Net VEX-1.0M-1.1M-894.6K-928.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.332.201.030.97
Total Volume4,532.651,27919,8633,5512,699
Total OI40,569.732,85451,70132,85435,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$255.19$270.0060.0%19.9%40.5%45.4%68.5%3.7%-0.8%-1.8M19.1M-928.2K1.0348.87N/AN/A1,7531,79815,66117,193
2020-11-03$256.66$270.0056.8%19.0%39.3%40.6%66.1%3.5%-0.6%-2.2M17.2M-894.6K0.3352.38N/AN/A1,38345115,66117,193
2020-11-04$271.29$270.0052.8%17.4%43.1%34.7%63.4%3.6%-2.5%637.8K-62.7M-927.8K1.1353.78N/AN/A79489917,40018,118
2020-11-05$285.22$260.0051.2%14.7%45.7%32.3%52.5%3.6%-0.4%3.6M-130.7M-953.3K1.1572.64N/AN/A72883717,46618,253
2020-11-06$294.74$260.0054.4%15.2%46.4%37.0%53.1%3.5%-1.2%4.2M-180.1M-971.0K0.9467.57N/AN/A2,4262,27317,71918,398
2020-11-09$266.88$260.0060.1%16.4%58.6%45.5%56.7%0.6%-1.9%57.5K-24.2M-935.0K0.5466.75N/AN/A12,9236,94017,82717,910
2020-11-10$279.28$260.0052.0%14.7%61.1%33.5%51.2%4.8%-1.2%6.6M-148.0M-1.0M1.0670.54N/AN/A5,1695,46528,26122,915
2020-11-11$283.71$260.0049.1%14.0%60.6%29.1%48.6%3.0%-1.3%8.5M-178.2M-1.0M0.7365.65N/AN/A1,8981,39428,38723,168
2020-11-12$302.55$260.0048.9%14.0%64.5%28.9%47.9%3.9%-0.6%16.2M-360.8M-1.0M0.4970.65N/AN/A5,3592,60028,65922,942
2020-11-13$297.43$260.0046.8%13.5%64.6%25.8%48.3%3.4%0.6%13.1M-289.6M-1.0M0.7470.37N/AN/A5,5094,05528,08423,617
2020-11-16$294.45$260.0046.4%13.4%64.7%25.2%46.4%4.0%-2.1%9.4M-214.7M-1.1M1.3274.20N/AN/A8541,12423,26719,515
2020-11-17$294.51$260.0045.3%13.0%62.9%23.6%45.7%3.0%-0.8%9.9M-213.2M-1.1M0.7872.32N/AN/A71856123,54020,041
2020-11-18$289.93$260.0045.4%13.0%63.0%23.7%45.9%2.8%-0.1%9.6M-172.3M-1.1M0.8977.04N/AN/A99589023,63220,270
2020-11-19$295.94$260.0046.8%13.4%62.5%25.8%47.9%3.7%0.1%9.1M-222.9M-1.1M0.8875.35N/AN/A1,04191523,38520,468
2020-11-20$295.43$260.0044.9%12.9%62.5%23.0%45.4%3.1%-0.5%4.6M-212.1M-1.0M0.6576.18N/AN/A3,3322,15123,56920,616
2020-11-23$289.07$260.0044.5%13.0%63.0%22.3%47.1%3.1%-1.1%1.6M-84.4M-1.0M0.8557.34N/AN/A1,4581,24617,14617,155
2020-11-24$283.55$260.0044.8%13.2%63.1%22.7%47.5%3.3%-0.6%895.0K-56.5M-994.8K1.4257.54N/AN/A1,0321,46717,66317,636
2020-11-25$287.93$260.0044.3%12.9%59.4%22.0%47.0%3.5%-0.3%1.8M-78.4M-1.0M1.2258.56N/AN/A1,2141,47618,01018,225
2020-11-27$292.93$270.0044.0%13.1%59.3%21.6%46.4%2.6%-0.7%3.9M-105.3M-1.0M2.2058.97N/AN/A8821,94418,33318,848
2020-11-30$297.20$270.0045.1%14.1%57.3%23.3%49.1%3.8%1.5%1.3M-125.4M-1.0M0.9760.13N/AN/A1,3721,32716,90018,343