REI Options History — May 2017

In May 2017, REI traded between $11.98 and $13.76. ATM implied volatility averaged 53.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 7.3% (HV 20d: 45.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2017-05-26: Highest Volume — 482 contracts
  • 2017-05-02: Largest IV spike — 32.0% change
  • 2017-05-08: Highest IV Rank — 24.8%
  • 2017-05-02: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.92$11.98$13.76$11.98$12.97
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV53.0%41.1%75.5%47.9%51.0%
Expected Move14.0%11.8%18.1%13.7%14.6%
HV 20d45.7%38.4%54.0%54.0%45.7%
HV 60d58.0%56.6%59.6%58.1%56.6%
IV Rank12.0%5.1%24.8%9.1%10.8%
IV Percentile41.4%4.8%91.7%25.4%41.3%
Term Structure-0.6%-18.0%9.9%-3.1%-3.9%
VWIV49.9%43.4%61.0%54.8%50.9%
Skew 25d6.2%-10.0%26.1%26.1%10.3%
Skew 10d12.7%-16.5%60.4%34.2%17.8%
Call IV 25d47.0%36.9%55.9%50.8%44.0%
Put IV 25d53.2%43.3%76.9%76.9%54.3%
Bid-Ask Spread %98.7388.74111.39109.61100.39
Gamma HHI0.340.290.400.390.31
Net GEX17.6K15.6K21.1K16.2K21.1K
Net DEX-1.3M-1.5M-1.0M-1.0M-1.4M
Net VEX-3.0K-3.4K-2.6K-3.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.281.000.280.85
Total Volume301.591171482220303
Total OI1,850.2271,7542,0471,7542,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$11.98$10.0047.9%13.7%54.0%9.1%54.8%26.1%-3.1%16.2K-1.0M-3.1K0.28109.61172481,565189
2017-05-02$12.10$10.0063.3%18.1%53.1%17.8%61.0%8.5%-18.0%17.0K-1.0M-3.1K0.28106.28172481,572189
2017-05-03$12.20$10.0059.3%17.0%51.3%15.5%60.1%10.3%-13.7%17.4K-1.1M-3.1K0.35111.39159561,582189
2017-05-04$12.06$10.0065.1%13.5%50.2%18.9%45.5%12.7%4.5%16.7K-1.0M-3.1K0.37100.95152561,581189
2017-05-05$12.19$10.0072.8%13.4%38.4%23.3%47.0%9.3%6.6%17.1K-1.0M-3.1K0.36101.76155561,576189
2017-05-08$12.66$10.0075.5%14.6%39.2%24.8%48.7%18.7%0.5%18.1K-1.2M-3.0K0.3996.72123481,580189
2017-05-09$12.06$10.0069.7%13.1%42.3%21.5%48.5%5.7%3.3%18.4K-1.1M-2.8K0.4194.42123501,594179
2017-05-10$12.72$10.0048.2%13.8%45.1%9.2%49.2%6.4%0.5%19.3K-1.3M-2.6K0.4094.63126511,597189
2017-05-11$13.31$10.0052.0%14.9%45.9%11.4%50.3%4.4%1.9%18.8K-1.4M-2.8K0.3199.24137421,606186
2017-05-12$13.49$10.0046.9%13.4%45.1%8.5%45.3%2.5%9.9%18.7K-1.5M-2.7K0.3288.74211671,608186
2017-05-15$13.40$10.0052.5%15.1%45.3%11.7%50.4%2.5%-3.3%17.0K-1.5M-2.6K0.4692.222751271,600221
2017-05-16$13.24$10.0051.6%14.8%43.6%11.1%50.4%5.7%-4.0%17.1K-1.4M-3.0K0.4893.532651271,667281
2017-05-17$12.60$10.0047.8%13.7%43.4%9.0%51.1%-10.0%-0.3%17.6K-1.2M-3.2K0.4996.962601271,685281
2017-05-18$13.17$10.0049.1%14.1%45.5%9.7%48.0%2.3%1.5%15.6K-1.4M-3.1K0.6094.932521521,690331
2017-05-19$13.51$10.0048.7%14.0%45.4%9.5%48.1%2.7%-1.4%15.6K-1.5M-3.0K0.7693.692241711,690319
2017-05-22$13.76$10.0041.1%11.8%45.6%5.1%45.3%3.0%-5.7%17.7K-1.4M-2.7K0.9496.081741641,541265
2017-05-23$13.69$10.0043.7%12.5%45.7%6.7%51.7%1.0%8.4%16.8K-1.4M-3.0K0.99101.461651641,541265
2017-05-24$13.50$10.0049.1%14.1%45.7%9.7%55.6%9.9%3.0%16.5K-1.4M-2.9K1.00100.771641641,541265
2017-05-25$13.17$10.0046.2%13.2%45.4%8.1%47.7%-1.1%-5.0%15.8K-1.3M-2.9K0.6299.162641641,542265
2017-05-26$13.29$10.0041.7%12.0%45.2%5.5%43.6%-1.4%2.1%18.4K-1.4M-3.0K0.4197.023431391,642265
2017-05-30$13.18$10.0043.1%12.4%45.2%6.3%43.4%6.9%1.9%20.5K-1.4M-3.3K0.54102.192561391,756270
2017-05-31$12.97$10.0051.0%14.6%45.7%10.8%50.9%10.3%-3.9%21.1K-1.4M-3.4K0.85100.391641391,777270