REI Options History — June 2017

In June 2017, REI traded between $11.15 and $13.37. ATM implied volatility averaged 48.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 3.4% (HV 20d: 45.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2017-06-28: Highest Volume — 468 contracts
  • 2017-06-14: Largest IV drop — 47.4% change
  • 2017-06-13: Highest IV Rank — 22.4%
  • 2017-06-27: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.44$11.15$13.37$13.00$13.03
Max Pain$12.27$10.00$12.50$10.00$12.50
ATM IV48.7%37.5%71.3%49.1%49.3%
Expected Move12.9%10.7%14.2%14.1%14.1%
HV 20d45.3%37.1%54.1%45.7%54.1%
HV 60d52.1%49.3%56.5%56.5%49.3%
IV Rank9.5%3.1%22.4%9.7%9.8%
IV Percentile30.6%1.2%88.9%32.5%37.3%
Term Structure3.0%-4.5%10.7%-4.5%-1.8%
VWIV44.9%37.5%50.4%49.3%49.3%
Skew 25d2.9%-8.8%15.7%10.1%-0.7%
Skew 10d8.4%-15.6%26.2%21.4%-0.0%
Call IV 25d44.1%35.3%52.2%43.7%52.2%
Put IV 25d47.0%38.2%56.4%53.8%51.5%
Bid-Ask Spread %92.8682.78104.22102.5789.48
Gamma HHI0.350.290.450.320.31
Net GEX18.3K16.3K21.3K20.9K16.9K
Net DEX-1.1M-1.5M-727.8K-1.4M-1.2M
Net VEX-3.2K-3.4K-2.9K-3.4K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.120.810.810.16
Total Volume371.909252468311467
Total OI1,9761,7152,1552,0571,847

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$13.00$10.0049.1%14.1%45.7%9.7%49.3%10.1%-4.5%20.9K-1.4M-3.4K0.81102.571721391,777280
2017-06-02$13.00$10.0040.5%11.6%45.4%4.8%40.5%2.7%3.1%21.3K-1.4M-3.4K0.79104.222021591,767280
2017-06-05$13.02$12.5051.2%11.1%45.3%10.9%39.7%-0.5%9.3%18.3K-1.3M-3.2K0.6795.192091391,739318
2017-06-06$13.37$12.5046.1%12.4%44.3%8.0%43.7%-0.2%5.5%18.3K-1.4M-3.1K0.5791.832281291,739318
2017-06-07$12.75$12.5045.9%12.9%44.2%7.9%44.9%4.1%3.0%19.2K-1.2M-3.1K0.3888.88259991,739318
2017-06-08$13.00$12.5055.2%12.4%40.5%13.2%43.1%-0.7%5.0%19.0K-1.3M-3.2K0.4390.432551091,796343
2017-06-09$13.18$12.5049.3%13.0%37.4%9.8%45.3%1.3%2.8%17.9K-1.4M-3.2K0.4391.012551091,812343
2017-06-12$13.07$12.5065.0%13.3%37.1%18.8%45.9%-0.6%2.3%18.2K-1.4M-3.1K0.2691.38252661,812343
2017-06-13$13.17$12.5071.3%11.6%37.2%22.4%40.2%-0.9%6.1%16.4K-1.5M-2.9K0.2895.73239661,814341
2017-06-14$12.17$12.5037.5%10.7%46.3%3.1%37.5%-8.8%8.9%17.4K-1.0M-3.2K0.26101.74249651,809341
2017-06-15$11.72$12.5042.4%12.1%45.0%5.9%42.4%4.4%5.7%16.3K-828.4K-3.0K0.2596.47285701,772339
2017-06-16$12.19$12.5049.4%14.2%44.3%9.9%49.4%15.7%-0.2%17.1K-972.6K-3.1K0.21100.47264551,812339
2017-06-19$12.02$12.5045.9%13.1%43.0%7.9%45.9%9.7%-2.4%16.7K-916.7K-3.1K0.2291.48207451,475240
2017-06-20$11.73$12.5047.1%13.5%42.5%8.6%47.2%9.5%-0.3%18.1K-865.9K-3.1K0.1385.24360451,527240
2017-06-21$11.16$12.5047.0%13.5%45.0%8.5%46.9%4.6%8.7%19.4K-786.0K-3.1K0.1491.30357511,604240
2017-06-22$11.15$12.5044.8%12.8%45.1%7.3%45.5%2.7%10.7%19.0K-727.8K-3.2K0.1491.75356511,602246
2017-06-23$11.68$12.5044.7%12.8%48.8%7.2%44.0%1.6%0.1%19.1K-865.1K-3.2K0.1787.72296511,602246
2017-06-26$11.70$12.5048.4%13.9%48.6%9.3%50.4%9.5%-2.0%19.6K-916.1K-3.4K0.1287.46395481,653246
2017-06-27$12.03$12.5049.6%14.2%50.1%10.0%43.6%-5.6%-0.5%17.6K-973.6K-3.1K0.1282.78395481,553248
2017-06-28$12.65$12.5047.4%13.6%53.5%8.8%47.5%-5.0%0.2%18.1K-1.2M-3.0K0.1692.84402661,553248
2017-06-29$12.89$12.5044.7%12.8%53.9%7.2%44.7%11.9%5.4%16.8K-1.2M-3.0K0.1692.89402661,543268
2017-06-30$13.03$12.5049.3%14.1%54.1%9.8%49.3%-0.7%-1.8%16.9K-1.2M-3.0K0.1689.48401661,579268