REI Options History — August 2017

In August 2017, REI traded between $11.86 and $13.59. ATM implied volatility averaged 50.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 14.9% (HV 20d: 35.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.18.

Notable Days

  • 2017-08-15: Highest Volume — 768 contracts
  • 2017-08-09: Largest IV drop — 31.9% change
  • 2017-08-08: Highest IV Rank — 23.0%
  • 2017-08-01: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.73$11.86$13.59$13.02$11.88
Max Pain$10.22$10.00$12.50$12.50$10.00
ATM IV50.6%35.6%72.4%60.8%35.6%
Expected Move13.9%10.2%17.4%17.4%10.2%
HV 20d35.6%25.9%39.5%38.3%37.3%
HV 60d42.3%39.9%45.7%45.7%42.1%
IV Rank10.6%2.0%23.0%16.4%2.0%
IV Percentile41.9%1.2%94.0%84.5%1.2%
Term Structure0.7%-9.2%15.9%-9.2%5.5%
VWIV50.6%35.3%62.8%48.5%55.9%
Skew 25d4.5%-5.8%16.7%7.0%-4.4%
Skew 10d9.3%-12.0%30.1%18.6%0.5%
Call IV 25d44.2%35.4%49.7%48.6%40.1%
Put IV 25d48.6%35.7%61.7%55.6%35.7%
Bid-Ask Spread %53.2219.68104.69101.3032.52
Gamma HHI0.350.290.450.290.38
Net GEX9.9K-6.1K20.6K6.1K20.6K
Net DEX-1.0M-1.3M-480.3K-1.0M-852.3K
Net VEX-2.2K-2.7K-1.8K-2.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.060.540.200.06
Total Volume476.043183768241631
Total OI2,050.6091,7552,2752,0721,885

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$13.02$12.5060.8%17.4%38.3%16.4%48.5%7.0%-9.2%6.1K-1.0M-2.7K0.20101.30200411,545527
2017-08-02$12.77$12.5058.2%16.7%38.8%14.9%49.3%14.4%-7.1%5.5K-957.1K-2.6K0.25104.69162411,545527
2017-08-03$12.90$10.0056.6%15.3%38.9%14.0%49.0%13.4%-3.3%5.1K-937.0K-2.6K0.1879.73155281,548527
2017-08-04$13.16$10.0060.6%14.5%39.5%16.3%48.5%9.0%0.6%5.0K-1.1M-2.6K0.1577.19168261,570534
2017-08-07$13.17$10.0065.1%14.6%38.7%18.9%50.8%14.8%-1.8%5.7K-1.1M-2.5K0.5480.482131151,599536
2017-08-08$13.50$10.0072.4%15.4%39.1%23.0%51.4%-0.2%-2.2%3.8K-1.3M-2.6K0.3059.38251751,649626
2017-08-09$13.59$10.0049.3%14.1%38.8%9.8%47.6%2.7%3.3%6.2K-1.3M-2.3K0.1866.38539951,643576
2017-08-10$13.25$10.0051.5%14.8%38.7%11.1%51.2%3.7%0.8%3.3K-1.2M-2.3K0.1530.20525801,651588
2017-08-11$13.47$10.0053.2%15.3%39.0%12.1%55.1%0.3%-0.6%7.9K-1.2M-2.5K0.1680.44530831,647590
2017-08-14$13.43$10.0040.1%11.5%38.0%4.6%37.3%2.2%15.9%4.2K-1.3M-2.0K0.1677.59530831,657590
2017-08-15$13.33$10.0048.4%13.9%25.9%9.4%49.6%1.6%1.3%4.8K-1.3M-2.0K0.2450.296191491,657590
2017-08-16$12.87$10.0046.3%13.3%27.8%8.1%51.8%-2.3%1.5%-4.6K-1.2M-2.0K0.2836.484981391,660514
2017-08-17$12.36$10.0045.5%13.0%31.3%7.6%47.7%7.1%5.7%-6.1K-837.5K-2.0K0.2748.214791301,687554
2017-08-18$12.13$10.0048.5%13.9%30.3%9.4%53.0%16.4%1.7%14.2K-480.3K-2.2K0.2028.975311071,691531
2017-08-21$11.97$10.0042.8%12.3%30.0%6.1%35.3%16.7%2.4%14.5K-825.0K-2.1K0.1838.19475871,513261
2017-08-22$12.06$10.0044.6%12.8%28.4%7.1%45.6%-2.0%2.5%14.6K-822.3K-2.0K0.1226.83500591,494261
2017-08-23$12.79$10.0053.7%15.4%35.8%12.3%61.1%-1.1%-4.4%20.2K-1.1M-2.0K0.0850.08435331,586263
2017-08-24$12.67$10.0047.0%13.5%35.9%8.5%51.5%7.7%0.2%17.8K-1.1M-2.0K0.0819.68393331,612257
2017-08-25$12.55$10.0044.7%12.8%35.7%7.2%55.8%4.9%2.4%18.5K-1.1M-2.0K0.0824.48393331,611257
2017-08-28$12.07$10.0045.1%12.9%37.9%7.4%47.6%-2.2%2.3%19.9K-878.6K-1.9K0.0824.66393331,611257
2017-08-29$12.03$10.0046.9%13.4%37.9%8.5%56.7%-1.2%1.0%19.5K-895.2K-2.0K0.0858.87392331,611257
2017-08-30$11.86$10.0045.8%13.1%37.6%7.8%62.8%-5.8%-1.9%20.1K-815.3K-1.9K0.0827.30401331,614255
2017-08-31$11.88$10.0035.6%10.2%37.3%2.0%55.9%-4.4%5.5%20.6K-852.3K-1.8K0.0632.52598331,630255