REI Options History — October 2017

In October 2017, REI traded between $11.85 and $14.39. ATM implied volatility averaged 45.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 8.2% (HV 20d: 37.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2017-10-09: Highest Volume — 414 contracts
  • 2017-10-25: Largest IV spike — 38.8% change
  • 2017-10-25: Highest IV Rank — 16.8%
  • 2017-10-25: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.97$11.85$14.39$14.39$12.75
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.6%35.1%61.5%41.4%45.6%
Expected Move13.6%10.5%17.6%11.9%13.1%
HV 20d37.4%28.2%44.2%42.4%36.1%
HV 60d39.0%37.1%41.7%40.1%39.5%
IV Rank7.7%1.7%16.8%5.3%7.8%
IV Percentile30.9%0.8%89.3%8.7%26.2%
Term Structure-0.1%-11.4%8.4%4.1%8.4%
VWIV48.4%42.1%61.5%49.8%49.6%
Skew 25d9.3%-15.2%62.5%11.6%62.5%
Skew 10d17.3%-25.8%109.9%18.5%109.9%
Call IV 25d46.7%37.5%65.1%41.0%49.3%
Put IV 25d55.9%46.0%111.8%52.6%111.8%
Bid-Ask Spread %82.3731.06117.6554.07112.47
Gamma HHI0.490.420.610.600.43
Net GEX22.2K15.5K27.3K24.6K26.1K
Net DEX-558.7K-940.6K-237.0K-940.6K-514.6K
Net VEX-2.5K-2.9K-2.1K-2.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.060.800.800.22
Total Volume335.636160414160338
Total OI1,594.9551,3631,8091,3631,665

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$14.39$12.5041.4%11.9%42.4%5.3%49.8%11.6%4.1%24.6K-940.6K-2.8K0.8054.0789711,156207
2017-10-03$14.29$12.5040.8%11.7%42.3%5.0%46.3%13.1%4.2%24.3K-919.1K-2.9K0.7267.6399711,170214
2017-10-04$14.29$12.5036.8%10.5%39.5%2.7%42.1%9.7%8.0%26.2K-918.1K-2.9K0.7277.1399711,185214
2017-10-05$14.10$12.5035.1%13.9%39.9%1.7%50.2%13.4%0.1%24.2K-883.1K-2.9K0.7239.2599711,185214
2017-10-06$13.18$12.5038.7%13.3%44.2%3.8%47.9%4.1%0.5%21.7K-617.0K-2.6K0.0651.03386221,185215
2017-10-09$13.08$12.5035.1%14.7%43.7%1.7%48.9%7.2%-6.6%21.6K-572.9K-2.6K0.1180.84372421,230217
2017-10-10$13.07$12.5046.5%14.4%43.5%8.3%47.1%7.2%-5.7%21.3K-574.3K-2.7K0.1631.06322511,332243
2017-10-11$13.03$12.5046.4%13.3%37.8%8.2%46.7%-0.1%7.7%20.6K-585.0K-2.9K0.1656.64314511,383253
2017-10-12$12.91$12.5052.6%15.1%37.5%11.7%48.8%-0.9%-4.7%22.1K-536.6K-2.7K0.1689.67332521,425253
2017-10-13$12.98$12.5049.2%14.1%36.7%9.8%46.8%1.8%2.1%23.4K-576.0K-2.7K0.1587.72341521,445256
2017-10-16$13.01$12.5048.3%13.8%36.3%9.2%48.2%5.9%0.8%25.2K-602.1K-2.7K0.1489.53362521,467256
2017-10-17$12.99$12.5047.3%13.6%35.8%8.7%47.1%1.3%1.1%20.8K-638.5K-2.5K0.2194.95244521,482256
2017-10-18$13.11$12.5050.6%14.5%35.6%10.6%51.6%2.4%-3.8%27.3K-623.8K-2.5K0.3687.93244891,493256
2017-10-19$12.83$12.5051.7%14.8%36.5%11.2%51.7%-0.0%-4.5%25.7K-540.0K-2.5K0.3289.83274891,493296
2017-10-20$12.40$12.5050.8%14.6%38.2%10.7%50.9%1.6%-4.7%18.0K-270.5K-2.3K0.3884.792741031,513296
2017-10-23$12.14$12.5047.3%13.6%34.1%8.7%47.3%14.5%-0.8%15.5K-285.6K-2.1K0.2092.06320641,257223
2017-10-24$12.00$12.5044.3%12.7%34.1%7.0%44.4%13.0%-0.1%17.6K-274.7K-2.1K0.1894.84325571,354243
2017-10-25$11.85$12.5061.5%17.6%28.9%16.8%61.5%14.8%-11.4%16.7K-271.1K-2.2K0.1899.51325581,392246
2017-10-26$11.88$12.5044.7%12.8%28.2%7.2%46.0%18.6%-5.1%16.9K-237.0K-2.1K0.18100.27325581,392247
2017-10-27$12.54$12.5047.0%13.5%35.2%8.5%47.0%17.1%0.2%23.2K-463.5K-2.5K0.19117.65325611,392247
2017-10-30$12.61$12.5040.8%11.7%35.5%5.0%45.6%-15.2%7.8%24.7K-447.9K-2.3K0.22113.23277611,392249
2017-10-31$12.75$12.5045.6%13.1%36.1%7.8%49.6%62.5%8.4%26.1K-514.6K-2.5K0.22112.47277611,416249