REI Options History — November 2017

In November 2017, REI traded between $12.80 and $14.18. ATM implied volatility averaged 49.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.2% (HV 20d: 45.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2017-11-08: Highest Volume — 379 contracts
  • 2017-11-06: Largest IV spike — 58.5% change
  • 2017-11-06: Highest IV Rank — 36.5%
  • 2017-11-03: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.50$12.80$14.18$13.28$14.16
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV49.6%34.0%96.0%55.5%44.4%
Expected Move13.3%9.8%17.0%15.9%12.7%
HV 20d45.4%32.1%54.0%39.6%51.2%
HV 60d42.2%39.9%44.6%40.0%43.5%
IV Rank9.2%0.0%36.5%13.4%6.0%
IV Percentile45.6%0.0%97.6%75.8%21.8%
Term Structure1.4%-15.6%23.3%-4.3%-3.2%
VWIV47.7%30.4%58.7%55.8%52.1%
Skew 25d5.4%-9.1%17.8%8.1%5.6%
Skew 10d11.3%-19.7%52.5%9.0%17.2%
Call IV 25d45.7%35.6%58.8%50.0%49.5%
Put IV 25d51.1%38.7%66.8%58.1%55.1%
Bid-Ask Spread %80.6531.24129.63114.1991.20
Gamma HHI0.530.440.660.450.64
Net GEX30.7K20.3K38.7K29.5K32.0K
Net DEX-671.2K-898.8K-409.7K-615.6K-789.6K
Net VEX-2.1K-2.7K-1.5K-2.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.170.510.180.50
Total Volume264.6679937933599
Total OI1,601.3331,2931,8021,6651,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$13.28$12.5055.5%15.9%39.6%13.4%55.8%8.1%-4.3%29.5K-615.6K-2.5K0.18114.19283521,416249
2017-11-02$13.06$12.5051.1%13.4%39.8%10.9%48.6%0.0%13.0%28.8K-589.5K-2.4K0.22101.43274591,421248
2017-11-03$12.92$12.5060.6%17.0%32.1%16.3%56.2%14.4%-9.5%25.6K-592.7K-2.5K0.2397.68262591,417238
2017-11-06$13.63$12.5096.0%15.4%37.3%36.5%45.7%10.5%1.4%34.0K-779.6K-2.5K0.21129.63298621,417238
2017-11-07$13.76$12.5063.2%11.5%37.4%17.8%46.6%9.8%0.2%36.3K-898.8K-2.7K0.20103.87308621,557225
2017-11-08$13.12$12.5050.8%14.6%41.4%10.7%50.3%4.5%-3.9%31.4K-627.1K-2.2K0.23102.92308711,567225
2017-11-09$13.50$12.5056.9%16.3%42.4%14.2%45.0%17.8%-6.3%36.8K-750.6K-2.4K0.23101.88308711,567235
2017-11-10$13.65$12.5049.0%14.0%42.5%8.1%40.4%9.0%2.9%38.7K-805.8K-2.3K0.23107.25305711,567235
2017-11-13$13.27$12.5051.2%14.7%43.9%9.4%49.1%1.0%-1.9%28.8K-677.8K-1.9K0.3476.66206711,565235
2017-11-14$12.88$12.5050.2%14.4%45.2%8.9%53.4%-9.1%4.5%30.5K-553.4K-1.9K0.3480.24206711,565235
2017-11-15$12.80$12.5054.1%15.5%45.1%11.1%58.7%6.8%-0.8%29.9K-564.3K-2.1K0.2291.20175381,565235
2017-11-16$13.45$12.5035.3%10.1%47.9%0.2%35.0%3.1%15.6%25.0K-716.0K-1.7K0.1767.02223381,551238
2017-11-17$13.84$12.5034.5%9.9%46.7%0.0%39.5%3.1%7.0%34.7K-834.3K-1.9K0.1856.95302551,532238
2017-11-20$13.40$12.5034.0%9.8%47.7%0.0%30.4%4.7%23.3%23.2K-455.3K-1.5K0.2047.47247491,120173
2017-11-21$13.15$12.5048.1%13.8%48.1%8.1%46.8%0.1%-2.2%20.3K-409.7K-1.5K0.3050.35163491,123173
2017-11-22$14.18$12.5035.2%10.1%53.7%0.7%41.4%4.3%1.8%32.6K-678.6K-2.0K0.3432.21144491,126173
2017-11-24$14.06$12.5034.9%10.0%54.0%0.5%48.4%6.5%3.5%34.8K-786.0K-2.2K0.5177.1297491,211173
2017-11-27$13.76$12.5038.1%10.9%52.2%2.3%49.6%8.1%1.5%30.6K-646.3K-1.9K0.3531.2493331,216173
2017-11-28$13.83$12.5046.0%13.2%52.2%6.9%50.2%5.4%2.1%31.9K-660.8K-1.9K0.3836.8488331,217172
2017-11-29$13.78$12.5052.6%15.1%52.2%10.7%58.7%-0.6%-15.6%30.3K-664.6K-1.9K0.3596.2694331,227172
2017-11-30$14.16$12.5044.4%12.7%51.2%6.0%52.1%5.6%-3.2%32.0K-789.6K-2.1K0.5091.2066331,226172