REI Options History — January 2018

In January 2018, REI traded between $13.64 and $15.70. ATM implied volatility averaged 48.5%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.3% (HV 20d: 45.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2018-01-19: Highest Volume — 698 contracts
  • 2018-01-08: Largest IV drop — 25.7% change
  • 2018-01-31: Highest IV Rank — 27.1%
  • 2018-01-31: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.78$13.64$15.70$14.55$13.81
Max Pain$14.05$12.50$15.00$12.50$15.00
ATM IV48.5%31.3%61.8%38.0%61.8%
Expected Move14.5%10.9%17.7%10.9%17.7%
HV 20d45.2%38.6%49.0%49.0%44.6%
HV 60d46.8%44.3%48.3%46.4%47.7%
IV Rank15.4%0.4%27.1%6.3%27.1%
IV Percentile52.7%0.4%92.1%7.1%92.1%
Term Structure-1.0%-18.6%6.9%6.9%-18.6%
VWIV52.0%31.8%64.4%31.8%64.4%
Skew 25d7.8%-0.6%17.3%-0.6%1.4%
Skew 10d14.8%-20.0%30.6%1.9%13.6%
Call IV 25d48.7%33.9%63.1%33.9%63.1%
Put IV 25d56.5%33.3%66.7%33.3%64.6%
Bid-Ask Spread %66.5020.8298.4620.8298.46
Gamma HHI0.530.410.730.460.47
Net GEX36.2K19.3K80.5K19.3K22.6K
Net DEX-1.2M-1.8M-671.1K-846.0K-671.1K
Net VEX-4.6K-5.4K-3.5K-3.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.160.490.270.48
Total Volume432.81337698391417
Total OI2,115.0951,6752,6011,6751,953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$14.55$12.5038.0%10.9%49.0%6.3%31.8%-0.6%6.9%19.3K-846.0K-3.5K0.2720.82307841,249426
2018-01-03$14.37$12.5038.4%11.0%48.3%6.6%40.0%9.9%4.3%19.3K-874.4K-3.9K0.1676.63522841,377426
2018-01-04$14.82$12.5043.9%14.9%48.3%11.4%64.4%17.3%0.1%33.1K-1.2M-4.6K0.2155.22391841,636426
2018-01-05$14.78$12.5042.1%13.3%38.6%9.9%55.0%7.3%2.5%38.7K-1.1M-4.6K0.3928.44253991,701426
2018-01-08$14.71$12.5031.3%13.8%38.8%0.4%55.6%5.5%-1.7%44.7K-1.2M-4.6K0.4145.64242991,728451
2018-01-09$14.31$12.5038.6%15.1%40.3%6.8%52.8%5.7%-7.9%39.1K-1.0M-4.5K0.3461.22295991,758451
2018-01-10$14.48$12.5045.9%13.2%40.3%13.2%49.2%4.7%0.4%42.2K-1.1M-4.6K0.1868.38295541,829451
2018-01-11$15.32$12.5051.5%14.8%41.7%18.1%51.0%7.0%3.3%52.2K-1.5M-4.9K0.2274.37433961,829461
2018-01-12$15.70$15.0046.7%13.4%42.1%13.9%45.0%10.2%6.0%49.5K-1.8M-5.4K0.1949.16334641,988502
2018-01-16$14.93$15.0047.4%13.6%47.0%14.5%48.5%5.6%3.0%53.4K-1.4M-5.0K0.2963.574221221,982512
2018-01-17$15.56$15.0054.3%15.6%46.3%20.6%53.8%6.9%-3.0%49.5K-1.7M-5.2K0.2778.714501222,064537
2018-01-18$15.06$15.0051.6%14.8%48.0%18.2%53.1%8.3%-3.8%80.5K-1.4M-4.8K0.3163.443961222,028537
2018-01-19$15.19$15.0050.7%14.5%47.9%17.4%50.6%7.3%-0.2%28.7K-1.6M-4.8K0.2177.735761222,044537
2018-01-22$15.47$15.0051.5%14.8%46.9%18.1%50.8%8.7%-3.6%32.6K-1.2M-4.7K0.2844.70276781,591266
2018-01-23$15.20$15.0052.8%15.1%45.9%19.2%50.7%13.6%0.8%29.3K-1.1M-4.7K0.3078.88259781,590273
2018-01-24$15.21$15.0054.4%15.6%45.7%20.6%54.1%9.2%-3.5%28.3K-1.2M-4.7K0.2979.61267781,590273
2018-01-25$14.80$15.0052.9%15.2%46.7%19.3%53.6%5.9%-0.2%27.4K-984.5K-4.4K0.2985.75279811,584273
2018-01-26$14.38$15.0053.0%15.2%47.9%19.4%55.8%9.2%-5.6%25.7K-864.7K-4.4K0.3088.49272811,603283
2018-01-29$14.13$15.0057.6%16.5%48.2%23.5%59.1%15.2%-4.6%23.4K-815.6K-4.3K0.3168.00262811,608283
2018-01-30$13.64$15.0053.7%15.4%47.4%20.0%53.2%5.7%4.0%21.2K-684.3K-4.0K0.4989.252781351,608283
2018-01-31$13.81$15.0061.8%17.7%44.6%27.1%64.4%1.4%-18.6%22.6K-671.1K-4.2K0.4898.462821351,626327