REI Options History — March 2018

In March 2018, REI traded between $13.63 and $14.55. ATM implied volatility averaged 49.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 5.3% (HV 20d: 44.5%). 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 19 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2018-03-27: Highest Volume — 689 contracts
  • 2018-03-14: Largest IV drop — 48.5% change
  • 2018-03-13: Highest IV Rank — 43.9%
  • 2018-03-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.10$13.63$14.55$13.79$14.33
Max Pain$13.93$12.50$15.00$15.00$15.00
ATM IV49.8%39.4%81.1%54.4%43.8%
Expected Move13.1%11.3%15.6%15.6%12.6%
HV 20d44.5%37.1%54.7%54.4%37.4%
HV 60d46.5%45.0%48.8%48.7%45.3%
IV Rank20.9%9.6%43.9%20.6%19.9%
IV Percentile47.4%10.3%99.2%76.6%23.0%
Term Structure2.6%-7.7%7.2%-0.9%3.8%
VWIV48.5%40.6%60.7%60.7%44.4%
Skew 25d11.0%5.1%17.9%14.6%11.6%
Skew 10d26.7%6.2%40.7%16.5%17.6%
Call IV 25d43.0%32.6%52.5%52.5%40.8%
Put IV 25d54.1%47.3%67.2%67.2%52.3%
Bid-Ask Spread %54.9218.0582.3940.9355.94
Gamma HHI0.500.450.560.510.46
Net GEX29.8K21.5K39.0K29.6K28.6K
Net DEX-748.2K-960.0K-570.8K-720.7K-798.9K
Net VEX-4.3K-4.8K-3.7K-4.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.060.490.370.17
Total Volume417.476259689520346
Total OI2,0811,5662,3852,2771,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$13.79$15.0054.4%15.6%54.4%20.6%60.7%14.6%-0.9%29.6K-720.7K-4.5K0.3740.933791411,894383
2018-03-02$14.20$15.0053.9%15.4%54.7%20.1%60.5%14.1%-7.7%35.6K-845.3K-4.6K0.4056.163821531,897383
2018-03-05$14.43$12.5057.2%13.5%52.9%23.0%51.9%7.8%2.1%39.0K-960.0K-4.7K0.4850.313211541,913397
2018-03-06$14.08$12.5055.7%13.7%53.8%21.7%54.1%7.4%0.6%34.2K-789.9K-4.4K0.4960.933091511,909399
2018-03-07$13.96$12.5058.5%13.7%44.4%24.2%51.5%5.8%1.0%33.0K-732.2K-4.3K0.4635.343091421,911409
2018-03-08$13.85$12.5050.7%13.9%40.3%17.4%52.2%13.2%1.1%30.5K-669.4K-4.1K0.1155.64309341,911402
2018-03-09$14.00$12.5053.0%13.2%40.4%19.4%48.9%13.6%3.3%34.4K-766.3K-4.3K0.1162.06313331,911404
2018-03-12$13.99$12.5063.2%13.7%39.8%28.3%51.3%13.0%0.2%33.3K-741.6K-4.1K0.1077.15357371,907404
2018-03-13$13.96$12.5081.1%13.8%39.8%43.9%51.5%12.0%1.1%36.3K-720.3K-4.0K0.1767.46222371,960404
2018-03-14$14.10$12.5041.8%12.0%39.3%9.6%49.4%17.9%4.6%22.7K-643.5K-3.8K0.1477.35245351,975404
2018-03-15$13.91$12.5046.9%13.5%37.1%24.7%47.9%7.9%0.9%22.2K-594.5K-3.7K0.1561.67284441,980405
2018-03-16$14.43$15.0040.5%11.6%40.1%14.9%40.6%11.9%4.9%24.8K-693.6K-3.9K0.2646.11351911,957414
2018-03-19$13.63$15.0049.8%14.3%44.0%29.2%47.3%5.1%0.7%21.5K-570.8K-3.7K0.2018.05256521,403163
2018-03-20$13.88$15.0041.7%11.9%44.8%16.7%43.0%9.8%6.7%27.1K-722.4K-4.5K0.2053.09260521,617164
2018-03-21$14.55$15.0039.4%11.3%48.5%13.1%43.1%14.8%7.2%31.1K-909.4K-4.8K0.0720.85268201,622164
2018-03-22$14.43$15.0041.2%11.8%45.3%15.9%44.4%10.5%6.7%30.5K-865.6K-4.8K0.1172.95269291,625165
2018-03-23$14.01$15.0044.7%12.8%46.2%21.3%44.8%7.5%4.8%27.2K-737.5K-4.5K0.1182.39300341,622170
2018-03-26$14.09$15.0043.5%12.5%46.3%19.5%44.9%9.2%2.4%28.8K-756.9K-4.5K0.0657.82635351,659181
2018-03-27$14.25$15.0041.3%11.8%46.5%16.0%42.5%13.4%6.8%27.0K-732.5K-4.3K0.0928.09632571,561182
2018-03-28$14.19$15.0043.4%12.4%37.5%19.3%44.1%11.0%4.7%27.9K-742.0K-4.2K0.0972.93632571,578157
2018-03-29$14.33$15.0043.8%12.6%37.4%19.9%44.4%11.6%3.8%28.6K-798.9K-4.3K0.1755.94296501,578157