REI Options History — April 2018

In April 2018, REI traded between $13.21 and $16.91. ATM implied volatility averaged 49.4%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 4.4% (HV 20d: 45.0%). 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 3 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2018-04-18: Highest Volume — 563 contracts
  • 2018-04-11: Largest IV spike — 55.7% change
  • 2018-04-09: Highest IV Rank — 47.0%
  • 2018-04-04: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.07$13.21$16.91$13.75$16.66
Max Pain$13.81$12.50$15.00$15.00$15.00
ATM IV49.4%37.7%61.5%57.9%44.0%
Expected Move14.1%11.9%17.1%16.6%12.6%
HV 20d45.0%38.1%52.9%38.9%49.8%
HV 60d46.3%43.8%48.2%46.0%48.0%
IV Rank28.6%10.5%47.0%41.5%20.2%
IV Percentile49.3%6.7%92.1%86.1%25.8%
Term Structure-1.6%-4.5%11.8%-2.7%0.6%
VWIV50.0%43.3%68.8%48.4%52.0%
Skew 25d10.4%2.4%21.1%10.9%14.5%
Skew 10d23.9%3.5%43.4%15.5%18.0%
Call IV 25d44.9%36.8%59.1%45.7%40.0%
Put IV 25d55.4%48.0%80.1%56.6%54.4%
Bid-Ask Spread %43.3513.27121.9221.2921.45
Gamma HHI0.470.420.530.470.53
Net GEX34.9K20.9K49.9K25.3K44.2K
Net DEX-1.1M-1.7M-438.5K-618.0K-1.5M
Net VEX-4.1K-4.9K-3.2K-3.8K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.151.430.151.17
Total Volume423.619352563384515
Total OI1,8561,6852,3361,7312,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$13.75$15.0057.9%16.6%38.9%41.5%48.4%10.9%-2.7%25.3K-618.0K-3.8K0.1521.29334501,576155
2018-04-03$13.55$15.0056.7%16.3%38.6%39.7%49.3%8.6%-1.2%23.4K-542.0K-3.5K0.1517.43334501,532155
2018-04-04$13.33$15.0059.8%17.1%38.1%44.5%50.2%7.0%-4.1%22.0K-477.4K-3.3K0.1570.79323471,530155
2018-04-05$13.73$12.5059.2%13.5%39.7%43.5%53.0%15.8%11.8%25.4K-594.7K-3.6K0.17106.78306511,530156
2018-04-06$13.21$12.5059.9%16.4%41.9%44.5%53.4%12.1%-4.0%20.9K-438.5K-3.2K0.2321.24306701,529164
2018-04-09$13.29$12.5061.5%16.1%41.7%47.0%53.9%12.2%-2.3%21.9K-456.8K-3.3K0.2192.67325691,539179
2018-04-10$13.90$12.5037.7%14.7%45.0%10.5%54.5%14.2%-2.9%26.1K-630.1K-3.7K0.2324.84297691,540180
2018-04-11$14.22$12.5058.7%16.8%45.7%42.7%68.8%21.1%-2.8%23.8K-838.0K-4.2K0.19121.92358671,546205
2018-04-12$14.53$12.5049.0%14.1%46.2%28.0%51.1%9.6%-2.7%31.7K-784.3K-3.9K0.1943.66358671,547203
2018-04-13$14.80$12.5048.1%13.8%46.2%26.5%51.5%11.4%-2.0%33.6K-874.6K-4.1K0.1953.91359671,547203
2018-04-16$14.75$12.5043.0%12.3%44.5%18.7%43.3%2.4%1.2%34.3K-862.9K-3.9K0.1889.21363671,549202
2018-04-17$15.15$12.5047.0%13.5%39.7%24.8%47.9%11.5%-2.0%38.8K-1.0M-4.0K0.1926.20347671,560202
2018-04-18$16.43$12.5042.2%12.1%47.8%17.5%43.5%12.6%-1.0%40.4K-1.6M-4.3K0.2625.324481151,612202
2018-04-19$16.26$15.0041.5%11.9%46.0%16.4%43.6%10.3%-1.2%40.4K-1.6M-4.3K0.3926.81253991,687234
2018-04-20$16.57$15.0042.4%12.2%45.9%17.8%45.1%6.0%-2.2%42.6K-1.7M-4.3K0.3913.273081191,709238
2018-04-23$16.91$15.0044.0%12.6%44.0%20.3%47.2%5.6%-3.9%49.4K-1.7M-4.7K0.7219.012561841,715163
2018-04-24$15.94$15.0049.9%14.3%50.3%29.3%49.7%9.2%-4.5%46.0K-1.3M-4.6K0.7433.942762051,711284
2018-04-25$16.11$15.0049.0%14.0%50.3%27.9%48.0%4.7%-3.4%46.4K-1.3M-4.6K1.3930.421702361,714310
2018-04-26$16.83$15.0044.3%12.7%51.8%20.7%47.6%10.0%-3.1%49.9K-1.6M-4.8K1.1133.002182411,740392
2018-04-27$16.47$15.0042.4%12.2%52.9%17.8%47.3%9.5%-1.9%46.6K-1.5M-4.9K1.4317.132072951,776469
2018-04-30$16.66$15.0044.0%12.6%49.8%20.2%52.0%14.5%0.6%44.2K-1.5M-4.9K1.1721.452372781,778558