REI Options History — May 2018

In May 2018, REI traded between $13.78 and $16.98. ATM implied volatility averaged 46.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 1.3% (HV 20d: 44.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2018-05-23: Highest Volume — 1,101 contracts
  • 2018-05-14: Largest IV spike — 42.5% change
  • 2018-05-07: Highest IV Rank — 41.5%
  • 2018-05-30: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.75$13.78$16.98$16.43$13.90
Max Pain$13.86$12.50$15.00$15.00$15.00
ATM IV46.0%32.4%57.9%45.4%49.3%
Expected Move12.8%9.3%15.0%13.0%14.1%
HV 20d44.7%35.7%51.6%49.7%42.9%
HV 60d44.7%42.6%47.4%47.4%44.7%
IV Rank23.4%2.5%41.5%22.3%28.3%
IV Percentile40.7%0.8%86.9%32.1%56.0%
Term Structure0.5%-4.5%5.1%-4.5%-2.3%
VWIV47.3%38.3%54.4%52.2%51.0%
Skew 25d10.4%4.6%17.8%11.0%11.3%
Skew 10d21.4%10.1%32.1%13.4%16.0%
Call IV 25d41.2%31.6%51.4%44.2%50.9%
Put IV 25d51.7%43.6%65.3%55.2%62.2%
Bid-Ask Spread %33.7415.9471.4422.7419.17
Gamma HHI0.510.390.730.550.39
Net GEX36.0K-4.9K47.3K42.7K40.8K
Net DEX-1.2M-1.7M-638.3K-1.4M-895.6K
Net VEX-5.5K-9.8K-4.0K-4.9K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.203.291.810.63
Total Volume565.1823791,101489529
Total OI3,008.5912,3284,2992,3894,299

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$16.43$15.0045.4%13.0%49.7%22.3%52.2%11.0%-4.5%42.7K-1.4M-4.9K1.8122.741743151,791598
2018-05-02$16.55$15.0046.0%13.2%48.8%23.4%48.0%11.6%-4.3%42.2K-1.5M-4.9K1.5626.081832851,791675
2018-05-03$16.33$12.5045.2%11.8%49.0%22.1%48.7%7.4%2.2%40.2K-1.3M-4.8K3.2922.761555101,790680
2018-05-04$16.40$12.5047.8%11.8%45.7%26.0%50.7%14.3%2.1%33.1K-1.3M-4.9K2.2122.831302871,789906
2018-05-07$16.80$12.5057.9%12.8%45.9%41.5%49.4%9.3%-1.3%36.2K-1.5M-4.8K1.4329.772583691,796906
2018-05-08$16.98$12.5054.6%12.5%44.2%36.4%47.4%9.9%0.1%38.1K-1.7M-4.9K1.3434.571622171,8361,067
2018-05-09$16.34$12.5041.1%11.8%47.1%15.8%44.8%5.6%1.7%25.7K-1.3M-4.8K0.9733.702352271,8461,072
2018-05-10$16.61$12.5037.9%10.9%47.0%10.9%44.1%13.7%4.7%41.7K-1.5M-4.7K0.9728.232342281,8521,136
2018-05-11$16.53$12.5032.4%9.3%46.9%2.5%38.3%12.0%5.1%39.1K-1.4M-4.6K0.9165.292532291,8681,136
2018-05-14$15.64$12.5046.2%13.2%51.6%23.6%46.6%4.6%4.7%-4.9K-842.7K-4.6K0.7771.442561961,8681,134
2018-05-15$15.84$12.5045.4%13.0%51.0%22.4%42.1%8.4%2.0%13.8K-981.6K-4.7K1.0265.182502551,9201,179
2018-05-16$16.27$12.5039.5%11.3%42.8%13.4%44.9%9.7%3.9%46.5K-1.4M-4.4K1.2343.972433001,9301,164
2018-05-17$16.50$15.0037.4%10.7%43.0%10.2%44.2%10.3%4.5%47.3K-1.5M-4.4K1.4126.002133001,9351,239
2018-05-18$15.97$15.0045.8%13.1%44.0%23.0%43.2%8.7%1.0%43.3K-1.2M-4.3K1.4722.402133141,9261,239
2018-05-21$15.96$15.0046.0%13.2%43.2%23.3%42.2%10.4%-1.3%42.8K-1.1M-4.3K1.1428.391942221,734604
2018-05-22$15.46$15.0046.7%13.4%39.4%24.4%46.0%10.7%-1.1%35.2K-888.1K-4.0K0.8043.443152521,724604
2018-05-23$15.12$15.0048.8%14.0%39.8%27.6%54.4%8.8%-0.8%33.1K-805.6K-4.7K0.2061.679161851,859649
2018-05-24$14.99$15.0047.7%13.7%35.7%25.9%46.4%17.8%-1.1%45.7K-1.2M-7.8K0.5323.083491852,632688
2018-05-25$13.99$15.0048.8%14.0%41.9%27.5%50.5%6.8%-0.8%33.8K-707.2K-7.2K0.6215.943732302,736688
2018-05-29$13.78$15.0050.9%14.6%41.3%30.7%53.0%11.1%-0.7%32.6K-638.3K-7.4K0.2719.547772082,887765
2018-05-30$14.14$15.0052.3%15.0%43.1%32.9%52.7%16.2%-2.5%43.7K-1.1M-9.8K0.7216.104112973,367884
2018-05-31$13.90$15.0049.3%14.1%42.9%28.3%51.0%11.3%-2.3%40.8K-895.6K-9.5K0.6319.173242053,415884