REI Options History — June 2018

In June 2018, REI traded between $11.90 and $13.52. ATM implied volatility averaged 55.2%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 1.7% (HV 20d: 53.5%). 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 15 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-06-04: Highest Volume — 1,459 contracts
  • 2018-06-11: Largest IV spike — 27.3% change
  • 2018-06-11: Highest IV Rank — 58.3%
  • 2018-06-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.70$11.90$13.52$13.52$12.69
Max Pain$12.74$12.50$15.00$15.00$12.50
ATM IV55.2%50.2%68.8%59.0%50.2%
Expected Move15.1%14.4%16.9%16.9%14.4%
HV 20d53.5%43.4%59.1%43.4%56.9%
HV 60d49.3%45.0%51.2%45.0%50.6%
IV Rank37.4%29.7%58.3%43.3%29.8%
IV Percentile74.0%55.6%97.6%90.1%55.6%
Term Structure1.0%-4.0%3.9%-4.0%3.1%
VWIV52.2%48.0%57.8%53.1%49.1%
Skew 25d7.3%-8.1%13.1%5.7%-8.1%
Skew 10d16.1%-13.8%30.3%8.2%-13.8%
Call IV 25d50.5%46.4%55.4%53.8%53.6%
Put IV 25d57.9%45.5%62.2%59.5%45.5%
Bid-Ask Spread %27.0512.5878.0914.5124.00
Gamma HHI0.360.320.420.380.37
Net GEX50.7K19.8K97.2K33.2K80.9K
Net DEX-1.3M-2.6M-329.9K-623.7K-2.1M
Net VEX-14.2K-18.7K-8.2K-8.7K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.131.060.290.98
Total Volume700.0483141,459876498
Total OI7,0914,3208,3034,3208,286

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$13.52$15.0059.0%16.9%43.4%43.3%53.1%5.7%-4.0%33.2K-623.7K-8.7K0.2914.516811953,418902
2018-06-04$12.61$15.0058.5%15.5%48.0%42.5%53.1%7.1%-0.8%22.9K-329.9K-8.2K0.5112.589664933,860903
2018-06-05$12.44$12.5060.4%15.4%45.9%45.4%52.6%11.4%0.4%19.8K-408.6K-10.7K0.5218.397183764,6061,172
2018-06-06$12.96$12.5062.8%15.4%49.3%49.1%48.0%13.1%-0.1%30.3K-922.7K-13.3K0.4123.655702355,1191,282
2018-06-07$13.40$12.5051.4%14.9%51.1%31.6%51.6%8.4%2.4%47.2K-1.4M-15.0K0.1934.29382745,5021,295
2018-06-08$12.37$12.5054.1%15.5%55.7%35.7%49.8%8.7%-1.0%25.4K-681.6K-13.1K0.1322.64546725,7461,308
2018-06-11$12.56$12.5068.8%15.3%56.7%58.3%51.2%10.0%-0.2%33.7K-942.5K-14.2K0.3120.25311976,1351,342
2018-06-12$12.39$12.5068.7%15.2%54.5%58.1%55.3%4.8%0.7%31.2K-939.4K-14.7K0.7421.312942176,3531,443
2018-06-13$12.63$12.5053.0%15.2%54.9%34.1%52.6%10.8%0.4%33.4K-1.1M-15.2K0.6119.262991816,4861,468
2018-06-14$12.59$12.5052.3%15.0%53.2%33.0%51.8%9.7%0.3%24.1K-1.0M-14.4K0.5519.423481916,5801,488
2018-06-15$12.68$12.5051.2%14.7%52.7%31.3%50.7%12.3%0.5%54.7K-1.3M-15.0K0.5927.153211916,5861,498
2018-06-18$12.95$12.5053.3%15.3%53.6%34.4%55.1%8.6%1.2%62.9K-1.6M-15.0K1.0625.871561655,531971
2018-06-19$12.44$12.5050.8%14.6%54.4%30.7%53.0%10.7%2.8%50.4K-1.2M-13.7K0.6066.192441475,576971
2018-06-20$12.36$12.5053.5%15.3%54.0%34.8%57.8%11.6%0.1%50.2K-1.1M-13.6K0.8817.341671475,721983
2018-06-21$11.90$12.5053.7%15.4%54.7%35.2%55.7%6.2%1.9%40.5K-756.9K-12.4K0.1678.091,0331705,759983
2018-06-22$12.52$12.5050.6%14.5%59.1%30.4%51.4%9.1%2.5%74.5K-1.8M-15.8K0.3225.875321706,6861,011
2018-06-25$12.40$12.5053.8%15.4%54.6%35.2%54.6%5.2%-0.3%70.3K-1.7M-15.4K0.3029.485771756,6771,011
2018-06-26$12.96$12.5050.7%14.5%57.3%30.5%51.7%4.5%3.6%86.1K-2.3M-16.5K0.1420.181,2141756,7241,019
2018-06-27$13.11$12.5051.9%14.9%56.6%32.4%49.0%2.3%2.8%97.2K-2.6M-18.7K0.4923.914702317,1881,019
2018-06-28$13.14$12.5050.2%14.4%56.4%29.7%48.5%2.1%3.9%96.2K-2.6M-18.2K0.5823.724262467,2051,098
2018-06-29$12.69$12.5050.2%14.4%56.9%29.8%49.1%-8.1%3.1%80.9K-2.1M-16.5K0.9824.002512477,2121,074