REI Options History — July 2018

In July 2018, REI traded between $12.30 and $14.15. ATM implied volatility averaged 55.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 11.1% (HV 20d: 44.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2018-07-18: Highest Volume — 1,001 contracts
  • 2018-07-11: Largest IV spike — 15.3% change
  • 2018-07-30: Highest IV Rank — 48.2%
  • 2018-07-30: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.08$12.30$14.15$12.65$12.36
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV55.3%45.3%62.2%51.4%61.7%
Expected Move15.9%13.5%17.8%14.7%17.7%
HV 20d44.2%37.4%51.2%51.2%38.8%
HV 60d48.2%45.8%51.1%50.1%46.5%
IV Rank37.5%22.1%48.2%31.5%47.4%
IV Percentile76.4%30.2%94.8%61.1%94.0%
Term Structure-3.7%-8.3%3.3%3.3%-8.3%
VWIV53.2%47.8%63.2%53.7%48.5%
Skew 25d10.3%-9.8%27.6%7.9%27.6%
Skew 10d21.8%-15.8%44.2%15.5%44.2%
Call IV 25d51.2%38.2%63.2%55.0%46.7%
Put IV 25d61.5%48.5%74.3%62.9%74.3%
Bid-Ask Spread %27.1812.1567.9315.2947.54
Gamma HHI0.380.340.450.370.34
Net GEX106.1K77.7K174.9K77.7K91.9K
Net DEX-2.6M-4.2M-1.8M-1.9M-1.9M
Net VEX-17.1K-20.0K-14.7K-16.1K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.160.730.730.55
Total Volume635.0952781,001321292
Total OI8,957.9057,81210,2358,3248,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$12.65$12.5051.4%14.7%51.2%31.5%53.7%7.9%3.3%77.7K-1.9M-16.1K0.7315.291861357,2481,076
2018-07-03$12.74$12.5052.2%15.0%51.0%32.9%58.0%-9.8%-2.7%78.8K-2.1M-17.0K0.5931.772301367,2731,083
2018-07-05$12.79$12.5052.4%15.8%48.8%33.2%50.7%13.8%-1.9%81.6K-2.1M-16.0K0.4040.813441367,3601,084
2018-07-06$13.39$12.5050.4%15.4%50.1%30.1%49.0%13.2%-1.9%108.6K-2.9M-18.5K0.2664.815231387,5681,084
2018-07-09$14.09$12.5045.3%13.5%43.5%22.1%48.2%16.0%-1.2%161.3K-4.0M-19.9K0.2012.155431087,7291,073
2018-07-10$14.15$12.5048.2%13.8%43.4%26.6%54.6%7.6%-1.7%174.9K-4.2M-20.0K0.5024.233131577,897995
2018-07-11$13.67$12.5055.5%15.9%45.3%37.9%52.7%8.6%-2.9%139.2K-3.3M-18.6K0.3326.214731578,031995
2018-07-12$13.48$12.5056.1%16.1%45.4%38.8%47.8%11.0%-4.2%126.2K-3.0M-17.4K0.3922.104621788,354995
2018-07-13$13.50$12.5054.5%15.6%45.3%36.4%48.7%11.5%-1.7%131.0K-3.2M-18.5K0.2920.476121798,7061,005
2018-07-16$12.91$12.5056.1%16.1%48.4%38.8%53.7%13.7%-4.6%88.1K-2.3M-16.4K0.4614.196793129,0241,014
2018-07-17$12.91$12.5055.5%15.9%47.8%37.9%50.3%12.8%-3.4%92.7K-2.5M-16.6K0.5315.995923129,177942
2018-07-18$13.05$12.5056.5%16.2%45.5%39.5%52.0%11.9%-4.3%94.4K-2.7M-17.3K0.4125.297092929,201942
2018-07-19$13.19$12.5055.6%15.9%45.5%38.0%48.8%12.2%-3.7%98.2K-2.9M-17.6K0.3122.675811829,282950
2018-07-20$13.32$12.5056.4%16.2%42.9%39.3%54.7%7.0%-4.0%99.7K-3.2M-17.8K0.2216.318081809,286949
2018-07-23$13.04$12.5057.3%16.4%40.3%40.6%52.4%7.8%-5.5%99.1K-2.5M-16.5K0.2125.425681187,248564
2018-07-24$12.85$12.5056.5%16.2%40.6%39.4%56.0%8.8%-4.4%98.7K-2.3M-16.2K0.5214.38183957,416564
2018-07-25$12.79$12.5058.5%16.8%37.4%42.4%57.2%9.5%-5.2%96.5K-2.3M-16.1K0.3418.353891347,422567
2018-07-26$13.03$12.5058.4%16.8%37.8%42.4%56.8%11.0%-4.8%103.8K-2.4M-16.6K0.1827.607551387,624602
2018-07-27$12.55$12.5059.4%17.0%40.0%43.8%63.2%7.1%-7.0%96.6K-2.1M-16.1K0.1667.93601987,963606
2018-07-30$12.30$12.5062.2%17.8%38.7%48.2%61.0%7.2%-7.9%89.8K-1.8M-14.7K0.4917.192071027,966611
2018-07-31$12.36$12.5061.7%17.7%38.8%47.4%48.5%27.6%-8.3%91.9K-1.9M-14.7K0.5547.541881048,029611