REI Options History — August 2018

In August 2018, REI traded between $11.24 and $12.23. ATM implied volatility averaged 52.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 17.0% (HV 20d: 35.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2018-08-15: Highest Volume — 1,133 contracts
  • 2018-08-09: Largest IV drop — 20.7% change
  • 2018-08-07: Highest IV Rank — 55.0%
  • 2018-08-03: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.86$11.24$12.23$12.16$11.78
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV52.2%45.3%66.7%62.0%45.3%
Expected Move14.4%13.0%17.8%17.8%13.0%
HV 20d35.1%27.4%40.8%39.0%40.8%
HV 60d44.7%41.8%46.2%46.2%41.8%
IV Rank32.7%22.3%55.0%47.7%22.3%
IV Percentile58.3%28.2%96.8%94.4%28.2%
Term Structure-0.7%-9.8%3.9%-8.8%2.2%
VWIV51.5%43.9%62.5%62.5%43.9%
Skew 25d9.4%1.4%18.6%5.7%10.1%
Skew 10d13.2%-4.3%33.0%7.5%19.2%
Call IV 25d46.8%36.7%66.1%66.1%42.3%
Put IV 25d56.2%49.3%72.1%71.8%52.4%
Bid-Ask Spread %22.3813.1241.6117.5235.53
Gamma HHI0.350.330.380.330.35
Net GEX86.1K62.7K111.4K86.2K93.1K
Net DEX-1.5M-2.0M-825.3K-1.6M-1.8M
Net VEX-14.2K-16.9K-10.6K-14.2K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.091.000.370.09
Total Volume633.3043791,1333951,076
Total OI9,628.6098,68010,7968,68010,555

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$12.16$12.5062.0%17.8%39.0%47.7%62.5%5.7%-8.8%86.2K-1.6M-14.2K0.3717.522881078,065615
2018-08-02$11.99$12.5061.3%17.6%39.2%46.8%58.0%18.1%-8.2%83.6K-1.6M-13.4K0.3921.662721078,139615
2018-08-03$11.89$12.5062.1%17.8%34.6%48.0%61.4%18.6%-9.8%80.3K-1.4M-13.1K0.6118.433702258,161615
2018-08-06$11.95$12.5063.6%14.9%27.7%50.3%55.4%8.0%-1.8%79.8K-1.4M-13.1K0.3323.973781238,236734
2018-08-07$11.75$12.5066.7%14.9%27.5%55.0%56.3%9.1%-1.9%74.7K-1.2M-12.0K0.3623.053591288,254743
2018-08-08$11.36$12.5061.4%14.7%27.4%46.9%55.9%7.0%-0.9%62.7K-825.3K-10.6K0.2915.523731088,266769
2018-08-09$11.89$12.5048.7%13.6%33.5%27.4%51.2%6.4%2.4%79.3K-1.1M-11.8K0.2719.414551218,288781
2018-08-10$12.21$12.5048.0%14.0%35.4%26.3%52.0%10.5%0.6%100.2K-1.6M-13.3K0.2422.634961218,443781
2018-08-13$11.80$12.5047.1%14.1%34.0%25.0%54.1%5.8%0.8%85.7K-1.1M-11.8K0.1813.128481518,535781
2018-08-14$11.97$12.5056.5%14.1%34.6%39.3%51.8%2.5%1.5%103.2K-1.5M-14.0K0.1824.398431519,107763
2018-08-15$11.75$12.5050.2%14.4%34.6%29.8%49.7%4.9%1.2%74.9K-1.3M-14.1K0.2516.969062279,510763
2018-08-16$11.98$12.5048.8%14.0%35.2%27.6%48.1%4.5%2.8%111.4K-1.9M-16.8K0.5018.313891949,942743
2018-08-17$12.05$12.5046.6%13.3%35.1%24.2%46.9%17.8%3.9%89.6K-1.8M-16.2K0.6116.9039724410,056740
2018-08-20$11.90$12.5047.8%13.7%34.7%26.1%48.3%10.0%-2.3%84.6K-1.7M-15.5K0.6522.923212108,727688
2018-08-21$11.95$12.5047.1%13.5%34.6%25.0%47.4%11.5%1.3%87.5K-1.7M-15.7K1.0023.482102108,847688
2018-08-22$12.23$12.5047.2%13.5%35.8%25.1%47.2%16.8%0.3%95.5K-2.0M-16.2K0.5625.653782118,854688
2018-08-23$12.00$12.5047.1%13.5%35.4%25.0%48.0%13.2%-0.1%90.7K-1.8M-15.3K0.4825.144482149,029689
2018-08-24$12.12$12.5046.6%13.4%33.4%24.2%47.1%15.4%1.0%93.3K-1.9M-16.1K0.6524.723282148,954693
2018-08-27$11.50$12.5049.2%14.1%37.5%28.2%48.8%1.4%-1.6%74.4K-1.2M-13.1K0.1725.28548958,958693
2018-08-28$11.24$12.5052.2%15.0%38.0%32.8%51.4%4.5%-0.6%71.0K-1.2M-13.5K0.1822.51495909,408713
2018-08-29$11.45$12.5047.4%13.6%38.6%25.4%51.1%2.5%0.4%81.1K-1.5M-14.9K0.1741.61479829,634721
2018-08-30$11.88$12.5046.7%13.4%40.8%24.4%47.2%11.0%1.7%97.5K-2.0M-16.9K0.1916.02484929,753721
2018-08-31$11.78$12.5045.3%13.0%40.8%22.3%43.9%10.1%2.2%93.1K-1.8M-15.7K0.0935.53986909,832723