REI Options History — October 2018

In October 2018, REI traded between $6.81 and $10.59. ATM implied volatility averaged 71.0%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 21.2% (HV 20d: 92.2%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2018-10-02: Highest Volume — 2,520 contracts
  • 2018-10-02: Largest IV spike — 49.3% change
  • 2018-10-29: Highest IV Rank — 85.1%
  • 2018-10-29: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.03$6.81$10.59$10.59$7.05
Max Pain$7.93$7.50$12.50$10.00$7.50
ATM IV71.0%49.8%86.3%49.8%79.4%
Expected Move20.5%14.3%24.7%14.3%22.8%
HV 20d92.2%52.6%102.5%52.6%69.8%
HV 60d64.1%42.8%71.0%42.8%71.0%
IV Rank61.6%29.2%85.1%29.2%74.4%
IV Percentile94.1%47.6%99.6%47.6%98.0%
Term Structure-7.1%-40.7%2.6%2.6%-9.3%
VWIV68.8%50.0%82.0%50.0%75.9%
Skew 25d1.1%-19.2%21.2%9.5%4.2%
Skew 10d8.9%-31.2%74.1%74.1%12.2%
Call IV 25d68.0%56.6%84.4%56.6%69.4%
Put IV 25d69.2%59.0%85.4%66.1%73.7%
Bid-Ask Spread %21.9611.8893.0915.0611.88
Gamma HHI0.280.240.380.380.27
Net GEX46.2K26.1K66.8K66.8K30.9K
Net DEX-1.0M-1.7M-148.3K-1.5M-423.9K
Net VEX-9.8K-14.8K-5.7K-14.8K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.130.490.230.45
Total Volume910.874892,520554867
Total OI16,560.56512,67317,72412,67316,902

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$10.59$10.0049.8%14.3%52.6%29.2%50.0%9.5%2.6%66.8K-1.5M-14.8K0.2315.0645210211,874799
2018-10-02$8.50$12.5074.4%21.3%92.3%66.8%66.3%4.2%-40.7%35.6K-848.6K-11.8K0.2793.091,98253811,862820
2018-10-03$8.06$10.0067.1%19.2%93.2%55.6%72.5%2.1%-2.0%26.1K-148.3K-7.8K0.1812.602,05136013,3361,271
2018-10-04$8.20$7.5062.4%18.1%93.1%48.4%60.7%1.8%-4.5%42.1K-739.8K-9.7K0.2615.381,09828214,8971,163
2018-10-05$8.22$7.5058.3%17.9%92.8%42.1%60.3%0.9%-4.3%45.9K-961.9K-10.3K0.1814.691,08719215,5061,198
2018-10-08$8.29$7.5068.4%19.2%90.1%57.7%63.0%5.4%-3.5%49.8K-1.1M-10.4K0.1918.9884816415,7341,188
2018-10-09$8.51$7.5055.8%19.2%90.3%38.3%65.5%6.7%-5.2%59.0K-1.4M-11.4K0.1313.597149015,9821,168
2018-10-10$7.67$7.5072.3%20.7%94.2%63.6%67.9%2.0%-3.3%39.7K-749.5K-9.2K0.2460.4467416116,1611,174
2018-10-11$8.00$7.5067.1%19.2%96.7%55.7%64.0%-3.1%0.2%50.4K-1.2M-11.0K0.2719.4476620416,4051,184
2018-10-12$8.15$7.5070.0%20.1%97.1%60.0%66.3%0.9%-4.7%54.3K-1.3M-11.0K0.3213.4364420316,4761,210
2018-10-15$8.46$7.5072.2%20.7%99.0%63.4%68.2%6.0%-5.2%63.4K-1.7M-12.7K0.4214.0448120316,5091,215
2018-10-16$8.28$7.5069.1%19.8%98.3%58.6%68.9%1.3%-5.2%56.7K-1.5M-11.7K0.4315.1446220016,4941,215
2018-10-17$8.22$7.5072.4%20.8%97.7%63.8%70.4%1.1%-5.7%55.0K-1.4M-11.4K0.4816.0541320016,5021,215
2018-10-18$8.12$7.5071.8%20.6%97.5%62.9%69.9%3.3%-4.4%53.7K-1.4M-10.5K0.3620.4538713916,4611,105
2018-10-19$8.11$7.5071.0%20.4%97.7%61.7%69.0%-1.5%-4.1%54.2K-1.4M-10.5K0.3814.2837714216,4661,110
2018-10-22$7.92$7.5073.1%21.0%97.4%64.9%71.9%-5.0%-6.2%49.8K-1.1M-10.0K0.3618.6837713615,719864
2018-10-23$7.44$7.5076.9%22.0%97.8%70.7%73.2%-19.2%-8.0%40.2K-771.8K-8.0K0.3521.7337613015,725867
2018-10-24$7.52$7.5076.6%22.0%98.0%70.2%72.0%-14.2%-6.7%41.2K-808.8K-8.0K0.3514.8136112815,730877
2018-10-25$7.91$7.5075.8%21.7%100.7%69.1%70.3%-1.3%-8.5%48.3K-1.1M-8.8K0.2814.6739311215,679872
2018-10-26$7.39$7.5082.4%23.6%102.5%79.2%77.4%21.2%-12.5%38.5K-704.7K-7.5K0.2015.1957111215,689879
2018-10-29$6.81$7.5086.3%24.7%100.3%85.1%82.0%5.6%-12.6%28.3K-346.0K-5.7K0.2435.3565215915,757876
2018-10-30$7.18$7.5080.9%23.2%71.6%76.7%77.2%-5.9%-9.1%33.3K-548.0K-6.7K0.4916.0364631415,819938
2018-10-31$7.05$7.5079.4%22.8%69.8%74.4%75.9%4.2%-9.3%30.9K-423.9K-6.3K0.4511.8859926815,8781,024