REI Options History — November 2018

In November 2018, REI traded between $7.04 and $7.84. ATM implied volatility averaged 72.4%, placing in the 72.3% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 12.0% (HV 20d: 60.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2018-11-19: Highest Volume — 1,323 contracts
  • 2018-11-12: Largest IV spike — 18.3% change
  • 2018-11-12: Highest IV Rank — 93.4%
  • 2018-11-02: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.42$7.04$7.84$7.48$7.04
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV72.4%65.1%83.4%78.5%70.8%
Expected Move19.7%18.3%22.7%22.5%20.3%
HV 20d60.4%41.0%73.5%73.2%41.0%
HV 60d71.6%71.0%72.6%72.2%71.5%
IV Rank72.3%61.8%93.4%73.0%72.0%
IV Percentile91.1%83.7%99.2%97.2%90.5%
Term Structure-3.8%-8.9%1.0%-8.0%-6.9%
VWIV64.7%55.9%78.4%78.4%70.1%
Skew 25d9.0%-11.6%56.9%56.9%16.4%
Skew 10d15.9%-16.8%90.9%90.9%29.1%
Call IV 25d57.1%45.4%70.8%61.2%61.8%
Put IV 25d66.1%55.9%118.1%118.1%78.1%
Bid-Ask Spread %21.3110.0979.2910.0970.65
Gamma HHI0.300.260.400.260.40
Net GEX36.3K28.5K46.8K37.7K28.5K
Net DEX-658.8K-1.1M-321.9K-736.5K-321.9K
Net VEX-6.0K-8.2K-4.0K-7.5K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.150.600.510.25
Total Volume828.2865931,323935816
Total OI16,59016,05517,09916,87216,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$7.48$7.5078.5%22.5%73.2%73.0%78.4%56.9%-8.0%37.7K-736.5K-7.5K0.5110.0961831715,934938
2018-11-02$7.38$7.5079.2%22.7%73.2%74.1%71.6%3.2%-8.9%37.2K-726.1K-7.3K0.4311.3463427215,934909
2018-11-05$7.50$7.5081.9%20.3%73.5%78.3%67.9%10.2%-4.7%38.6K-778.1K-7.1K0.4321.1462627215,960914
2018-11-06$7.44$7.5083.4%19.9%72.5%80.6%68.2%9.0%-3.0%37.6K-702.6K-6.8K0.5018.5454427216,023914
2018-11-07$7.73$7.5073.5%18.9%64.4%76.9%57.9%-1.6%-1.9%42.6K-908.3K-7.2K0.5116.5553427316,073914
2018-11-08$7.84$7.5076.4%18.3%62.7%82.2%55.9%1.1%1.0%46.8K-1.1M-8.2K0.5818.0847127316,180919
2018-11-09$7.67$7.5069.9%19.6%62.7%70.4%63.6%-4.3%-3.9%39.2K-819.7K-7.0K0.6020.6045327316,136919
2018-11-12$7.37$7.5082.7%19.6%62.1%93.4%68.1%-11.6%-2.2%35.3K-679.8K-6.5K0.6019.5945327316,138881
2018-11-13$7.16$7.5082.4%19.8%62.3%93.0%59.5%3.3%-2.5%31.4K-494.4K-5.6K0.4714.3058227316,123881
2018-11-14$7.17$7.5069.0%19.8%62.4%68.7%57.8%5.8%-2.3%31.8K-546.8K-5.7K0.4912.2256027316,108881
2018-11-15$7.27$7.5067.0%19.2%62.8%65.3%56.8%10.3%-2.3%31.8K-507.5K-5.4K0.4512.6656025016,120881
2018-11-16$7.25$7.5065.1%18.7%62.8%61.8%58.0%4.8%-0.8%34.2K-440.3K-5.4K0.4411.3456525016,120881
2018-11-19$7.64$7.5065.3%18.7%65.6%62.2%64.8%12.9%-1.7%40.9K-802.3K-6.1K0.1715.601,13319015,387678
2018-11-20$7.55$7.5065.6%18.8%61.8%62.7%65.0%10.5%-2.8%38.9K-770.5K-6.1K0.1513.5997314315,414678
2018-11-21$7.52$7.5067.0%19.2%61.7%65.2%63.3%13.4%-4.0%38.2K-734.9K-5.9K0.2212.1866514715,414678
2018-11-23$7.44$7.5069.6%20.0%58.8%69.9%66.3%8.1%-6.3%36.5K-681.5K-5.6K0.2230.3766514715,372683
2018-11-26$7.48$7.5068.9%19.7%53.6%68.6%63.8%10.7%-5.0%36.1K-632.6K-5.3K0.3213.6152816815,372683
2018-11-27$7.38$7.5068.8%19.7%44.3%68.5%64.3%8.2%-5.1%34.5K-561.8K-4.9K0.3211.9951516315,385694
2018-11-28$7.10$7.5068.4%19.6%42.8%67.7%67.8%-1.7%-5.3%30.2K-391.5K-4.3K0.3213.6951416315,392692
2018-11-29$7.34$7.5066.7%19.1%43.9%64.6%70.2%24.0%-2.8%34.4K-527.8K-4.8K0.3879.2943016315,392692
2018-11-30$7.04$7.5070.8%20.3%41.0%72.0%70.1%16.4%-6.9%28.5K-321.9K-4.0K0.2570.6565416215,401702