REI Options History — May 2019

In May 2019, REI traded between $3.56 and $5.14. ATM implied volatility averaged 69.7%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 20.0% (HV 20d: 49.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2019-05-14: Highest Volume — 728 contracts
  • 2019-05-28: Largest IV spike — 86.0% change
  • 2019-05-30: Highest IV Rank — 100.0%
  • 2019-05-30: Largest Expected Move — 30.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.40$3.56$5.14$5.14$3.56
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV69.7%38.9%107.4%72.6%74.7%
Expected Move19.5%11.1%30.8%20.8%21.4%
HV 20d49.8%32.9%61.4%35.4%60.6%
HV 60d45.3%40.3%49.3%40.3%47.0%
IV Rank53.7%0.0%100.0%63.0%52.2%
IV Percentile65.7%0.0%100.0%79.8%83.7%
Term Structure-2.5%-38.8%30.3%-2.7%-30.7%
VWIV69.2%38.0%99.1%72.6%94.1%
Skew 25d9.1%-54.4%36.0%21.4%-24.3%
Skew 10d15.7%-85.8%58.4%34.4%-29.6%
Call IV 25d77.1%45.5%170.2%53.9%92.9%
Put IV 25d86.3%59.9%115.8%75.2%68.6%
Bid-Ask Spread %38.988.8774.4122.7774.41
Gamma HHI0.440.370.560.380.55
Net GEX8.2K3.9K13.2K13.2K4.0K
Net DEX-113.6K-364.9K91.5K-364.9K55.3K
Net VEX-2.7K-4.0K-1.5K-4.0K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.003.851.430.09
Total Volume213.59122728102155
Total OI6,1765,8966,4785,8966,439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$5.14$5.0072.6%20.8%35.4%63.0%0.0%21.4%-2.7%13.2K-364.9K-4.0K1.4322.7742605,119777
2019-05-02$4.90$5.0074.3%21.3%34.8%65.8%0.0%29.2%-5.8%11.2K-239.6K-3.4K1.0018.5460605,139777
2019-05-03$4.80$5.0072.5%20.8%32.9%62.9%72.6%19.3%-5.1%10.5K-217.5K-3.3K0.8524.3294805,159777
2019-05-06$4.97$5.0079.5%19.3%34.0%73.9%67.4%35.2%-0.1%11.9K-287.5K-3.6K0.0071.889405,170797
2019-05-07$4.86$5.0078.9%20.7%33.9%73.0%72.3%29.6%-4.4%10.8K-241.2K-3.5K0.2170.56121255,164797
2019-05-08$4.98$5.0079.8%19.7%35.0%74.4%63.8%36.0%-1.9%12.0K-308.3K-3.5K0.5870.88156905,189772
2019-05-09$4.50$5.0078.3%20.5%48.3%72.0%71.6%28.0%-3.3%8.9K-129.6K-2.9K0.1668.29508815,229782
2019-05-10$4.72$5.0076.1%19.6%50.8%68.6%68.5%27.5%-1.3%12.3K-249.7K-3.4K0.0871.2410995,498801
2019-05-13$4.53$5.0064.8%19.8%52.2%50.8%69.1%19.6%0.9%9.1K-170.8K-3.0K0.0015.142205,498801
2019-05-14$4.60$5.0062.8%19.0%52.9%43.2%66.8%21.5%0.3%9.6K-177.8K-3.1K0.1513.48633955,544794
2019-05-15$4.67$5.0065.5%18.8%53.4%47.9%65.5%28.3%1.7%9.6K-186.8K-3.1K1.9237.4226505,527794
2019-05-16$4.65$5.0064.7%18.5%53.1%46.4%64.7%23.7%1.0%9.3K-163.2K-3.0K0.1315.0078105,504793
2019-05-17$4.42$5.0066.6%19.1%55.3%49.8%66.8%18.6%0.0%7.9K-109.8K-2.6K0.1812.91109205,502770
2019-05-20$4.37$5.0069.0%19.8%53.8%47.3%68.8%17.8%-2.8%7.5K-93.8K-2.5K3.8516.67261005,330743
2019-05-21$4.35$5.0065.8%18.9%53.2%41.1%66.1%19.0%0.6%6.3K-50.9K-2.5K0.2413.0384205,309843
2019-05-22$4.14$5.0040.2%11.5%54.7%0.0%38.0%33.5%30.3%5.0K54.9K-2.0K0.078.87198135,250863
2019-05-23$3.81$5.0038.9%11.1%60.0%0.0%0.0%-25.6%27.4%4.1K91.5K-1.6K0.6013.261891135,311863
2019-05-24$3.78$5.0044.1%12.7%60.0%9.2%47.9%-24.9%27.6%4.1K74.7K-1.5K0.8310.873633005,337813
2019-05-28$3.71$5.0082.1%23.5%59.6%75.5%0.0%-54.4%-28.4%4.0K78.5K-1.7K0.0260.0913835,487893
2019-05-29$3.58$5.0075.6%21.7%59.9%64.1%82.0%-23.8%-38.8%3.9K84.7K-1.6K0.0274.1417935,585893
2019-05-30$3.67$5.00107.4%30.8%61.4%100.0%99.1%-54.4%-18.8%4.2K53.6K-1.6K0.0273.7518035,640799
2019-05-31$3.56$5.0074.7%21.4%60.6%52.2%94.1%-24.3%-30.7%4.0K55.3K-1.6K0.0974.41142135,640799