REI Options History — August 2019

In August 2019, REI traded between $1.37 and $2.32. ATM implied volatility averaged 120.1%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 34.4%. IV traded above realized volatility by 24.4% (HV 20d: 95.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2019-08-01: Highest Volume — 518 contracts
  • 2019-08-28: Largest IV spike — 78.3% change
  • 2019-08-13: Highest IV Rank — 100.0%
  • 2019-08-28: Largest Expected Move — 62.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.81$1.37$2.32$2.32$1.45
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV120.1%79.7%216.6%115.6%95.9%
Expected Move34.4%22.8%62.1%33.1%27.5%
HV 20d95.8%64.9%109.6%65.9%108.4%
HV 60d69.6%55.8%77.8%58.6%77.8%
IV Rank65.9%31.8%100.0%80.1%32.1%
IV Percentile96.0%82.1%100.0%98.8%89.7%
Term Structure-24.4%-93.1%54.4%-10.3%-17.1%
VWIV108.0%81.2%145.1%115.6%145.1%
Bid-Ask Spread %27.159.1480.4580.4516.17
Gamma HHI0.740.520.900.860.55
Net GEX2.1K6303.2K3.2K718
Net DEX-34.2K-89.4K46.0K-89.4K41.8K
Net VEX-1.3K-1.7K-496-1.7K-535
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.003.000.070.07
Total Volume151.77312518518134
Total OI8,120.5456,9049,0486,9049,048

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$2.32$2.50115.6%33.1%65.9%80.1%115.6%0.0%-10.3%3.2K-89.4K-1.7K0.0780.45486326,227677
2019-08-02$2.22$2.50111.3%31.9%64.9%75.6%112.5%0.0%-7.0%3.0K-81.0K-1.7K0.0571.303826,439677
2019-08-05$2.09$2.5088.0%30.8%66.0%51.3%107.4%0.0%-8.7%2.6K-34.0K-1.3K0.0020.351406,450679
2019-08-06$2.16$2.5086.8%33.0%68.9%50.0%107.8%0.0%-14.2%2.7K-50.7K-1.5K0.0035.052906,462679
2019-08-07$1.91$2.50113.1%34.2%74.7%77.5%119.3%0.0%-16.3%2.1K-12.9K-1.1K0.0535.13183106,487679
2019-08-08$2.21$2.5089.5%25.3%96.9%52.9%87.9%0.0%7.7%2.6K-55.5K-1.6K2.0023.61681366,669674
2019-08-09$2.08$2.5084.0%27.7%97.2%47.1%97.2%0.0%3.3%2.7K-45.8K-1.4K0.0723.611516,716688
2019-08-12$2.11$2.50115.3%30.6%98.0%79.8%106.4%0.0%-16.1%2.8K-47.2K-1.5K0.6823.473022066,825687
2019-08-13$2.08$2.50167.0%31.0%98.0%100.0%107.9%0.0%-8.3%2.7K-42.0K-1.5K0.3625.47154557,063766
2019-08-14$1.89$2.5095.7%27.4%101.5%44.4%81.2%0.0%0.9%2.5K-45.2K-1.5K0.2830.0176217,213813
2019-08-15$1.69$2.50156.1%44.8%106.2%91.5%0.0%0.0%-40.4%1.7K-19.3K-1.2K0.1117.42377437,264731
2019-08-16$1.75$2.50126.3%36.2%107.8%68.2%145.1%0.0%-26.3%2.0K-38.7K-1.3K0.0815.59302257,631743
2019-08-19$1.75$2.50137.2%39.3%106.9%76.8%0.0%0.0%-93.1%2.1K-57.2K-1.5K0.0515.6914277,853751
2019-08-20$1.65$2.50137.7%39.5%104.5%77.1%0.0%0.0%-87.9%1.8K-38.4K-1.3K0.0026.941907,983745
2019-08-21$1.69$2.50117.3%33.6%104.5%61.2%0.0%0.0%-83.7%2.0K-59.8K-1.4K0.5111.3069357,977735
2019-08-22$1.60$2.5079.7%22.8%104.2%31.8%0.0%0.0%54.4%1.8K-36.9K-1.3K0.009.142408,050770
2019-08-23$1.45$2.50114.0%32.7%107.3%58.6%0.0%0.0%0.0%1.6K-38.9K-1.2K0.0315.199538,063770
2019-08-26$1.44$2.50126.1%36.2%106.9%68.1%0.0%0.0%-12.3%63046.0K-4960.1817.4890168,103770
2019-08-27$1.37$2.50121.5%34.8%100.0%64.5%0.0%0.0%-39.1%65240.2K-5421.1119.1918208,255790
2019-08-28$1.51$2.50216.6%62.1%109.6%100.0%0.0%0.0%-58.8%1.8K-53.1K-1.4K0.0837.777468,237767
2019-08-29$1.48$2.50148.3%42.5%108.7%61.6%0.0%0.0%-38.6%1.5K-33.6K-1.2K3.0027.05398,283763
2019-08-30$1.45$2.5095.9%27.5%108.4%32.1%0.0%0.0%-17.1%71841.8K-5350.0716.1712598,281767