REI Options History — April 2020

In April 2020, REI traded between $0.53 and $0.91. ATM implied volatility averaged 179.3%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 53.3%. IV traded above realized volatility by 23.7% (HV 20d: 155.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2020-04-08: Highest Volume — 289 contracts
  • 2020-04-09: Largest IV spike — 78.6% change
  • 2020-04-01: Highest IV Rank — 100.0%
  • 2020-04-24: Largest Expected Move — 56.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.64$0.53$0.91$0.54$0.91
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV179.3%116.3%297.3%297.3%191.2%
Expected Move53.3%49.0%56.6%51.4%54.8%
HV 20d155.6%133.8%212.6%210.8%148.4%
HV 60d145.3%133.8%159.9%133.8%159.9%
IV Rank54.3%30.0%100.0%100.0%58.9%
IV Percentile91.7%74.2%100.0%100.0%97.2%
Term Structure-59.5%-86.5%-45.6%-56.4%-86.5%
Bid-Ask Spread %88.8744.56127.8269.9185.71
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX30.5K24.9K41.0K30.2K41.0K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.000.000.04
Total Volume31.76212894727
Total OI2,021.0951,8922,2602,2131,985

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$0.54$2.50297.3%0.0%210.8%100.0%0.0%0.0%0.0%030.2K00.0069.914701,654559
2020-04-02$0.57$0.00145.1%0.0%212.6%41.1%0.0%0.0%0.0%031.9K00.00126.854301,662559
2020-04-03$0.53$0.00156.5%0.0%210.9%45.5%0.0%0.0%0.0%029.6K00.00114.871001,651559
2020-04-06$0.64$0.00264.6%0.0%145.6%87.3%0.0%0.0%0.0%035.8K00.0077.744001,661559
2020-04-07$0.62$0.00283.8%0.0%145.8%94.8%0.0%0.0%0.0%034.7K00.00127.82601,701559
2020-04-08$0.63$0.00116.3%0.0%142.2%30.0%0.0%0.0%0.0%029.0K00.00123.2128901,701461
2020-04-09$0.63$0.00207.8%0.0%142.3%65.4%0.0%0.0%0.0%029.0K00.00103.201501,475461
2020-04-13$0.63$0.00148.9%0.0%140.5%42.6%0.0%0.0%0.0%029.0K00.0073.11101,472461
2020-04-14$0.62$0.00179.2%51.4%135.5%54.3%0.0%0.0%-56.4%028.6K00.0051.38101,473461
2020-04-15$0.60$0.00126.6%0.0%133.8%34.0%0.0%0.0%0.0%027.7K00.0047.882601,474461
2020-04-16$0.54$2.50136.9%0.0%135.5%37.9%0.0%0.0%0.0%024.9K00.0070.603401,488461
2020-04-17$0.65$2.50182.4%52.3%146.3%55.6%0.0%0.0%-60.8%030.0K01.0044.56111,502461
2020-04-20$0.57$2.50170.8%49.0%152.0%51.0%0.0%0.0%0.0%025.8K00.3398.59311,440452
2020-04-21$0.57$2.50137.6%0.0%149.2%38.2%0.0%0.0%0.0%025.8K00.07122.041411,443452
2020-04-22$0.62$2.50161.9%0.0%152.3%47.6%0.0%0.0%0.0%028.0K00.0090.133801,443452
2020-04-23$0.70$2.50195.1%55.9%152.5%60.5%0.0%0.0%-45.6%031.6K00.00101.224401,481452
2020-04-24$0.71$2.50197.5%56.6%151.7%61.4%0.0%0.0%-48.3%032.1K00.0097.02101,525452
2020-04-27$0.67$2.50178.2%0.0%152.3%53.9%0.0%0.0%0.0%030.2K00.1856.651121,525451
2020-04-28$0.69$2.50128.2%0.0%152.6%34.6%0.0%0.0%0.0%031.1K00.0084.52701,526450
2020-04-29$0.75$2.50159.3%0.0%155.3%46.6%0.0%0.0%0.0%033.8K00.0099.35401,528450
2020-04-30$0.91$2.50191.2%54.8%148.4%58.9%0.0%0.0%-86.5%041.0K00.0485.712611,535450