REI Options History — September 2020

In September 2020, REI traded between $0.65 and $0.78. ATM implied volatility averaged 147.3%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 51.5%. IV traded above realized volatility by 44.1% (HV 20d: 103.2%). 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 0.24.

Notable Days

  • 2020-09-01: Highest Volume — 286 contracts
  • 2020-09-11: Largest IV spike — 65.8% change
  • 2020-09-11: Highest IV Rank — 60.4%
  • 2020-09-11: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.70$0.65$0.78$0.73$0.69
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV147.3%109.4%197.0%132.1%129.4%
Expected Move51.5%44.1%56.5%44.9%55.3%
HV 20d103.2%74.1%112.6%111.4%74.1%
HV 60d85.5%82.1%92.6%92.3%83.5%
IV Rank40.7%25.8%60.4%34.8%33.7%
IV Percentile67.2%34.5%96.8%56.3%52.8%
Term Structure-57.1%-79.3%-26.6%-38.1%-73.1%
Bid-Ask Spread %85.5812.14122.7039.23114.10
Net GEX00000
Net DEX7.4K6.4K8.4K8.4K7.1K
Net VEX-3-4-2-3-2
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.003.000.010.00
Total Volume25.38102862869
Total OI2,827.811,5413,7123,3571,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$0.73$2.50132.1%0.0%111.4%34.8%0.0%0.0%0.0%08.4K-30.0139.2328333,242115
2020-09-02$0.69$2.50163.6%0.0%110.5%47.2%0.0%0.0%0.0%08.0K-40.0024.50603,471116
2020-09-03$0.67$0.00117.1%0.0%110.5%28.8%0.0%0.0%0.0%07.8K-40.00122.023203,477116
2020-09-04$0.70$0.00119.1%0.0%112.6%29.6%0.0%0.0%0.0%08.1K-40.00122.701403,499116
2020-09-08$0.65$0.00156.6%44.9%102.2%44.4%0.0%0.0%-38.1%06.4K-40.7887.0318143,50498
2020-09-09$0.66$0.00119.9%0.0%100.4%29.9%0.0%0.0%0.0%07.2K-40.00112.160153,512109
2020-09-10$0.66$0.00118.8%0.0%100.8%29.5%0.0%0.0%0.0%07.0K-43.00116.20133,512106
2020-09-11$0.67$0.00197.0%56.5%101.2%60.4%0.0%0.0%-79.3%06.9K-40.0091.861503,512103
2020-09-14$0.71$0.00116.5%0.0%103.7%28.6%0.0%0.0%0.0%07.3K-40.00109.542203,527103
2020-09-15$0.74$0.00187.7%53.8%105.2%56.7%0.0%0.0%0.0%07.6K-40.0071.983103,549103
2020-09-16$0.78$0.00153.7%44.1%108.0%43.3%0.0%0.0%-46.1%08.0K-40.00118.964103,559103
2020-09-17$0.78$2.50146.7%0.0%107.4%40.5%0.0%0.0%0.0%08.0K-40.00104.65603,600103
2020-09-18$0.75$2.50109.4%0.0%107.0%25.8%0.0%0.0%0.0%07.7K-40.00101.34203,609103
2020-09-21$0.73$2.50177.3%50.8%105.3%52.6%0.0%0.0%-26.6%07.5K-20.00104.88601,438103
2020-09-22$0.75$2.50177.2%50.8%105.9%52.6%0.0%0.0%-64.2%07.7K-20.0013.99201,444103
2020-09-23$0.68$2.50194.9%55.9%107.6%59.5%0.0%0.0%-72.2%07.0K-20.00117.22001,446103
2020-09-24$0.71$2.50193.0%55.3%103.7%58.8%0.0%0.0%-73.1%07.3K-20.00103.69001,446103
2020-09-25$0.66$2.50127.6%0.0%103.8%32.9%0.0%0.0%0.0%06.8K-20.0094.45001,446103
2020-09-28$0.69$2.50127.0%0.0%105.3%32.7%0.0%0.0%0.0%07.1K-20.0012.141001,451103
2020-09-29$0.69$2.50128.2%0.0%80.5%33.2%0.0%0.0%0.0%07.1K-20.0014.58001,461103
2020-09-30$0.69$2.50129.4%0.0%74.1%33.7%0.0%0.0%0.0%07.1K-20.00114.10901,461103