REI Options History — October 2020

In October 2020, REI traded between $0.51 and $0.83. ATM implied volatility averaged 146.7%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 42.3%. IV traded above realized volatility by 68.1% (HV 20d: 78.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2020-10-08: Highest Volume — 118 contracts
  • 2020-10-23: Largest IV drop — 26.5% change
  • 2020-10-28: Highest IV Rank — 50.4%
  • 2020-10-19: Largest Expected Move — 47.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.69$0.51$0.83$0.67$0.51
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV146.7%120.9%171.8%133.6%162.3%
Expected Move42.3%35.0%47.8%37.8%47.2%
HV 20d78.6%67.3%88.3%72.1%86.2%
HV 60d87.2%82.8%91.5%83.3%91.5%
IV Rank40.5%30.3%50.4%35.3%46.7%
IV Percentile67.4%43.3%86.5%55.6%79.8%
Term Structure-27.1%-47.1%-4.8%-27.9%-47.1%
Bid-Ask Spread %69.798.50118.34105.1725.25
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX7.1K5.3K8.5K6.9K5.3K
Net VEX-2-2-2-2-2
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.080.000.08
Total Volume21.40901181313
Total OI1,740.6821,5661,8831,5661,883

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$0.67$2.50133.6%0.0%72.1%35.3%0.0%0.0%0.0%06.9K-20.00105.171301,463103
2020-10-02$0.70$2.50130.6%0.0%73.0%34.2%0.0%0.0%0.0%07.2K-20.00103.66201,473103
2020-10-05$0.72$0.00132.0%37.8%72.0%34.7%0.0%0.0%-27.9%07.4K-20.0036.726601,475103
2020-10-06$0.70$0.00136.3%39.1%67.3%36.4%0.0%0.0%-29.3%07.2K-20.00105.33001,540103
2020-10-07$0.73$0.00133.6%38.3%68.6%35.3%0.0%0.0%-4.8%07.5K-20.0039.992001,540103
2020-10-08$0.83$0.00122.1%35.0%81.3%30.8%0.0%0.0%-27.1%08.5K-20.0142.1111711,560103
2020-10-09$0.81$2.50143.3%41.1%82.3%39.2%0.0%0.0%-28.4%08.4K-20.00102.581001,627104
2020-10-12$0.77$2.50136.2%39.0%82.8%36.3%0.0%0.0%-8.1%08.0K-20.0093.091501,636104
2020-10-13$0.73$2.50143.7%41.2%84.0%39.3%0.0%0.0%-9.2%07.6K-20.0091.202101,645104
2020-10-14$0.72$2.50147.2%42.2%81.6%40.7%0.0%0.0%-10.2%07.5K-20.0063.84001,666104
2020-10-15$0.71$2.50150.8%43.2%81.7%42.1%0.0%0.0%-11.3%07.4K-20.00118.34001,666104
2020-10-16$0.68$2.50157.9%45.3%81.9%44.9%0.0%0.0%-40.2%07.1K-20.0054.492501,666104
2020-10-19$0.67$2.50166.9%47.8%81.6%48.5%0.0%0.0%-45.0%06.9K-20.00112.31001,652103
2020-10-20$0.69$2.50165.9%47.6%81.7%48.1%0.0%0.0%-45.6%07.1K-20.00104.441001,652103
2020-10-21$0.72$2.50163.4%46.9%75.3%47.1%0.0%0.0%-45.8%07.4K-20.0077.284801,652103
2020-10-22$0.73$2.50164.5%47.2%73.9%47.5%0.0%0.0%-47.1%07.5K-20.0040.94101,704103
2020-10-23$0.71$2.50120.9%0.0%69.5%30.3%0.0%0.0%0.0%07.3K-20.0054.97001,704103
2020-10-26$0.66$2.50131.1%0.0%72.8%34.4%0.0%0.0%0.0%06.8K-20.0067.70601,704103
2020-10-27$0.58$2.50144.8%0.0%85.6%39.8%0.0%0.0%0.0%06.0K-20.0056.031801,710103
2020-10-28$0.57$2.50171.8%0.0%85.6%50.4%0.0%0.0%0.0%05.9K-20.0331.366321,728103
2020-10-29$0.53$2.50168.5%0.0%88.3%49.1%0.0%0.0%0.0%05.5K-20.008.502001,779104
2020-10-30$0.51$2.50162.3%0.0%86.2%46.7%0.0%0.0%0.0%05.3K-20.0825.251211,779104