REI Options History — November 2020

In November 2020, REI traded between $0.48 and $0.71. ATM implied volatility averaged 182.2%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 53.9%. IV traded above realized volatility by 98.2% (HV 20d: 84.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 3.20.

Notable Days

  • 2020-11-24: Highest Volume — 417 contracts
  • 2020-11-18: Largest IV spike — 56.9% change
  • 2020-11-27: Highest IV Rank — 61.2%
  • 2020-11-27: Largest Expected Move — 57.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.56$0.48$0.71$0.49$0.64
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV182.2%125.9%199.0%171.8%171.0%
Expected Move53.9%49.1%57.1%51.0%57.1%
HV 20d84.1%62.8%94.6%85.0%85.2%
HV 60d88.1%80.4%91.6%91.6%82.3%
IV Rank54.5%32.3%61.2%50.4%50.1%
IV Percentile89.0%40.5%97.2%86.5%79.0%
Term Structure-64.2%-83.2%-24.3%-52.9%-68.5%
Bid-Ask Spread %35.9912.4374.4718.0131.05
Net GEX00000
Net DEX11.8K5.0K24.9K5.1K16.7K
Net VEX-2-2-2-2-2
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0112.803.450.05
Total Volume104.21041710175
Total OI2,057.251,8842,3261,8842,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$0.49$2.50171.8%0.0%85.0%50.4%0.0%0.0%0.0%05.1K-20.0018.010101,779105
2020-11-03$0.48$2.50176.0%0.0%84.9%52.1%0.0%0.0%0.0%05.0K-23.4526.6011381,779105
2020-11-04$0.48$2.50178.0%0.0%82.2%52.9%0.0%0.0%0.0%06.2K-20.0025.000651,785129
2020-11-05$0.49$2.50177.8%51.0%62.8%52.8%0.0%0.0%-52.9%06.5K-20.0047.250781,785132
2020-11-06$0.49$2.50179.8%51.6%63.5%53.6%0.0%0.0%-54.4%07.5K-212.8042.83101281,785153
2020-11-09$0.56$2.50171.3%49.1%84.1%50.2%0.0%0.0%-77.4%010.2K-20.6871.5344301,805183
2020-11-10$0.53$2.50179.8%51.6%84.2%53.6%0.0%0.0%-82.2%08.2K-20.0420.952511,821154
2020-11-11$0.54$2.50180.1%51.6%85.1%53.7%0.0%0.0%-83.2%08.3K-27.0012.435351,846154
2020-11-12$0.51$2.50189.4%54.3%86.4%57.4%0.0%0.0%-64.4%09.6K-21.0358.7334351,851189
2020-11-13$0.51$2.50192.1%55.1%86.0%58.4%0.0%0.0%-66.6%07.9K-27.3823.388591,853155
2020-11-16$0.53$2.50196.0%56.2%88.0%60.0%0.0%0.0%-72.1%011.1K-20.0026.810531,855209
2020-11-17$0.52$2.50125.9%0.0%86.7%32.3%0.0%0.0%0.0%09.7K-20.3315.5670231,855186
2020-11-18$0.55$2.50197.6%56.6%88.0%60.6%0.0%0.0%-75.8%011.5K-21.2874.4718231,885209
2020-11-19$0.60$2.50189.6%54.4%94.6%57.4%0.0%0.0%-54.3%012.2K-25.4867.23211151,898204
2020-11-20$0.60$2.50192.9%55.3%94.4%58.8%0.0%0.0%-24.3%019.0K-26.0560.13191151,900317
2020-11-23$0.64$2.50195.2%56.0%94.5%59.7%0.0%0.0%-61.1%015.4K-21.8717.0147881,771240
2020-11-24$0.67$2.50192.8%55.3%82.9%58.7%0.0%0.0%-61.8%024.9K-20.8517.622251921,800372
2020-11-25$0.71$2.50188.7%54.1%84.2%57.1%0.0%0.0%0.0%023.5K-22.8834.40411181,995331
2020-11-27$0.70$2.50199.0%57.1%78.9%61.2%0.0%0.0%-68.5%018.3K-20.0128.7312411,994261
2020-11-30$0.64$2.50171.0%0.0%85.2%50.1%0.0%0.0%0.0%016.7K-20.0531.0516692,054261