REI Options History — February 2021

In February 2021, REI traded between $1.15 and $2.65. ATM implied volatility averaged 224.6%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 66.6%. IV traded above realized volatility by 77.9% (HV 20d: 146.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.05.

Notable Days

  • 2021-02-09: Highest Volume — 111,916 contracts
  • 2021-02-02: Largest IV spike — 86.5% change
  • 2021-02-02: Highest IV Rank — 94.5%
  • 2021-02-05: Largest Expected Move — 93.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.96$1.15$2.65$1.15$2.25
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV224.6%162.6%313.3%168.0%171.7%
Expected Move66.6%48.2%93.9%48.2%49.2%
HV 20d146.6%100.6%177.4%106.0%177.4%
HV 60d107.8%86.1%124.2%86.2%123.9%
IV Rank66.4%46.8%94.5%48.5%49.6%
IV Percentile86.1%59.9%99.6%67.5%65.1%
Term Structure-26.7%-88.9%133.5%133.5%-21.2%
VWIV247.9%175.8%367.5%175.8%202.7%
Skew 25d-51.1%-59.6%-42.5%-59.6%-42.5%
Skew 10d-93.5%-119.6%-67.4%-119.6%-67.4%
Call IV 25d223.5%214.2%232.8%232.8%214.2%
Put IV 25d172.4%171.6%173.1%173.1%171.6%
Bid-Ask Spread %17.047.4242.7317.2712.73
Gamma HHI0.700.490.810.810.62
Net GEX54.4K311135.1K1.5K116.0K
Net DEX-6.1M-12.6M-52.0K-125.5K-9.0M
Net VEX-36.6K-67.5K-459-813-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.190.000.10
Total Volume20,870.3161,910111,9161,9418,826
Total OI85,057.21112,473150,27312,473150,273

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$1.15$2.50168.0%48.2%106.0%48.5%175.8%0.0%133.5%1.5K-125.5K-8130.0017.271,938311,990483
2021-02-02$1.17$2.50313.3%89.8%105.9%94.5%313.3%0.0%-30.8%311-52.0K-4590.0211.041,9263312,247482
2021-02-03$1.27$2.50241.3%69.2%105.7%71.7%367.5%0.0%-49.4%349-58.7K-5290.0120.764,0232812,106551
2021-02-04$1.37$2.50162.6%88.3%100.6%46.8%310.7%0.0%-80.1%3.8K-426.7K-2.3K0.0636.071,80310713,573560
2021-02-05$1.62$2.50257.5%93.9%109.4%76.8%324.2%0.0%-88.9%2.1K-490.9K-2.3K0.0530.498,47240314,324583
2021-02-08$2.30$2.50273.1%75.8%154.9%81.8%274.0%0.0%-46.4%23.0K-2.4M-6.1K0.0212.0067,6831,25718,750670
2021-02-09$2.18$2.50301.2%69.0%158.4%90.6%246.4%0.0%-48.3%47.6K-5.0M-20.0K0.0615.75105,8616,05551,5191,835
2021-02-10$2.17$2.50245.2%70.3%159.0%72.9%245.5%0.0%-48.8%85.4K-10.7M-56.3K0.0416.5715,198679108,4017,611
2021-02-11$2.11$2.50235.6%67.5%160.1%69.9%239.8%0.0%-46.8%62.7K-8.4M-53.5K0.0414.1612,682459110,3478,170
2021-02-12$2.08$2.50228.5%65.5%160.5%67.6%242.7%0.0%-27.2%60.8K-8.3M-52.6K0.0414.877,321322112,5818,589
2021-02-16$2.15$2.50215.6%61.8%153.6%63.6%222.8%0.0%-29.0%67.7K-8.2M-53.1K0.0314.385,735193115,2878,593
2021-02-17$2.09$2.50228.1%65.4%154.9%67.5%232.4%0.0%-37.0%64.6K-8.3M-53.0K0.0313.744,026129116,3978,632
2021-02-18$1.98$2.50218.7%62.7%157.3%64.5%220.0%0.0%-20.0%59.1K-7.9M-49.2K0.197.422,997573117,0718,615
2021-02-19$1.98$2.50208.0%59.6%156.7%61.1%211.1%0.0%-6.0%63.0K-6.7M-49.2K0.089.023,457274117,2649,034
2021-02-22$2.19$2.50208.0%59.6%156.3%61.1%209.2%0.0%-24.6%74.7K-8.0M-52.2K0.069.896,54038497,6048,341
2021-02-23$2.09$2.50192.9%55.3%159.2%56.4%193.9%0.0%-14.1%73.1K-7.1M-50.9K0.099.423,07027499,8248,553
2021-02-24$2.65$2.50225.4%64.6%173.7%66.6%258.0%0.0%-12.2%93.2K-12.6M-65.6K0.0215.39100,8672,34799,5788,637
2021-02-25$2.44$2.50171.6%49.2%176.5%49.6%220.9%-59.6%-9.1%135.1K-11.7M-67.5K0.0842.7319,0721,519136,43110,581
2021-02-26$2.25$2.50171.7%49.2%177.4%49.6%202.7%-42.5%-21.2%116.0K-9.0M-59.5K0.1012.738,042784139,15911,114