REI Options History — April 2021

In April 2021, REI traded between $1.96 and $2.46. ATM implied volatility averaged 97.4%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 30.6%. IV traded above realized volatility by 10.3% (HV 20d: 87.1%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2021-04-08: Highest Volume — 9,717 contracts
  • 2021-04-14: Largest IV spike — 85.1% change
  • 2021-04-06: Highest IV Rank — 34.9%
  • 2021-04-05: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.17$1.96$2.46$2.46$2.14
Max Pain$2.33$2.00$2.50$2.50$2.00
ATM IV97.4%59.2%125.3%112.0%104.2%
Expected Move30.6%25.8%35.4%32.1%29.9%
HV 20d87.1%60.0%112.6%112.6%66.8%
HV 60d130.7%127.4%135.3%135.3%128.0%
IV Rank26.1%14.0%34.9%30.7%28.2%
IV Percentile3.8%0.4%14.3%5.6%5.6%
Term Structure1.4%-12.7%17.6%17.6%-10.8%
VWIV107.1%93.3%129.2%110.8%95.9%
Skew 25d-11.0%-36.6%18.3%-31.8%0.5%
Skew 10d-1.9%-51.7%20.1%9.9%-4.3%
Call IV 25d106.2%83.7%125.8%117.8%92.7%
Put IV 25d95.1%70.8%122.2%86.0%93.3%
Bid-Ask Spread %22.4611.5645.5226.4940.89
Gamma HHI0.470.390.560.470.39
Net GEX88.4K65.6K123.0K123.0K86.3K
Net DEX-4.4M-7.2M-2.8M-7.2M-3.8M
Net VEX-36.1K-49.8K-26.3K-49.8K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.240.040.03
Total Volume2,246.9522029,7171,731202
Total OI116,534.143106,893127,730114,414113,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$2.46$2.50112.0%32.1%112.6%30.7%110.8%-31.8%17.6%123.0K-7.2M-49.8K0.0426.491,66071106,0058,409
2021-04-05$2.35$2.50113.5%35.4%112.0%31.2%129.2%1.3%-3.5%112.7K-5.9M-43.4K0.0532.161,01346106,6108,479
2021-04-06$2.34$2.50125.3%34.7%111.3%34.9%120.9%-19.8%1.6%111.3K-5.8M-43.1K0.2415.071,163281106,9898,529
2021-04-07$2.30$2.50107.4%35.3%110.7%29.3%120.6%-11.0%-2.5%103.3K-5.4M-42.1K0.0233.834,79479107,0258,805
2021-04-08$2.25$2.5080.2%33.2%107.7%20.7%119.2%-17.2%-3.4%98.8K-4.9M-41.0K0.0024.279,68631109,3128,857
2021-04-09$2.20$2.5066.5%33.3%98.7%16.3%119.6%-20.6%-0.9%98.7K-5.3M-42.6K0.1314.561,633216118,1758,883
2021-04-12$2.15$2.5078.8%32.7%98.7%20.2%112.7%-22.3%-6.4%88.2K-4.4M-39.9K0.0318.032,01170118,6969,034
2021-04-13$2.12$2.5059.2%32.2%92.7%14.0%115.0%9.3%-3.1%79.1K-3.7M-35.4K0.2411.601,537363117,0349,056
2021-04-14$2.26$2.50109.5%31.4%96.4%29.9%103.8%16.8%6.6%91.7K-4.7M-40.8K0.1311.811,769227117,1729,033
2021-04-15$2.30$2.50105.2%30.1%97.0%28.6%104.6%13.5%11.5%95.6K-4.9M-41.0K0.1045.521,269124117,8509,073
2021-04-16$2.14$2.50100.3%28.7%88.8%27.0%108.3%-21.6%5.4%81.9K-3.8M-35.5K0.0725.821,462102118,0599,016
2021-04-19$2.20$2.50106.4%30.5%82.2%29.0%94.4%-5.4%-3.4%85.7K-4.4M-35.2K0.0836.942,994228101,7715,122
2021-04-20$2.01$2.5096.9%27.8%86.8%25.9%96.3%-9.0%-3.2%69.6K-2.9M-27.1K0.2312.222,436555103,8265,305
2021-04-21$1.97$2.5099.5%28.5%75.6%26.8%98.9%-21.1%5.2%68.1K-3.2M-29.6K0.0511.561,16062103,9585,759
2021-04-22$1.96$2.00101.4%29.1%67.9%27.4%100.0%-10.3%-10.8%66.3K-2.8M-27.7K0.0311.731,83864104,1745,777
2021-04-23$1.96$2.0096.9%27.8%62.5%25.9%106.1%-26.7%3.9%65.6K-3.0M-28.3K0.0212.4780514104,6615,729
2021-04-26$1.99$2.0090.1%25.8%62.2%23.8%96.1%-36.6%9.9%67.4K-2.9M-26.3K0.1113.231,039117105,0815,741
2021-04-27$2.05$2.0090.4%25.9%60.0%23.9%93.3%-23.5%13.7%74.6K-3.4M-29.1K0.0416.2767025105,3545,697
2021-04-28$2.25$2.0095.4%27.4%69.4%25.5%97.8%18.3%13.9%91.3K-4.5M-33.7K0.0423.663,992159105,7755,719
2021-04-29$2.23$2.00105.5%30.2%69.4%28.7%106.2%-14.6%-12.7%96.3K-4.7M-34.9K0.0533.521,16356107,8505,824
2021-04-30$2.14$2.00104.2%29.9%66.8%28.2%95.9%0.5%-10.8%86.3K-3.8M-31.3K0.0340.891966108,1295,864