REI Options History — May 2021

In May 2021, REI traded between $2.10 and $2.38. ATM implied volatility averaged 94.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 32.5% (HV 20d: 61.6%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2021-05-27: Highest Volume — 11,181 contracts
  • 2021-05-05: Largest IV drop — 19.9% change
  • 2021-05-04: Highest IV Rank — 29.3%
  • 2021-05-04: Largest Expected Move — 30.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.23$2.10$2.38$2.16$2.25
Max Pain$2.42$2.00$2.50$2.00$2.50
ATM IV94.1%72.8%107.6%95.9%72.8%
Expected Move26.5%20.9%30.8%27.5%20.9%
HV 20d61.6%50.7%67.6%65.4%50.7%
HV 60d95.9%79.9%127.2%127.2%79.9%
IV Rank25.1%18.3%29.3%25.6%18.3%
IV Percentile4.7%1.2%10.7%3.2%1.2%
Term Structure1.2%-18.6%20.7%-11.9%20.7%
VWIV91.2%75.8%103.0%98.0%75.8%
Skew 25d2.2%-18.6%32.9%-0.1%10.2%
Skew 10d17.1%-2.9%49.5%30.2%21.1%
Call IV 25d88.8%71.3%107.4%93.1%72.2%
Put IV 25d91.1%78.7%111.7%93.0%82.3%
Bid-Ask Spread %41.0412.3665.1951.8512.36
Gamma HHI0.380.350.450.410.45
Net GEX94.6K71.4K138.3K95.6K138.3K
Net DEX-3.6M-5.4M-2.3M-4.1M-3.5M
Net VEX-28.4K-34.4K-20.9K-32.4K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.581.580.07
Total Volume2,042.260711,1811,3351,566
Total OI117,335.9113,636125,536114,079125,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$2.16$2.0095.9%27.5%65.4%25.6%98.0%-0.1%-11.9%95.6K-4.1M-32.4K1.5851.85517818108,2125,867
2021-05-04$2.22$2.00107.6%30.8%66.4%29.3%96.4%17.8%-18.6%91.0K-4.0M-31.5K0.5641.73591330108,3376,675
2021-05-05$2.26$2.0086.2%24.7%66.5%22.5%87.5%32.9%7.3%98.7K-4.4M-32.6K0.1052.371,585155108,4546,967
2021-05-06$2.18$2.50101.3%26.8%67.3%27.3%97.4%-17.7%8.4%84.8K-3.2M-26.7K0.0219.4876317108,8087,036
2021-05-07$2.24$2.50104.9%27.5%67.6%28.5%92.9%-9.3%1.7%93.7K-3.9M-31.8K0.0353.0092428108,7067,050
2021-05-10$2.27$2.50104.8%27.3%67.1%28.5%92.6%-18.6%1.9%97.8K-4.1M-31.6K0.0433.321,13844109,0967,060
2021-05-11$2.25$2.50103.5%28.0%66.9%28.0%91.1%1.0%0.1%95.0K-3.6M-26.9K0.0255.491,26330109,8027,055
2021-05-12$2.25$2.5094.9%27.2%62.9%25.3%94.1%-4.4%0.7%96.8K-3.7M-28.6K0.4057.971,333529109,9677,040
2021-05-13$2.12$2.5089.9%25.8%65.9%23.7%99.5%7.6%7.9%71.4K-3.0M-27.1K0.6665.19842555110,0477,487
2021-05-14$2.19$2.5092.3%26.5%61.9%24.5%80.8%14.2%2.1%87.4K-3.2M-27.9K0.0958.061,411125110,5147,371
2021-05-17$2.35$2.50102.9%29.5%66.1%27.8%103.0%-1.2%-2.3%115.2K-4.3M-29.5K0.1144.913,805407110,6027,353
2021-05-18$2.38$2.5096.0%27.5%56.1%25.7%96.9%18.8%-2.5%131.9K-5.4M-34.4K0.1843.612,501438112,6457,115
2021-05-19$2.29$2.50100.0%28.7%57.7%26.9%99.1%-8.1%-4.0%93.3K-4.3M-31.0K0.8657.70326281113,4837,397
2021-05-20$2.22$2.5099.0%28.4%59.2%26.6%102.2%-10.7%-5.5%93.7K-3.6M-28.7K0.1454.7265594113,5427,316
2021-05-21$2.22$2.5092.7%26.6%59.2%24.6%87.2%-4.5%-2.4%88.2K-3.9M-29.9K0.5853.971,190692113,8107,286
2021-05-24$2.19$2.5084.1%24.1%59.5%21.9%79.6%6.0%7.4%73.9K-2.3M-20.9K0.1317.022,405306107,1756,461
2021-05-25$2.10$2.5086.3%24.7%60.9%22.6%88.7%-8.6%-4.4%76.2K-2.6M-22.9K0.0613.6399057108,0476,720
2021-05-26$2.17$2.5082.9%23.8%52.0%21.5%83.6%0.3%5.5%81.9K-2.6M-22.8K0.0115.2293814108,5826,745
2021-05-27$2.23$2.5084.4%24.2%52.9%22.0%77.5%18.9%12.0%88.2K-2.8M-24.8K0.0019.2011,15922108,5976,755
2021-05-28$2.25$2.5072.8%20.9%50.7%18.3%75.8%10.2%20.7%138.3K-3.5M-25.7K0.0712.361,466100118,7616,775