REI Options History — June 2021

In June 2021, REI traded between $2.50 and $3.09. ATM implied volatility averaged 92.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 16.4% (HV 20d: 75.7%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2021-06-01: Highest Volume — 16,976 contracts
  • 2021-06-03: Largest IV drop — 17.2% change
  • 2021-06-15: Highest IV Rank — 29.7%
  • 2021-06-15: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.80$2.50$3.09$2.55$2.99
Max Pain$2.95$2.50$3.00$2.50$3.00
ATM IV92.1%77.9%108.8%91.6%85.0%
Expected Move26.6%23.3%31.2%26.3%24.4%
HV 20d75.7%66.2%82.6%66.8%66.2%
HV 60d75.2%67.2%84.5%83.3%67.2%
IV Rank24.4%19.9%29.7%24.3%22.2%
IV Percentile8.5%1.6%22.2%5.6%4.8%
Term Structure2.1%-14.3%14.3%-6.9%8.4%
VWIV96.1%85.0%109.0%105.5%89.8%
Skew 25d-10.2%-45.6%10.1%-45.6%10.1%
Skew 10d1.7%-63.0%46.5%-63.0%34.8%
Call IV 25d103.4%85.2%123.7%123.7%91.4%
Put IV 25d93.2%77.7%102.7%78.2%101.4%
Bid-Ask Spread %28.2612.3857.0617.9513.13
Gamma HHI0.410.300.490.410.30
Net GEX160.2K109.6K221.5K176.9K126.9K
Net DEX-7.9M-12.7M-5.7M-7.0M-6.8M
Net VEX-40.7K-46.4K-34.4K-34.4K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.340.050.02
Total Volume6,159.3641,70816,97616,9761,708
Total OI125,915.596,774143,540126,312115,731

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$2.55$2.5091.6%26.3%66.8%24.3%105.5%-45.6%-6.9%176.9K-7.0M-34.4K0.0517.9516,220756119,3976,915
2021-06-02$2.75$2.5094.0%27.0%70.7%25.0%99.0%-15.6%7.2%191.5K-9.7M-40.6K0.6822.148,0495,486121,4247,387
2021-06-03$2.73$3.0077.9%24.9%70.9%19.9%91.8%-3.5%2.0%185.0K-8.5M-42.4K0.0352.653,20294123,30912,610
2021-06-04$2.74$3.0084.8%25.1%68.9%22.1%87.2%5.9%1.1%187.9K-8.2M-39.2K0.0126.141,91414122,69112,602
2021-06-07$2.55$3.0092.3%28.3%74.7%24.5%102.3%-22.2%-0.5%185.1K-6.6M-37.1K0.1341.153,175427123,12212,593
2021-06-08$2.62$3.0091.0%25.8%75.0%24.1%94.0%-13.7%6.0%189.1K-7.3M-37.8K0.8640.112,2821,955124,40612,861
2021-06-09$2.55$3.0097.6%28.0%75.8%26.2%99.9%-3.4%-5.2%191.0K-6.8M-38.5K0.1257.061,868232125,41814,750
2021-06-10$2.50$3.0088.1%25.3%76.3%23.1%97.9%-15.3%4.6%189.5K-5.7M-35.6K0.3744.271,461542125,96414,811
2021-06-11$2.64$3.0097.5%27.9%74.2%26.1%109.0%-13.4%-6.9%141.5K-9.5M-38.7K0.1525.703,527536126,06415,320
2021-06-14$2.67$3.0095.5%27.4%73.8%25.5%101.8%-1.6%-7.4%221.5K-8.2M-39.0K0.0522.023,307172127,39315,467
2021-06-15$2.93$3.00108.8%31.2%76.6%29.7%106.1%-4.0%-14.3%157.4K-11.6M-43.0K0.0026.947,80319127,86615,674
2021-06-16$3.02$3.00102.1%29.3%76.9%27.6%106.0%-23.7%-6.9%174.6K-12.7M-44.2K0.0127.8716,417143127,67615,680
2021-06-17$2.79$3.00104.6%30.0%81.6%28.4%102.1%-25.4%-1.8%115.6K-8.2M-40.6K0.0831.922,898234125,72715,699
2021-06-18$2.73$3.0093.0%26.6%81.1%24.7%93.5%-18.1%1.7%109.6K-7.6M-37.8K0.1736.763,247551125,19515,849
2021-06-21$2.89$3.0092.4%26.5%82.6%24.5%91.6%-16.1%10.6%123.8K-6.2M-40.7K0.0432.924,08716183,71413,060
2021-06-22$2.95$3.0085.9%24.6%82.0%22.4%85.0%-11.7%12.8%133.3K-6.7M-40.6K0.8720.032,2891,99485,12313,097
2021-06-23$3.00$3.0095.5%27.4%79.2%25.5%93.1%1.0%14.2%140.0K-7.7M-41.4K0.9012.553,8273,44585,06413,282
2021-06-24$2.97$3.0081.2%23.3%79.6%21.0%90.4%-7.7%9.0%143.4K-6.8M-39.1K0.0026.437,2672286,24513,133
2021-06-25$3.09$3.0085.0%24.4%80.0%22.2%90.6%-9.3%5.0%164.2K-8.7M-45.8K0.3117.339,1822,86790,30513,142
2021-06-28$3.00$3.0089.5%25.7%81.6%23.6%93.3%5.1%14.3%151.3K-7.4M-45.1K1.3414.243,3414,46293,55415,814
2021-06-29$2.95$3.0092.5%26.5%70.9%24.6%85.2%3.6%-1.5%126.0K-6.6M-46.3K0.3312.383,2481,07595,09619,911
2021-06-30$2.99$3.0085.0%24.4%66.2%22.2%89.8%10.1%8.4%126.9K-6.8M-46.4K0.0213.131,6773195,76819,963