REI Options History — July 2021

In July 2021, REI traded between $2.45 and $3.25. ATM implied volatility averaged 94.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 27.5%. IV traded above realized volatility by 24.8% (HV 20d: 69.9%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2021-07-01: Highest Volume — 14,179 contracts
  • 2021-07-09: Largest IV spike — 71.2% change
  • 2021-07-13: Highest IV Rank — 34.5%
  • 2021-07-26: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.73$2.45$3.25$3.25$2.67
Max Pain$3.05$3.00$3.50$3.00$3.00
ATM IV94.7%64.8%124.0%89.8%102.4%
Expected Move27.5%22.6%32.0%25.7%29.4%
HV 20d69.9%63.8%76.8%71.8%66.6%
HV 60d69.6%67.0%71.9%69.0%70.1%
IV Rank25.2%15.8%34.5%23.7%27.7%
IV Percentile15.9%0.8%36.5%7.5%25.8%
Term Structure-2.9%-21.5%18.9%8.8%-21.5%
VWIV96.6%77.5%105.2%95.3%95.3%
Skew 25d-19.8%-37.4%-4.5%-19.9%-18.9%
Skew 10d-5.2%-62.3%38.9%-17.4%15.9%
Call IV 25d103.7%86.4%115.0%106.2%108.1%
Put IV 25d83.8%70.3%99.6%86.3%89.3%
Bid-Ask Spread %17.7013.0228.2613.8415.83
Gamma HHI0.330.290.480.320.29
Net GEX107.9K67.2K166.5K166.5K128.9K
Net DEX-4.1M-10.4M-65.7K-10.4M-4.0M
Net VEX-33.6K-53.2K-23.2K-53.2K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.030.320.26
Total Volume2,844.95223514,17914,179235
Total OI115,149.28697,096122,794115,845112,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$3.25$3.0089.8%25.7%71.8%23.7%95.3%-19.9%8.8%166.5K-10.4M-53.2K0.3213.8410,7353,44495,85619,989
2021-07-02$3.10$3.0078.7%22.6%74.5%20.2%77.5%-34.2%18.9%135.6K-7.9M-50.4K0.0713.911,81812097,09123,028
2021-07-06$2.95$3.5095.1%28.5%71.7%25.4%102.8%-16.5%2.0%105.1K-5.9M-44.7K0.2119.571,98242596,64523,141
2021-07-07$2.74$3.5084.8%27.7%76.8%22.1%97.9%-23.7%-1.1%85.6K-3.4M-39.3K0.0628.262,26614497,21023,043
2021-07-08$2.75$3.0064.8%27.8%76.0%15.8%101.7%-19.9%-10.4%89.7K-3.4M-36.4K0.0620.848535097,61523,071
2021-07-09$2.85$3.00111.0%27.9%76.3%30.4%94.6%-4.5%2.2%95.1K-4.4M-39.9K0.8219.471,4351,17297,72023,101
2021-07-12$2.84$3.0088.2%29.0%74.2%23.2%101.7%-12.7%-6.6%76.5K-4.0M-38.1K0.0817.935494298,63523,190
2021-07-13$2.80$3.00124.0%28.4%74.4%34.5%105.2%-17.8%-9.2%75.3K-3.1M-34.0K0.3627.521,55955898,73523,175
2021-07-14$2.75$3.0093.7%26.9%66.5%24.9%93.0%-15.9%-11.8%67.2K-2.3M-33.6K0.8317.5475763298,68023,715
2021-07-15$2.66$3.0095.1%27.3%66.1%25.4%94.0%-30.5%-8.4%89.6K-1.1M-31.0K1.0314.8964766598,46124,333
2021-07-16$2.50$3.0089.3%25.6%63.8%23.5%92.2%-15.8%6.4%78.5K-65.7K-27.1K0.4713.023,2741,52998,43623,937
2021-07-19$2.45$3.0098.3%28.2%63.8%26.4%104.3%-9.0%-8.5%68.7K-2.4M-23.2K0.0121.0713,89518285,83511,261
2021-07-20$2.60$3.0096.0%27.5%64.1%25.7%98.7%-21.2%10.3%118.2K-4.3M-30.3K0.0215.242,3144996,37611,299
2021-07-21$2.71$3.0092.2%26.4%65.6%24.4%91.2%-10.2%-6.4%140.6K-5.0M-31.4K0.0013.261,079597,85011,315
2021-07-22$2.66$3.0088.7%25.4%65.3%23.3%91.7%-16.4%4.8%133.6K-4.6M-30.7K0.0914.795705398,53011,318
2021-07-23$2.49$3.0095.2%27.3%68.7%25.4%98.9%-30.3%5.6%113.0K-3.7M-28.0K0.1114.197548198,53811,300
2021-07-26$2.60$3.00111.8%32.0%69.1%30.6%103.7%-26.5%-20.5%127.1K-4.1M-27.9K0.2216.151,83340998,53811,300
2021-07-27$2.52$3.0092.5%26.5%69.1%24.6%93.6%-37.4%-1.9%109.5K-3.6M-25.7K0.6715.8044229598,86011,325
2021-07-28$2.59$3.0096.9%27.8%70.2%25.9%99.1%-25.5%1.5%121.6K-4.0M-26.9K0.1717.3192815499,94311,688
2021-07-29$2.75$3.00100.3%28.7%73.8%27.0%95.1%-10.2%-16.2%139.2K-4.8M-27.8K0.0421.371,74466100,07311,775
2021-07-30$2.67$3.00102.4%29.4%66.6%27.7%95.3%-18.9%-21.5%128.9K-4.0M-25.8K0.2615.8318649100,38311,821