REI Options History — September 2021

In September 2021, REI traded between $2.39 and $2.98. ATM implied volatility averaged 95.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 27.3% (HV 20d: 68.4%). 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 11 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2021-09-14: Highest Volume — 34,729 contracts
  • 2021-09-13: Largest IV spike — 32.0% change
  • 2021-09-14: Highest IV Rank — 33.8%
  • 2021-09-14: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.39$2.98$2.39$2.98
Max Pain$2.29$2.00$2.50$2.50$2.50
ATM IV95.8%75.9%121.8%88.4%92.8%
Expected Move27.6%23.4%34.9%25.3%26.6%
HV 20d68.4%47.4%84.9%83.2%55.6%
HV 60d70.9%68.4%74.4%74.0%68.4%
IV Rank25.6%19.3%33.8%23.2%24.6%
IV Percentile25.4%2.4%47.6%13.9%26.2%
Term Structure-0.2%-15.7%13.3%-4.6%-3.3%
VWIV98.0%76.7%124.7%80.9%91.6%
Skew 25d-8.0%-40.7%20.1%2.9%-7.4%
Skew 10d10.2%-52.1%64.8%6.8%25.1%
Call IV 25d100.2%69.1%137.6%69.1%110.6%
Put IV 25d92.2%62.3%122.6%72.1%103.2%
Bid-Ask Spread %26.1014.0855.2019.2524.92
Gamma HHI0.230.150.340.270.20
Net GEX74.3K22.3K145.4K87.4K52.3K
Net DEX-2.8M-5.4M-1.4M-2.4M-3.6M
Net VEX-19.5K-25.6K-16.2K-21.4K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.080.160.56
Total Volume4,986.28631234,7298102,040
Total OI95,44943,076143,377129,94749,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$2.39$2.5088.4%25.3%83.2%23.2%80.9%2.9%-4.6%87.4K-2.4M-21.4K0.1619.25699111116,85713,090
2021-09-02$2.50$2.0080.2%24.2%84.9%20.6%76.7%-2.8%3.1%104.2K-2.9M-22.4K0.0537.212,193108116,95713,061
2021-09-03$2.50$2.0075.9%23.4%84.1%19.3%83.7%18.1%0.9%103.9K-2.7M-22.0K0.1025.6748547116,89713,151
2021-09-07$2.48$2.0083.3%23.5%84.1%21.6%80.7%-14.2%4.5%105.1K-2.6M-20.6K0.0425.5787439118,32913,113
2021-09-08$2.43$2.0087.7%25.1%84.2%23.0%88.1%7.2%-3.4%100.2K-2.1M-19.7K0.0029.757992118,61213,151
2021-09-09$2.47$2.0084.3%24.2%84.1%22.0%80.8%-3.5%3.9%100.6K-2.2M-19.4K0.0115.7110,94395118,94513,145
2021-09-10$2.42$2.0085.9%24.6%84.3%22.5%87.7%-28.2%0.1%97.4K-2.1M-19.5K0.0021.849931119,64013,143
2021-09-13$2.55$2.00113.4%32.5%84.7%31.2%116.3%-21.8%-15.7%145.4K-5.4M-25.6K0.0425.1427,5711,052129,78013,188
2021-09-14$2.47$2.00121.8%34.9%77.8%33.8%124.7%-18.6%-6.1%129.5K-5.0M-24.9K0.2236.6428,5376,192130,18813,189
2021-09-15$2.59$2.00116.0%33.3%75.1%32.0%122.7%-9.8%-10.8%111.6K-4.3M-22.5K0.9755.202,2642,194124,37312,594
2021-09-16$2.60$2.50117.3%33.6%75.0%32.4%124.1%-7.1%-2.9%106.9K-2.8M-18.2K0.0126.021,65623109,92518,611
2021-09-17$2.55$2.50112.2%32.2%56.0%30.8%120.6%-7.6%-2.3%24.7K-2.4M-18.0K0.0240.981,60940109,73420,553
2021-09-20$2.43$2.50101.6%29.1%57.6%27.4%111.1%-14.3%9.9%22.3K-1.4M-16.5K0.1746.161,42023829,23513,841
2021-09-21$2.43$2.5099.1%28.4%51.8%26.6%97.2%-28.9%-2.3%24.6K-1.4M-16.2K0.1614.082684429,57513,858
2021-09-22$2.47$2.5085.3%24.5%47.4%22.3%90.3%-15.5%8.5%25.9K-1.4M-16.2K0.0615.455813229,65014,064
2021-09-23$2.61$2.5088.6%25.4%50.4%23.3%99.3%20.1%13.3%30.8K-2.0M-16.7K0.0315.841,2014029,68314,108
2021-09-24$2.67$2.5091.5%26.2%49.7%24.2%90.4%15.0%3.5%35.3K-2.3M-16.9K0.1622.341,17918729,96114,119
2021-09-27$2.94$2.5094.4%27.1%55.7%25.1%94.0%-3.1%-7.9%48.7K-3.5M-17.6K0.0715.842,56818230,71914,148
2021-09-28$2.90$2.5097.1%27.8%55.9%26.0%97.8%-7.4%3.8%48.5K-3.5M-17.6K1.0818.252,3852,57231,13314,321
2021-09-29$2.91$2.5094.3%27.0%55.6%25.1%99.3%-40.7%3.2%54.8K-3.6M-17.8K0.0316.191,2103831,76414,329
2021-09-30$2.98$2.5092.8%26.6%55.6%24.6%91.6%-7.4%-3.3%52.3K-3.6M-19.4K0.5624.921,30473632,82116,874