REI Options History — October 2021

In October 2021, REI traded between $3.00 and $4.11. ATM implied volatility averaged 101.0%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 21.8% (HV 20d: 79.2%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2021-10-05: Highest Volume — 62,455 contracts
  • 2021-10-04: Largest IV spike — 35.2% change
  • 2021-10-12: Highest IV Rank — 35.8%
  • 2021-10-07: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.78$3.00$4.11$3.00$3.78
Max Pain$3.31$2.50$3.50$2.50$3.50
ATM IV101.0%89.6%128.1%90.7%101.2%
Expected Move27.9%25.7%30.2%26.0%29.0%
HV 20d79.2%54.2%85.6%54.2%78.7%
HV 60d75.6%68.4%79.3%68.4%73.0%
IV Rank27.2%23.6%35.8%24.0%27.3%
IV Percentile35.9%19.8%57.5%21.4%44.0%
Term Structure-6.6%-15.8%0.4%-5.2%-15.7%
VWIV97.1%86.2%105.6%86.2%105.6%
Skew 25d-3.2%-21.2%8.6%-21.2%4.0%
Skew 10d-5.9%-34.6%35.6%-6.5%-0.4%
Call IV 25d98.8%84.9%108.6%96.0%98.8%
Put IV 25d95.6%74.8%108.2%74.8%102.9%
Bid-Ask Spread %20.5313.8638.0330.8217.69
Gamma HHI0.290.190.340.200.31
Net GEX245.0K53.1K331.4K53.1K275.1K
Net DEX-13.8M-18.4M-3.8M-3.8M-12.3M
Net VEX-53.7K-65.7K-19.4K-19.4K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.030.850.080.85
Total Volume7,898.5241,21362,4551,26111,675
Total OI106,169.57149,884131,55549,884114,631

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$3.00$2.5090.7%26.0%54.2%24.0%86.2%-21.2%-5.2%53.1K-3.8M-19.4K0.0830.821,1728932,98816,896
2021-10-04$3.55$3.00122.7%29.6%78.1%34.1%103.2%-2.0%-10.8%59.4K-6.8M-21.1K0.0826.3028,1532,25433,69317,393
2021-10-05$3.59$3.00121.8%28.2%77.6%33.8%104.9%5.1%-4.3%60.2K-7.0M-20.6K0.0523.3359,4922,96333,71117,438
2021-10-06$3.41$3.0097.0%30.0%80.4%26.0%104.8%-8.7%-6.1%114.9K-8.3M-33.9K0.1615.523,21252554,31817,822
2021-10-07$3.77$3.00108.7%30.2%85.6%29.7%104.5%0.9%-15.8%264.2K-16.2M-60.1K0.2338.033,55180794,91118,783
2021-10-08$3.89$3.00100.0%28.2%84.3%26.9%96.9%-2.8%-6.5%270.8K-17.5M-63.1K0.5721.4010,6766,06795,34018,826
2021-10-11$3.91$3.00119.6%29.9%83.8%33.1%104.8%-10.1%-7.5%282.2K-18.4M-61.8K0.0738.024,65634696,50919,002
2021-10-12$3.81$3.50128.1%29.8%83.3%35.8%103.3%-4.3%-7.6%276.4K-17.0M-63.8K0.0316.992,84097102,61024,637
2021-10-13$3.80$3.5095.0%27.2%83.2%25.3%94.3%0.6%-0.8%291.0K-16.5M-62.4K0.2221.492,957662104,19224,918
2021-10-14$3.81$3.5093.8%26.9%83.2%25.0%95.4%-4.9%0.4%254.8K-16.3M-62.5K0.0722.991,820132105,38124,951
2021-10-15$3.84$3.5095.1%27.3%82.1%25.4%96.9%0.2%-0.8%265.2K-16.7M-64.4K0.0721.092,726180106,28625,269
2021-10-18$3.95$3.5098.7%28.3%78.0%26.5%98.0%-9.2%-9.8%287.3K-15.6M-64.0K0.1515.042,38136694,58618,388
2021-10-19$3.92$3.5092.2%26.4%78.3%24.4%90.9%-2.4%-8.0%291.1K-15.2M-62.9K0.0414.692,3869095,34818,413
2021-10-20$4.11$3.5091.5%26.2%78.7%24.2%90.9%-1.7%-1.3%331.4K-17.6M-65.7K0.2713.861,43639195,75318,717
2021-10-21$3.93$3.5089.6%25.7%81.7%23.6%92.0%-9.6%-9.8%304.2K-15.0M-62.3K0.1115.243,20136095,46118,781
2021-10-22$3.92$3.5091.2%26.1%82.1%24.1%87.7%0.4%-6.7%302.6K-14.5M-59.5K0.2415.051,84043995,64018,787
2021-10-25$3.95$3.5093.3%26.7%76.9%24.8%91.5%8.6%-3.8%308.6K-14.6M-58.3K0.2714.651,32835695,95518,788
2021-10-26$3.91$3.5095.4%27.3%76.7%25.5%96.3%-5.1%-6.5%298.6K-14.8M-59.4K0.4016.0786934495,90518,831
2021-10-27$3.78$3.5096.9%27.8%78.6%25.9%96.0%-5.0%-5.0%273.5K-12.8M-55.1K0.3515.431,26344396,04118,819
2021-10-28$3.79$3.5099.1%28.4%78.5%26.6%95.3%-0.1%-6.2%279.9K-12.6M-54.4K0.4217.3793538996,06018,783
2021-10-29$3.78$3.50101.2%29.0%78.7%27.3%105.6%4.0%-15.7%275.1K-12.3M-52.4K0.8517.696,3125,36395,80618,825