REI Options History — November 2021

In November 2021, REI traded between $2.38 and $3.97. ATM implied volatility averaged 89.9%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 32.2% (HV 20d: 57.8%). 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 14 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2021-11-12: Highest Volume — 13,465 contracts
  • 2021-11-30: Largest IV spike — 51.1% change
  • 2021-11-08: Highest IV Rank — 32.7%
  • 2021-11-30: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.24$2.38$3.97$3.81$2.38
Max Pain$3.07$3.00$3.50$3.50$3.00
ATM IV89.9%73.0%118.3%105.9%117.5%
Expected Move25.0%20.9%33.7%30.3%33.7%
HV 20d57.8%34.4%82.1%52.6%82.1%
HV 60d71.2%68.5%76.0%72.9%76.0%
IV Rank23.7%18.4%32.7%28.8%32.5%
IV Percentile23.5%2.0%65.1%51.2%65.1%
Term Structure1.5%-24.0%20.4%-15.6%-24.0%
VWIV87.0%71.9%120.5%97.4%120.5%
Skew 25d-5.8%-18.1%22.2%-6.3%-6.4%
Skew 10d6.5%-53.0%83.0%21.3%27.5%
Call IV 25d89.7%65.2%121.1%105.1%121.1%
Put IV 25d83.9%67.9%114.7%98.7%114.7%
Bid-Ask Spread %25.2912.4142.2819.2715.84
Gamma HHI0.250.190.310.260.25
Net GEX184.8K40.7K347.5K290.3K40.7K
Net DEX-6.8M-14.0M-808.8K-12.9M-808.8K
Net VEX-31.5K-49.7K-13.8K-49.7K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.085.800.395.80
Total Volume3,063.6191,25413,4651,7187,652
Total OI108,366.286104,863116,883105,475107,021

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$3.81$3.50105.9%30.3%52.6%28.8%97.4%-6.3%-15.6%290.3K-12.9M-49.7K0.3919.271,24047891,12614,349
2021-11-02$3.72$3.50100.1%28.7%53.4%27.0%96.6%-18.1%-14.7%284.3K-12.0M-47.6K0.6525.1876149391,26614,363
2021-11-03$3.75$3.5092.8%26.6%49.5%24.6%96.7%-16.4%-2.8%293.4K-11.7M-46.6K0.5324.4096951191,26714,344
2021-11-04$3.70$3.0095.4%25.2%34.6%25.5%88.5%-4.5%-0.3%277.3K-11.2M-45.6K0.5020.781,26463691,16514,357
2021-11-05$3.81$3.0099.1%25.5%34.4%26.6%88.9%-0.8%-0.5%301.7K-12.0M-47.3K0.5220.011,13759390,98314,410
2021-11-08$3.88$3.00118.3%25.8%35.0%32.7%90.3%-4.4%0.9%322.8K-13.9M-47.1K0.2936.892,10261791,40214,521
2021-11-09$3.97$3.00104.3%26.6%34.6%28.3%92.3%2.2%-7.1%347.5K-14.0M-46.9K0.4433.521,20953091,44914,555
2021-11-10$3.50$3.0081.8%23.5%57.2%21.2%89.1%-9.0%3.0%236.4K-8.5M-38.0K0.1129.374,74350491,53114,637
2021-11-11$3.44$3.0080.6%23.1%57.3%20.8%78.1%-0.1%3.4%223.9K-7.5M-34.5K0.2327.522,03146892,27714,670
2021-11-12$3.13$3.0081.3%23.3%65.2%21.0%78.5%2.5%3.3%132.8K-4.0M-26.1K0.0812.4112,50396292,33214,667
2021-11-15$3.18$3.0083.8%24.0%64.3%21.8%85.5%-12.6%2.9%187.8K-5.7M-30.1K0.3928.421,503587101,68114,829
2021-11-16$3.15$3.0075.2%21.6%64.3%19.1%74.7%-1.2%9.7%161.4K-5.0M-27.5K2.6130.201,3283,468101,86114,747
2021-11-17$2.99$3.0073.0%20.9%62.0%18.4%71.9%-12.4%20.4%137.2K-3.8M-24.5K0.5932.32951562102,13214,751
2021-11-18$2.92$3.0089.7%25.7%61.2%23.7%90.0%-17.5%0.1%137.4K-4.0M-25.4K1.8416.221,4412,649102,11113,441
2021-11-19$2.76$3.0085.6%24.5%62.7%22.4%82.8%-12.4%4.5%88.0K-2.6M-20.7K0.7416.58760559102,78212,009
2021-11-22$2.81$3.0083.4%23.9%63.4%21.7%83.4%-18.0%8.1%94.1K-3.0M-20.1K0.6214.1593357593,73411,129
2021-11-23$2.87$3.0081.3%23.3%64.8%21.0%81.4%-10.3%5.4%93.6K-2.9M-19.6K0.3230.711,71254193,86811,269
2021-11-24$2.97$3.0075.1%21.5%66.7%19.0%77.5%1.5%12.1%105.1K-3.4M-20.0K0.2623.051,47639094,42411,311
2021-11-26$2.68$3.0086.3%24.7%73.7%22.6%84.2%-0.2%4.6%65.0K-1.9M-17.2K0.3031.861,71851694,79811,328
2021-11-29$2.69$3.0077.7%22.3%73.9%19.9%78.8%22.2%18.3%59.1K-1.7M-14.2K0.4942.2884641895,40711,388
2021-11-30$2.38$3.00117.5%33.7%82.1%32.5%120.5%-6.4%-24.0%40.7K-808.8K-13.8K5.8015.841,1256,52795,62711,394