REI Options History — January 2022

In January 2022, REI traded between $2.51 and $2.89. ATM implied volatility averaged 80.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 3.4% (HV 20d: 76.8%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2022-01-12: Highest Volume — 24,215 contracts
  • 2022-01-10: Largest IV spike — 37.0% change
  • 2022-01-03: Highest IV Rank — 20.6%
  • 2022-01-24: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.68$2.51$2.89$2.64$2.51
Max Pain$2.42$2.00$2.50$2.50$2.50
ATM IV80.2%65.0%93.8%80.0%84.3%
Expected Move23.6%20.1%26.9%22.9%24.2%
HV 20d76.8%72.3%83.1%72.5%81.6%
HV 60d72.8%68.8%75.8%68.8%75.7%
IV Rank11.2%2.1%20.6%20.6%9.9%
IV Percentile17.3%0.8%47.2%9.5%21.4%
Term Structure9.7%-4.4%20.8%-4.4%8.7%
VWIV83.4%71.8%92.4%79.2%87.4%
Skew 25d-2.6%-28.4%34.5%29.6%-26.5%
Skew 10d18.2%-25.1%146.7%146.7%-18.4%
Call IV 25d80.8%50.1%96.0%50.1%96.0%
Put IV 25d78.2%63.8%106.6%79.7%69.5%
Bid-Ask Spread %30.5318.5653.7319.8738.52
Gamma HHI0.300.200.440.340.29
Net GEX101.2K49.8K155.9K55.4K130.2K
Net DEX-3.4M-5.4M-1.6M-1.6M-2.8M
Net VEX-24.0K-33.9K-9.1K-9.1K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.014.160.272.14
Total Volume6,362.21,38524,2151,5039,487
Total OI69,181.4532,099101,48632,099101,486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$2.64$2.5080.0%22.9%72.5%20.6%79.2%29.6%-4.4%55.4K-1.6M-9.1K0.2719.871,18731629,3672,732
2022-01-04$2.73$2.5072.1%20.7%72.9%18.1%71.8%14.1%20.8%49.8K-2.0M-10.4K0.2330.591,12426130,1772,763
2022-01-05$2.61$2.5070.0%20.1%72.3%17.4%82.3%-9.7%20.6%52.6K-2.1M-11.0K0.0524.295,26627130,6162,776
2022-01-06$2.80$2.5068.5%24.4%76.0%17.0%84.0%0.6%7.1%63.1K-2.6M-12.4K0.1833.111,56328234,2972,768
2022-01-07$2.76$2.5066.4%24.7%73.2%16.3%81.6%-7.4%0.7%64.8K-2.7M-13.3K0.1028.662,68926534,6432,758
2022-01-10$2.66$2.5091.0%23.8%74.8%11.7%86.1%-19.9%14.8%60.6K-2.5M-13.5K0.0445.786,33523735,0492,751
2022-01-11$2.89$2.0065.0%22.5%74.7%2.1%79.1%12.4%6.2%83.2K-3.7M-17.4K0.8031.0612,82310,26740,2762,753
2022-01-12$2.82$2.0075.5%21.6%74.6%6.0%75.3%0.1%17.9%83.0K-3.6M-26.0K0.0136.7823,96624950,69112,760
2022-01-13$2.72$2.0070.5%20.2%76.5%4.2%79.0%-13.9%16.4%140.0K-5.2M-33.9K0.1419.231,77925773,30412,741
2022-01-14$2.81$2.5084.7%24.3%76.2%9.4%85.7%2.3%5.0%155.9K-5.4M-33.6K0.2318.971,55135573,32812,752
2022-01-18$2.75$2.5085.9%24.6%77.2%9.8%86.9%4.0%10.6%146.0K-4.8M-32.3K0.1932.821,89836973,44912,870
2022-01-19$2.73$2.5082.9%23.8%76.7%8.7%82.4%-13.3%5.5%109.6K-4.7M-31.5K0.0725.481,79513273,95812,860
2022-01-20$2.64$2.5079.1%22.7%76.3%7.3%81.0%-17.7%10.4%133.1K-4.3M-30.2K0.0950.442,32921674,22712,863
2022-01-21$2.51$2.5090.5%25.9%77.8%11.5%89.0%-17.6%0.5%107.5K-2.7M-26.2K0.1718.562,22638275,04112,909
2022-01-24$2.58$2.5093.8%26.9%78.1%12.8%84.9%34.5%4.0%91.5K-2.9M-27.1K0.1328.942,97139469,59712,452
2022-01-25$2.75$2.5087.3%25.0%80.2%10.4%84.2%18.9%10.5%116.3K-4.3M-31.0K0.1253.733,42442470,04112,539
2022-01-26$2.70$2.5086.1%24.7%79.7%9.9%88.0%7.3%12.4%117.7K-4.1M-29.8K0.0326.6013,69134871,00012,632
2022-01-27$2.54$2.5086.1%24.7%83.1%10.6%87.3%-22.2%10.6%138.6K-3.5M-28.5K4.1625.421,5246,34582,52712,653
2022-01-28$2.51$2.5083.6%24.0%81.6%9.6%92.4%-28.4%16.5%125.8K-2.7M-31.5K3.5721.801,8056,44182,55318,670
2022-01-31$2.51$2.5084.3%24.2%81.6%9.9%87.4%-26.5%8.7%130.2K-2.8M-30.9K2.1438.523,0226,46582,71618,770