REI Options History — May 2022

In May 2022, REI traded between $3.85 and $5.01. ATM implied volatility averaged 100.2%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 17.0% (HV 20d: 83.2%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2022-05-06: Highest Volume — 20,226 contracts
  • 2022-05-11: Largest IV drop — 19.8% change
  • 2022-05-10: Highest IV Rank — 75.7%
  • 2022-05-02: Largest Expected Move — 31.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.38$3.85$5.01$4.51$4.41
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV100.2%85.7%122.2%109.8%94.4%
Expected Move27.8%24.6%31.5%31.5%27.1%
HV 20d83.2%65.8%91.4%65.8%91.4%
HV 60d75.1%66.7%80.0%69.7%77.5%
IV Rank46.7%27.5%75.7%59.4%39.0%
IV Percentile61.5%25.0%96.8%83.3%50.0%
Term Structure-3.2%-20.4%4.9%-9.2%-8.4%
VWIV97.0%85.3%115.5%115.5%96.4%
Skew 25d-3.3%-15.6%14.5%-1.1%-11.2%
Skew 10d4.9%-44.8%50.4%-13.1%-13.4%
Call IV 25d99.1%83.3%111.6%109.2%100.8%
Put IV 25d95.8%82.8%108.8%108.1%89.5%
Bid-Ask Spread %44.2917.7462.5224.2256.28
Gamma HHI0.240.180.270.220.26
Net GEX382.1K214.2K543.9K289.7K543.9K
Net DEX-22.7M-34.6M-10.4M-24.8M-25.4M
Net VEX-81.7K-95.3K-66.6K-93.7K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.034.212.750.26
Total Volume8,012.4292,20520,2264,5073,421
Total OI148,280.667114,031161,669151,379137,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$4.51$4.00109.8%31.5%65.8%59.4%115.5%-1.1%-9.2%289.7K-24.8M-93.7K2.7524.221,2023,305109,55541,824
2022-05-03$4.75$4.00107.9%30.9%67.8%56.9%109.5%-2.9%-8.9%317.2K-30.0M-93.0K4.0017.741,8617,436109,59742,125
2022-05-04$5.01$4.00108.8%31.2%68.1%58.0%104.0%-5.0%-20.4%427.6K-34.6M-84.1K2.0723.241,4452,996109,22343,681
2022-05-05$4.92$4.00102.4%27.5%68.9%49.6%99.3%0.9%0.6%339.1K-31.6M-95.3K2.0930.401,3242,770110,89343,487
2022-05-06$4.93$4.00106.3%26.8%69.0%54.7%93.5%-8.4%2.6%360.1K-33.9M-90.4K0.1543.9917,5162,710110,55643,539
2022-05-09$4.26$4.00120.8%28.7%88.7%73.9%99.2%-14.2%-2.8%306.2K-20.5M-87.2K0.6726.973,9312,639116,45343,675
2022-05-10$4.31$4.00122.2%27.6%84.7%75.7%93.9%-4.5%-1.7%318.7K-20.8M-86.5K0.5150.845,2252,651115,87143,681
2022-05-11$4.29$4.0098.0%28.1%84.3%43.7%92.8%-15.6%-0.9%338.4K-20.7M-83.8K0.3746.331,948724116,94243,751
2022-05-12$3.85$4.00101.3%29.0%86.3%48.1%98.8%2.1%0.8%214.2K-10.4M-74.6K4.2152.833,35114,107117,27943,888
2022-05-13$4.11$4.0099.7%28.6%89.4%46.0%100.4%-5.3%-4.1%361.6K-17.8M-78.0K0.1253.446,694807117,62237,414
2022-05-16$4.31$4.0098.3%28.2%90.9%44.1%99.6%2.4%-0.9%447.2K-23.1M-77.4K0.5162.521,650838120,36137,432
2022-05-17$4.32$4.0094.8%27.2%90.9%39.5%96.2%-11.7%-2.3%462.9K-22.9M-75.9K0.5935.671,385820120,47937,453
2022-05-18$4.11$4.00102.7%29.5%85.2%50.0%99.8%-5.4%-6.7%423.1K-16.9M-70.4K0.4338.881,597686120,54237,397
2022-05-19$4.29$4.00100.0%28.7%84.9%46.4%100.3%6.8%-10.0%440.5K-21.9M-72.7K0.0958.137,059632120,97537,369
2022-05-20$4.01$4.0099.3%28.5%87.6%45.4%99.2%-12.8%-1.6%302.8K-18.5M-66.6K0.1258.669,3331,113124,31437,355
2022-05-23$4.19$4.0089.1%25.5%88.7%32.0%91.2%5.0%4.9%361.1K-17.0M-68.4K0.0343.8113,91443295,46618,565
2022-05-24$4.18$4.0085.7%24.6%88.5%27.5%87.7%-6.1%2.4%392.0K-17.8M-79.3K0.0447.5212,349505106,85118,637
2022-05-25$4.29$4.0085.7%24.6%88.3%27.5%85.3%2.0%-1.2%432.4K-20.8M-83.1K0.0345.4412,744385107,64718,724
2022-05-26$4.30$4.0088.3%25.3%87.3%31.0%87.3%1.3%-1.6%449.4K-21.2M-82.8K0.2461.131,956474108,78518,769
2022-05-27$4.59$4.0088.9%25.5%90.3%31.7%87.9%14.5%2.8%496.8K-26.3M-87.1K0.0452.1011,815511109,38818,853
2022-05-31$4.41$4.0094.4%27.1%91.4%39.0%96.4%-11.2%-8.4%543.9K-25.4M-85.9K0.2656.282,709712118,50118,975