REI Options History — June 2022

In June 2022, REI traded between $2.65 and $4.77. ATM implied volatility averaged 88.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 12.8% (HV 20d: 75.7%). Max pain ranged from $2.50 to $4.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2022-06-17: Highest Volume — 26,008 contracts
  • 2022-06-30: Largest IV drop — 12.8% change
  • 2022-06-29: Highest IV Rank — 39.5%
  • 2022-06-29: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.88$2.65$4.77$4.67$2.65
Max Pain$3.93$2.50$4.50$4.00$4.00
ATM IV88.4%82.6%94.8%92.1%82.6%
Expected Move25.4%23.7%27.2%26.4%23.7%
HV 20d75.7%62.6%91.8%91.8%75.8%
HV 60d76.4%71.9%81.7%76.9%81.7%
IV Rank31.1%23.5%39.5%36.0%23.5%
IV Percentile32.6%14.7%52.8%42.1%14.7%
Term Structure3.7%-9.4%27.4%-4.3%27.4%
VWIV90.2%82.7%97.9%91.6%82.7%
Skew 25d-2.1%-13.1%10.0%4.6%-10.9%
Skew 10d4.8%-35.5%48.2%-8.8%-35.5%
Call IV 25d92.3%81.1%104.6%94.4%102.9%
Put IV 25d90.2%78.5%101.9%99.0%92.0%
Bid-Ask Spread %49.8913.4977.9852.1834.18
Gamma HHI0.300.260.390.270.26
Net GEX406.0K67.3K727.9K598.6K67.3K
Net DEX-16.4M-32.5M-1.7M-30.9M-1.7M
Net VEX-66.6K-89.9K-38.1K-89.9K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.080.970.230.51
Total Volume5,4661,97926,0082,5763,681
Total OI129,313.524102,896146,862138,794112,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$4.67$4.0092.1%26.4%91.8%36.0%91.6%4.6%-4.3%598.6K-30.9M-89.9K0.2352.182,087489119,54819,246
2022-06-02$4.62$2.5087.6%25.3%89.6%30.0%91.8%-7.2%-0.3%611.3K-28.8M-88.7K0.1963.252,327453120,40519,303
2022-06-03$4.66$2.5091.8%25.4%89.5%35.6%91.3%2.4%1.0%617.5K-30.5M-88.6K0.0864.276,583540120,96119,433
2022-06-06$4.58$2.5090.6%24.8%89.6%34.1%87.5%-9.5%4.6%646.9K-28.9M-86.9K0.2540.923,128767123,42319,589
2022-06-07$4.77$2.5084.0%26.0%73.3%25.3%88.0%-2.5%-2.5%692.0K-32.5M-87.5K0.4762.633,6001,679123,14919,710
2022-06-08$4.72$4.5088.4%25.4%73.5%31.1%89.2%-6.5%0.7%718.7K-31.5M-86.3K0.9239.441,8051,669124,41920,789
2022-06-09$4.52$4.5086.5%24.8%75.4%28.6%86.8%2.2%2.9%727.9K-27.2M-82.8K0.4770.611,947911124,88920,815
2022-06-10$4.50$4.5090.3%25.9%63.2%33.5%88.3%5.7%-6.1%696.4K-25.8M-81.5K0.4650.611,938896125,14421,118
2022-06-13$4.20$4.5091.0%26.1%64.9%34.5%93.3%0.4%0.1%633.9K-20.5M-72.9K0.0977.9816,0901,413125,77421,088
2022-06-14$4.21$4.5087.7%25.1%62.6%30.2%89.1%7.2%1.4%541.0K-18.1M-70.3K0.5570.362,4371,347119,52821,067
2022-06-15$4.18$4.5086.9%24.9%62.6%29.1%89.5%0.9%2.9%549.7K-17.4M-68.4K0.5361.611,295684118,63621,196
2022-06-16$3.97$4.5086.7%24.9%62.8%28.8%87.3%-2.9%9.1%463.3K-13.1M-62.4K0.3875.172,7181,027118,58721,158
2022-06-17$3.54$4.5083.0%23.8%72.1%23.9%89.8%-13.1%7.5%197.1K-7.6M-51.0K0.9749.0813,21312,795118,90621,208
2022-06-21$3.59$4.5085.3%24.4%69.2%27.0%91.1%-0.8%6.7%174.8K-7.8M-62.1K0.2266.104,6091,02686,62816,268
2022-06-22$3.21$4.0088.5%25.4%76.2%31.2%87.8%-11.7%0.5%122.9K-5.0M-53.4K0.7613.971,6731,26989,05316,388
2022-06-23$2.96$4.0085.1%24.4%79.7%26.8%90.4%-0.5%12.6%86.5K-2.6M-43.1K0.7925.132,0051,58889,36616,759
2022-06-24$2.92$4.0092.5%26.5%78.1%36.4%89.8%-0.0%-9.4%88.6K-3.2M-44.7K0.3249.793,7081,19789,89117,417
2022-06-27$3.08$4.0087.6%25.1%82.0%30.1%97.9%10.0%11.7%104.4K-4.0M-48.7K0.4639.872,6191,21092,18017,710
2022-06-28$3.09$4.0094.3%27.0%76.5%38.9%97.7%-2.5%6.4%106.6K-4.3M-50.4K0.4726.951,98393993,42017,716
2022-06-29$2.82$4.0094.8%27.2%80.4%39.5%92.8%-9.8%4.1%81.2K-2.6M-42.0K0.3713.492,51792493,75217,784
2022-06-30$2.65$4.0082.6%23.7%75.8%23.5%82.7%-10.9%27.4%67.3K-1.7M-38.1K0.5134.182,4441,23794,37717,786