REI Options History — July 2022

In July 2022, REI traded between $2.34 and $2.81. ATM implied volatility averaged 99.4%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 28.3%. IV traded above realized volatility by 17.5% (HV 20d: 81.9%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2022-07-15: Highest Volume — 11,822 contracts
  • 2022-07-12: Largest IV spike — 23.4% change
  • 2022-07-12: Highest IV Rank — 89.8%
  • 2022-07-12: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.53$2.34$2.81$2.65$2.81
Max Pain$3.20$3.00$4.00$4.00$3.00
ATM IV99.4%88.0%132.9%88.0%95.0%
Expected Move28.3%25.2%31.8%25.2%27.2%
HV 20d81.9%75.0%87.0%76.2%78.5%
HV 60d82.2%79.2%85.0%81.6%83.9%
IV Rank45.5%30.6%89.8%30.6%39.7%
IV Percentile59.9%31.7%99.6%31.7%52.0%
Term Structure-1.8%-16.9%18.8%18.8%4.0%
VWIV94.1%81.2%104.2%81.2%98.3%
Skew 25d16.8%-2.3%54.3%-1.5%3.2%
Skew 10d31.2%-43.1%78.1%-43.1%78.1%
Call IV 25d91.2%69.3%104.9%95.2%99.9%
Put IV 25d108.0%90.9%123.5%93.7%103.1%
Bid-Ask Spread %48.1815.6863.0615.6823.35
Gamma HHI0.220.200.260.260.22
Net GEX58.8K40.3K81.4K67.2K81.4K
Net DEX-1.4M-3.4M-17.1K-1.5M-3.4M
Net VEX-32.2K-37.9K-25.5K-37.4K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.051.150.900.12
Total Volume3,608.051,41211,8222,3985,330
Total OI109,045.25100,377123,716112,811105,453

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$2.65$4.0088.0%25.2%76.2%30.6%81.2%-1.5%18.8%67.2K-1.5M-37.4K0.9015.681,2641,13495,15417,657
2022-07-05$2.55$3.5097.1%29.5%75.0%42.6%101.3%21.8%-8.8%53.3K-529.9K-30.9K0.8339.981,6681,39295,26817,326
2022-07-06$2.35$3.50107.3%28.9%77.0%56.0%104.2%7.3%15.6%50.0K-275.7K-27.6K1.1545.661,3781,58195,58317,475
2022-07-07$2.55$3.5091.7%29.1%83.4%35.4%86.8%0.8%-3.9%60.3K-1.0M-32.0K0.5460.841,37873895,74416,867
2022-07-08$2.55$3.5088.2%28.3%83.8%30.8%95.2%12.3%-4.6%65.8K-1.6M-34.6K0.3450.601,51651096,38816,900
2022-07-11$2.50$3.00107.7%27.7%83.7%56.5%87.1%18.0%0.2%59.2K-899.4K-30.0K0.5846.5397156696,61616,858
2022-07-12$2.40$3.00132.9%31.8%83.3%89.8%98.7%24.6%-16.9%53.4K-637.3K-28.3K0.4945.331,19758696,93216,537
2022-07-13$2.44$3.00104.1%29.9%83.7%51.7%92.5%4.7%-13.3%61.6K-955.3K-29.6K0.7162.821,06875797,50316,690
2022-07-14$2.34$3.50102.0%29.2%83.1%49.0%93.8%15.2%-11.1%40.3K-17.1K-25.5K0.0659.8210,59665497,52316,931
2022-07-15$2.38$3.5099.4%28.5%84.4%45.5%89.4%46.7%17.9%50.0K-798.3K-31.1K0.0553.2211,229593107,04616,670
2022-07-18$2.47$3.00102.8%29.5%87.0%50.0%100.6%1.8%-10.4%59.4K-1.6M-31.1K0.2561.223,19580285,66314,714
2022-07-19$2.63$3.00103.7%29.7%85.1%51.2%98.8%7.1%-16.0%61.5K-2.2M-35.6K0.3436.761,99967986,77514,959
2022-07-20$2.66$3.0095.9%27.5%85.0%40.8%93.3%8.5%7.1%66.1K-2.4M-35.7K0.1755.433,70864986,99314,806
2022-07-21$2.46$3.0089.8%25.7%80.7%32.8%91.3%9.8%0.9%53.7K-1.5M-31.2K0.1659.124,17067988,86714,878
2022-07-22$2.38$3.0091.8%26.3%77.0%35.4%91.1%-2.3%5.3%49.8K-1.1M-29.9K0.3845.801,70965389,54914,992
2022-07-25$2.60$3.0092.8%26.6%84.7%36.8%91.4%29.0%3.2%63.4K-2.0M-35.1K0.8553.4676364989,73115,058
2022-07-26$2.52$3.0097.5%27.9%82.1%42.9%96.3%32.7%-5.6%59.7K-1.6M-31.9K0.5454.311,21366089,95215,066
2022-07-27$2.65$3.00100.1%28.7%84.8%46.4%94.9%54.3%-4.8%58.0K-1.8M-33.2K0.4430.621,45463789,65815,125
2022-07-28$2.65$3.00100.5%28.8%78.8%46.9%96.0%42.6%-13.3%61.9K-2.2M-35.0K0.4363.061,70872889,84115,157
2022-07-29$2.81$3.0095.0%27.2%78.5%39.7%98.3%3.2%4.0%81.4K-3.4M-37.9K0.1223.354,73959190,06715,386