REI Options History — August 2022

In August 2022, REI traded between $2.58 and $3.30. ATM implied volatility averaged 94.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 27.0%. IV traded above realized volatility by 20.2% (HV 20d: 74.7%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2022-08-23: Highest Volume — 29,694 contracts
  • 2022-08-09: Largest IV drop — 12.3% change
  • 2022-08-02: Highest IV Rank — 59.8%
  • 2022-08-02: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.94$2.58$3.30$2.75$3.26
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV94.9%80.2%110.3%109.0%86.8%
Expected Move27.0%23.0%31.6%31.3%24.9%
HV 20d74.7%67.4%81.2%79.0%70.3%
HV 60d79.3%77.1%83.3%82.9%78.7%
IV Rank39.6%20.1%59.8%58.2%28.8%
IV Percentile47.5%9.5%84.9%82.5%23.8%
Term Structure-0.1%-14.1%14.1%-3.0%0.6%
VWIV91.4%80.0%106.6%105.2%89.7%
Skew 25d11.1%-5.3%38.0%22.0%37.4%
Skew 10d49.4%2.7%104.4%26.4%74.3%
Call IV 25d86.1%60.2%115.5%101.9%60.7%
Put IV 25d97.2%73.5%125.1%123.9%98.1%
Bid-Ask Spread %41.9616.6177.6937.9819.70
Gamma HHI0.200.160.220.210.16
Net GEX96.3K64.3K127.0K83.7K111.5K
Net DEX-4.4M-7.2M-2.6M-3.3M-6.5M
Net VEX-41.4K-56.8K-34.4K-37.5K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.032.510.122.51
Total Volume3,309.8736129,6945,7854,775
Total OI121,478.13108,758140,748108,758140,511

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$2.75$3.00109.0%31.3%79.0%58.2%105.2%22.0%-3.0%83.7K-3.3M-37.5K0.1237.985,18560093,35015,408
2022-08-02$2.79$3.00110.3%31.6%77.6%59.8%106.6%3.5%-14.1%94.0K-3.5M-38.6K0.1927.283,52466497,08515,404
2022-08-03$2.68$3.00109.0%31.2%72.7%58.1%93.4%9.6%-11.4%78.1K-2.7M-35.0K0.2629.582,43764597,92715,520
2022-08-04$2.58$3.00106.7%28.9%68.6%55.2%100.3%3.9%-6.8%72.9K-2.6M-34.4K0.2171.772,87160698,00615,526
2022-08-05$2.88$3.0096.4%27.1%78.9%41.5%93.2%6.8%2.3%108.3K-4.4M-40.1K0.5170.191,70186898,66915,561
2022-08-08$2.89$3.00108.1%28.9%78.3%57.0%86.1%14.8%-11.1%102.0K-4.3M-39.3K0.4948.851,62379199,33615,664
2022-08-09$2.72$3.0094.8%25.6%80.2%39.5%99.1%-4.7%3.0%89.5K-3.1M-35.6K0.0542.881,1725999,00415,708
2022-08-10$2.75$3.0097.9%28.1%80.1%43.5%83.3%3.4%-5.3%87.2K-3.0M-35.7K0.0654.496794099,95115,688
2022-08-11$2.90$3.0094.6%27.1%79.7%39.1%93.6%1.2%3.4%109.6K-4.4M-38.8K0.1355.861,157150100,02215,726
2022-08-12$2.96$3.0098.9%28.4%79.7%44.8%101.2%38.0%-6.6%110.3K-4.3M-37.1K0.0627.371,30374100,39515,739
2022-08-15$2.84$3.0089.0%25.5%81.2%31.7%80.0%13.4%6.5%99.0K-3.7M-36.1K0.3777.69632236101,50715,798
2022-08-16$2.80$3.0098.6%28.3%78.7%44.4%94.1%-2.2%-5.1%103.8K-3.6M-35.7K0.2533.881,189300101,71815,809
2022-08-17$2.82$3.0096.0%27.5%78.7%41.1%90.0%-3.5%-2.0%106.5K-3.8M-36.2K0.2144.811,406300101,94715,700
2022-08-18$3.00$3.0092.9%26.6%75.1%37.0%94.1%19.3%-0.1%121.2K-4.8M-36.6K0.2236.82732161102,91615,766
2022-08-19$2.93$3.0087.6%25.1%74.5%29.9%87.5%3.5%4.1%64.3K-3.7M-34.9K0.0358.462,13473103,36215,770
2022-08-22$2.89$3.0096.0%27.5%68.9%41.0%95.0%5.3%-4.3%69.3K-3.5M-34.5K0.3543.951,13439496,46514,131
2022-08-23$3.03$3.0085.3%24.4%69.0%26.8%83.9%20.5%11.6%76.0K-4.5M-37.1K0.8128.6216,42913,26596,82914,505
2022-08-24$3.22$3.0084.8%24.3%70.0%26.2%84.3%19.1%14.1%101.7K-5.8M-55.3K0.0916.612,165204112,10927,386
2022-08-25$3.23$3.0089.4%25.6%69.9%32.3%83.8%18.0%2.8%114.0K-6.5M-56.8K0.0432.651,25354113,07027,430
2022-08-26$3.20$3.0080.2%23.0%67.8%20.1%83.9%13.0%9.5%101.3K-6.2M-55.8K0.0333.1535011112,97227,443
2022-08-29$3.30$3.0087.9%25.2%67.4%30.4%86.8%18.9%5.5%127.0K-7.2M-56.0K0.0521.701,58283112,96327,453
2022-08-30$3.12$3.0082.9%23.8%71.2%23.7%86.2%-5.3%5.3%83.3K-5.0M-50.7K0.0350.891,08531113,26727,481
2022-08-31$3.26$3.0086.8%24.9%70.3%28.8%89.7%37.4%0.6%111.5K-6.5M-53.8K2.5119.701,3613,414113,02827,483