REI Options History — September 2022

In September 2022, REI traded between $2.19 and $3.03. ATM implied volatility averaged 88.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 22.7% (HV 20d: 65.5%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2022-09-20: Highest Volume — 12,345 contracts
  • 2022-09-12: Largest IV spike — 20.6% change
  • 2022-09-12: Highest IV Rank — 45.5%
  • 2022-09-26: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.70$2.19$3.03$2.98$2.33
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV88.1%76.3%99.4%87.7%79.2%
Expected Move25.1%22.7%27.4%25.2%22.7%
HV 20d65.5%59.1%77.1%77.1%60.4%
HV 60d75.5%69.1%80.1%79.9%69.1%
IV Rank30.6%15.0%45.5%30.1%18.9%
IV Percentile29.7%5.6%61.9%27.4%7.1%
Term Structure6.0%-12.2%18.3%1.4%18.3%
VWIV85.8%62.8%96.9%89.7%81.2%
Skew 25d18.4%-11.6%71.6%-11.6%39.2%
Skew 10d60.1%12.3%155.4%18.9%155.4%
Call IV 25d76.2%45.1%95.1%92.8%64.5%
Put IV 25d94.6%81.2%116.8%81.2%103.7%
Bid-Ask Spread %62.1839.6784.3643.0139.67
Gamma HHI0.200.160.320.170.17
Net GEX41.6K-25.1K85.3K64.2K53.6K
Net DEX-1.9M-4.0M199.4K-3.9M-874.0K
Net VEX-35.1K-48.0K-21.5K-48.0K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.030.970.130.17
Total Volume3,202.47635612,3454842,742
Total OI111,842.8170,036140,870140,60384,017

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$2.98$3.0087.7%25.2%77.1%30.1%89.7%-11.6%1.4%64.2K-3.9M-48.0K0.1343.0142856113,13527,468
2022-09-02$3.03$3.0084.4%24.2%67.0%25.7%74.9%29.7%5.2%63.6K-4.0M-47.6K0.9743.12181175113,17427,492
2022-09-06$2.98$3.0094.9%26.7%67.3%39.5%89.8%2.7%1.2%51.8K-3.4M-45.6K0.4964.76935462113,21827,652
2022-09-07$2.86$3.0088.8%23.6%65.3%31.6%87.0%-1.3%10.2%31.6K-1.6M-40.2K0.2374.813,329759113,19827,557
2022-09-08$2.85$3.0076.3%25.8%65.2%15.0%86.9%-6.3%2.1%19.7K-1.8M-39.9K0.2779.79763204112,22427,946
2022-09-09$3.00$3.0082.4%24.9%65.1%23.0%86.6%3.9%13.9%20.9K-2.9M-43.2K0.0872.7452941111,93428,004
2022-09-12$3.01$3.0099.4%24.9%64.7%45.5%87.1%-0.5%6.5%20.3K-2.8M-41.2K0.2480.6836989111,90528,044
2022-09-13$2.90$3.0096.2%25.5%64.3%41.2%89.6%-7.8%-0.5%9.0K-2.4M-39.9K0.1283.173,446400111,84828,101
2022-09-14$3.02$3.0088.5%25.4%65.5%31.2%89.6%-0.3%6.9%-8.6K-3.4M-41.4K0.1381.911,604209112,10827,640
2022-09-15$2.89$3.0091.1%26.1%67.7%34.5%91.5%9.9%1.8%-25.1K-1.4M-38.3K0.3584.36434152112,03327,683
2022-09-16$2.81$3.0084.8%24.3%64.4%26.2%83.2%21.9%10.9%57.2K199.4K-36.9K0.6454.431,5861,009112,04827,620
2022-09-19$2.80$3.0084.7%24.3%64.0%26.1%84.3%18.4%9.8%57.6K-2.5M-34.9K0.2954.7277022654,43215,604
2022-09-20$2.66$3.0084.9%24.3%66.2%26.4%78.8%34.4%8.3%44.0K-1.5M-29.0K0.0341.2711,94240354,99615,830
2022-09-21$2.60$3.0092.8%26.6%63.6%36.8%92.5%71.6%5.7%85.3K-2.5M-33.2K0.5657.7523413166,11416,210
2022-09-22$2.50$3.0080.1%23.0%59.1%20.0%77.8%22.6%13.3%79.9K-1.9M-32.0K0.0763.129076666,26116,341
2022-09-23$2.30$3.0094.8%27.2%63.8%39.4%62.8%38.2%-12.2%56.1K-1.0M-26.9K0.2854.281,36038666,83016,385
2022-09-26$2.19$3.0095.5%27.4%64.7%40.4%96.9%23.6%8.7%39.3K-7.0K-21.5K0.8366.744,1073,39866,53816,695
2022-09-27$2.21$3.0088.0%25.2%63.0%30.5%93.1%15.1%8.7%41.1K-33.8K-22.9K0.8545.283,9613,36266,57816,526
2022-09-28$2.38$3.0084.5%24.2%69.7%25.9%85.2%50.0%2.1%56.5K-608.3K-25.4K0.6758.005,0143,33566,79416,588
2022-09-29$2.35$3.0091.3%26.2%66.3%34.8%92.8%32.3%3.1%55.1K-571.0K-24.9K0.7562.274,4153,33367,33716,591
2022-09-30$2.33$3.0079.2%22.7%60.4%18.9%81.2%39.2%18.3%53.6K-874.0K-25.0K0.1739.672,33640667,42516,592