REI Options History — November 2022

In November 2022, REI traded between $2.66 and $3.24. ATM implied volatility averaged 82.4%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 26.4% (HV 20d: 56.0%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2022-11-02: Highest Volume — 16,736 contracts
  • 2022-11-09: Largest IV drop — 24.6% change
  • 2022-11-08: Highest IV Rank — 60.2%
  • 2022-11-02: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.98$2.66$3.24$3.17$2.70
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV82.4%68.3%110.5%88.9%75.6%
Expected Move22.9%19.6%26.1%25.5%21.7%
HV 20d56.0%41.3%64.4%49.0%62.8%
HV 60d64.6%61.8%67.4%64.3%63.2%
IV Rank23.0%4.3%60.2%31.6%14.1%
IV Percentile20.6%1.2%88.9%36.9%5.6%
Term Structure-2.2%-11.4%8.8%-11.4%-0.4%
VWIV81.5%74.8%90.7%80.3%75.8%
Skew 25d4.8%-22.7%75.3%0.1%2.4%
Skew 10d55.7%-21.2%155.6%16.9%25.7%
Call IV 25d81.2%69.9%95.4%95.4%72.4%
Put IV 25d86.0%60.0%156.3%95.6%74.8%
Bid-Ask Spread %62.4912.1684.6144.7015.89
Gamma HHI0.240.200.310.230.31
Net GEX114.4K58.1K173.7K161.2K94.0K
Net DEX-4.7M-8.0M-1.9M-6.9M-2.1M
Net VEX-39.4K-46.2K-29.1K-45.5K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.040.830.040.69
Total Volume5,465.1434116,73611,856345
Total OI112,714.476100,450125,405100,450125,405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$3.17$3.0088.9%25.5%49.0%31.6%80.3%0.1%-11.4%161.2K-6.9M-45.5K0.0444.7011,43741982,89017,560
2022-11-02$3.10$3.0091.0%26.1%44.7%34.4%90.7%75.3%-11.1%147.0K-6.3M-44.1K0.4760.5411,3935,34382,97017,621
2022-11-03$3.11$3.0089.4%23.8%44.4%32.3%84.9%0.5%-5.2%111.9K-5.6M-45.5K0.0770.326,12943482,95022,677
2022-11-04$3.19$3.0093.7%24.3%43.6%37.9%77.7%9.4%-9.7%127.9K-6.0M-45.0K0.1082.206,57263583,08322,616
2022-11-07$3.24$3.0094.5%23.4%41.4%39.0%84.8%16.3%2.9%146.4K-7.3M-46.2K0.0979.319,22482583,20722,579
2022-11-08$3.20$3.00110.5%23.8%41.3%60.2%87.1%8.0%-1.6%132.3K-6.2M-44.5K0.4882.801,42367684,84422,770
2022-11-09$2.90$3.0083.4%23.9%55.8%24.3%88.1%-10.9%-4.8%79.6K-3.1M-37.2K0.3477.311,84963285,08722,808
2022-11-10$3.16$3.0076.7%22.0%61.0%15.5%77.5%7.3%2.5%119.8K-5.4M-40.8K0.1984.612,83454685,33322,914
2022-11-11$3.19$3.0079.6%22.8%57.4%19.4%81.3%-2.3%-8.7%136.0K-6.8M-44.5K0.2582.052,54262987,54522,993
2022-11-14$3.10$3.0075.4%21.6%58.4%13.8%85.4%-1.5%0.2%105.5K-5.6M-41.0K0.0674.0210,84967988,71823,143
2022-11-15$3.15$3.0082.4%23.6%58.4%23.0%88.3%3.5%-4.7%173.7K-8.0M-44.9K0.3571.401,71060697,94123,259
2022-11-16$2.99$3.0076.7%22.0%61.1%15.5%74.8%16.7%8.2%75.0K-4.9M-40.9K0.0675.476,06737298,35323,377
2022-11-17$2.94$3.0078.6%22.5%61.4%18.0%80.3%-4.3%2.3%58.1K-4.0M-39.1K0.2973.512,09761298,81023,450
2022-11-18$2.92$3.0076.1%21.8%59.9%14.7%78.6%9.6%-5.1%122.0K-2.3M-36.6K0.8372.761,6001,32198,79823,548
2022-11-21$2.77$3.0078.5%22.5%62.6%17.9%80.6%6.2%0.6%98.0K-3.1M-33.4K0.1341.876,07678992,81616,230
2022-11-22$2.87$3.0077.5%22.2%64.1%16.5%77.2%-8.0%-3.3%130.9K-4.6M-38.3K0.4957.921,65480398,32416,808
2022-11-23$2.81$3.0083.2%23.8%61.5%24.0%82.6%-4.3%-5.6%116.6K-3.7M-35.8K0.2629.301,18130598,84717,306
2022-11-25$2.83$3.0068.3%19.6%61.7%4.3%78.9%-22.7%8.8%104.6K-3.6M-34.3K0.2868.4532998,95317,329
2022-11-28$2.67$3.0073.5%21.1%64.4%11.2%78.6%-3.3%-6.7%82.7K-1.9M-29.1K0.6712.1638025398,97117,534
2022-11-29$2.66$3.0077.0%22.1%62.2%15.8%77.3%1.9%7.0%78.3K-1.9M-29.7K0.1355.6911,9631,52398,90417,733
2022-11-30$2.70$3.0075.6%21.7%62.8%14.1%75.8%2.4%-0.4%94.0K-2.1M-31.1K0.6915.89204141106,16419,241