REI Options History — March 2023

In March 2023, REI traded between $1.69 and $2.31. ATM implied volatility averaged 68.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 9.4% (HV 20d: 59.1%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.19.

Notable Days

  • 2023-03-28: Highest Volume — 30,253 contracts
  • 2023-03-13: Largest IV spike — 114.2% change
  • 2023-03-09: Highest IV Rank — 49.0%
  • 2023-03-16: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.93$1.69$2.31$2.13$1.88
Max Pain$2.02$2.00$2.50$2.00$2.00
ATM IV68.5%43.0%95.6%73.5%58.1%
Expected Move19.2%15.3%22.4%21.1%16.7%
HV 20d59.1%48.8%66.5%53.2%57.6%
HV 60d53.8%51.3%57.5%52.2%51.3%
IV Rank25.7%3.7%49.0%30.0%16.7%
IV Percentile19.8%1.2%66.7%18.7%6.0%
Term Structure4.8%-12.9%23.6%-12.5%1.0%
VWIV70.1%56.5%102.4%59.4%59.5%
Skew 25d2.0%-24.4%25.0%25.0%-4.8%
Skew 10d26.2%-50.3%142.6%22.1%-1.1%
Call IV 25d62.6%36.1%84.9%50.9%60.8%
Put IV 25d64.6%41.5%92.4%75.9%56.0%
Bid-Ask Spread %64.8014.3092.8316.0564.04
Gamma HHI0.340.220.520.420.28
Net GEX46.0K10.7K110.2K76.1K43.1K
Net DEX-916.0K-3.1M111.2K-1.6M-968.6K
Net VEX-20.6K-30.8K-15.1K-22.2K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.000.990.050.02
Total Volume2,776.65222630,25334910,888
Total OI68,219.78340,38283,47676,61676,280

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$2.13$2.0073.5%21.1%53.2%30.0%59.4%25.0%-12.5%76.1K-1.6M-22.2K0.0516.053321763,42613,190
2023-03-02$2.24$2.0060.6%17.4%56.7%18.8%74.3%0.7%-4.7%94.4K-2.5M-24.5K0.0914.839338163,56713,205
2023-03-03$2.31$2.0076.2%21.8%56.4%32.3%75.3%-18.3%-12.9%110.2K-3.1M-25.1K0.1714.3074312464,39813,244
2023-03-06$2.20$2.0043.0%18.3%59.2%3.7%70.5%20.1%9.9%71.2K-1.9M-22.0K0.0090.08847464,90113,357
2023-03-07$2.10$2.0070.0%20.3%61.1%26.9%69.4%20.2%8.6%77.6K-1.6M-21.8K0.1181.5897011165,54113,377
2023-03-08$2.06$2.0084.7%18.9%59.2%39.7%66.1%7.5%10.2%70.9K-1.4M-21.8K0.0692.834082465,98713,477
2023-03-09$1.98$2.0095.6%19.5%60.3%49.0%80.5%-16.5%11.7%57.2K-902.7K-20.0K0.3077.0359317966,33713,496
2023-03-10$1.92$2.0043.9%20.2%59.3%4.5%77.6%-20.5%6.6%52.6K-412.2K-18.5K0.1575.822,10431966,93413,536
2023-03-13$1.90$2.0094.0%20.8%48.8%47.7%72.7%14.3%-1.6%55.5K-489.1K-17.8K0.0684.181,5818768,51312,631
2023-03-14$1.92$2.0085.1%19.7%49.0%40.0%56.5%16.7%2.9%58.5K-756.9K-18.7K0.7776.8986866669,69212,714
2023-03-15$1.73$2.5059.9%17.2%59.2%18.3%102.4%-24.4%-1.5%12.9K25.0K-16.1K0.9082.5150545670,17313,303
2023-03-16$1.73$2.0078.0%22.4%59.4%33.9%81.9%5.4%0.0%12.9K-112.5K-16.2K0.2679.273629570,37812,699
2023-03-17$1.69$2.0053.2%15.3%59.4%12.5%60.0%10.3%23.6%10.7K111.2K-15.1K0.0386.329442770,52412,614
2023-03-20$1.77$2.0072.5%20.8%62.0%29.2%73.3%-11.0%-8.3%14.4K-151.9K-16.1K0.0016.361,752228,48911,893
2023-03-21$1.88$2.0063.5%18.2%66.5%21.3%63.6%8.9%7.8%22.1K-424.0K-17.6K0.0125.87593529,78011,894
2023-03-22$1.85$2.0055.5%15.9%64.6%14.5%57.2%6.0%14.9%22.9K-520.9K-17.6K0.0580.847564029,98911,891
2023-03-23$1.83$2.0075.5%21.6%61.0%31.7%75.6%1.9%14.5%20.4K-374.9K-17.0K0.0182.573,2972830,06011,927
2023-03-24$1.81$2.0068.1%19.5%60.9%25.3%67.4%-0.8%16.3%26.6K-491.3K-17.6K0.0769.238126032,07911,939
2023-03-27$1.88$2.0070.7%20.3%62.6%27.6%70.9%9.9%4.4%32.5K-753.8K-18.7K0.0471.887873232,84711,992
2023-03-28$1.87$2.0063.9%18.3%62.5%21.7%64.5%-5.3%6.9%35.1K-827.2K-18.8K0.9978.4415,22515,02833,57612,000
2023-03-29$1.87$2.0065.3%18.7%62.5%22.9%65.9%-5.5%2.2%42.1K-991.8K-30.8K0.0069.86226048,54527,028
2023-03-30$1.85$2.0064.8%18.6%58.8%22.5%67.0%7.0%5.6%38.6K-917.9K-30.4K0.2359.5977317948,60527,027
2023-03-31$1.88$2.0058.1%16.7%57.6%16.7%59.5%-4.8%1.0%43.1K-968.6K-30.1K0.0264.0410,72216649,16127,119