REI Options History — May 2023

In May 2023, REI traded between $1.67 and $1.94. ATM implied volatility averaged 57.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 11.3% (HV 20d: 68.5%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2023-05-01: Highest Volume — 20,656 contracts
  • 2023-05-18: Largest IV spike — 55.8% change
  • 2023-05-25: Highest IV Rank — 33.3%
  • 2023-05-25: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.79$1.67$1.94$1.83$1.71
Max Pain$1.57$1.50$2.00$2.00$1.50
ATM IV57.2%41.2%77.3%47.7%56.6%
Expected Move16.3%11.8%22.2%13.7%16.2%
HV 20d68.5%60.9%78.9%78.9%60.9%
HV 60d66.9%64.5%68.6%64.5%66.0%
IV Rank16.0%2.2%33.3%7.8%15.4%
IV Percentile14.2%0.8%46.4%4.0%13.1%
Term Structure2.3%-28.5%30.0%15.0%3.8%
VWIV60.5%43.5%89.1%44.8%59.1%
Skew 25d5.1%-21.8%91.2%3.3%-2.6%
Skew 10d19.7%-4.4%132.9%-4.4%2.1%
Call IV 25d52.6%32.5%72.6%49.9%52.3%
Put IV 25d57.7%42.8%144.2%53.2%49.7%
Bid-Ask Spread %24.3012.5563.5554.9913.40
Gamma HHI0.370.300.470.380.33
Net GEX71.6K8.9K152.9K87.9K8.9K
Net DEX-2.3M-5.3M-780.0K-1.7M-1.2M
Net VEX-29.1K-36.8K-22.8K-28.7K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.004.840.950.23
Total Volume3,844.5915120,65620,656192
Total OI113,789.81891,273124,47291,273106,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$1.83$2.0047.7%13.7%78.9%7.8%44.8%3.3%15.0%87.9K-1.7M-28.7K0.9554.9910,59910,05765,81725,456
2023-05-02$1.73$2.0068.8%19.7%65.5%26.0%0.0%3.9%-12.6%66.0K-1.5M-31.8K0.0163.5511,1708375,85335,512
2023-05-03$1.67$2.0066.6%19.1%65.4%24.1%89.1%-13.2%-11.1%75.0K-2.0M-31.6K0.0757.868405786,55435,562
2023-05-04$1.77$1.5048.6%16.5%68.1%8.6%63.9%-4.2%1.5%110.6K-3.5M-33.2K0.7022.8272650687,16535,637
2023-05-05$1.92$1.5070.2%17.3%74.2%27.1%81.9%10.6%2.9%152.9K-5.3M-36.8K0.0122.1911,82913187,74635,794
2023-05-08$1.83$1.5050.3%16.7%74.2%10.0%68.9%-0.8%3.6%121.4K-2.6M-31.7K0.0513.013421681,57735,898
2023-05-09$1.73$1.5068.9%14.9%76.1%26.0%65.0%-21.8%7.3%77.1K-1.4M-29.9K0.0012.934,804881,72135,881
2023-05-10$1.67$1.5056.8%16.3%76.5%15.6%50.6%-2.5%-7.5%46.3K-842.7K-28.8K0.0315.424051177,73335,764
2023-05-11$1.67$1.5050.7%14.5%70.6%10.4%50.6%-6.0%11.3%45.9K-780.0K-27.8K4.8412.55199277,98435,734
2023-05-12$1.73$1.5054.3%15.6%69.1%13.5%46.7%3.8%-7.0%68.5K-1.4M-28.9K0.0013.56204177,99935,822
2023-05-15$1.77$1.5046.5%13.3%69.3%6.7%43.5%10.6%15.4%74.5K-1.5M-28.0K0.0217.55101278,02035,821
2023-05-16$1.73$1.5065.7%18.8%69.3%23.2%65.7%2.0%-10.8%52.3K-1.4M-28.4K0.9515.785,2465,00178,04435,822
2023-05-17$1.77$1.5041.2%11.8%69.9%2.2%48.2%10.4%30.0%78.0K-2.2M-27.2K0.0046.04805183,26140,486
2023-05-18$1.81$1.5064.2%18.4%68.7%21.9%71.9%-8.6%-28.5%68.7K-2.6M-30.6K0.0435.242371083,87140,480
2023-05-19$1.81$1.5057.9%16.6%68.1%16.6%63.7%1.7%-9.1%90.8K-3.3M-29.8K0.0218.87197384,00240,470
2023-05-22$1.90$1.5058.2%16.7%67.4%16.8%58.2%10.8%0.6%117.1K-4.0M-30.3K0.0015.0111,616278,67840,311
2023-05-23$1.94$1.5053.5%15.3%62.6%12.8%53.8%91.2%6.7%86.2K-3.8M-27.6K0.0018.427,641368,17140,316
2023-05-24$1.92$1.5054.8%15.7%62.0%13.9%55.0%13.5%8.9%60.1K-3.3M-27.4K0.0218.6550164,59340,357
2023-05-25$1.83$1.5077.3%22.2%63.9%33.3%76.4%-16.0%-14.8%32.2K-2.2M-27.0K0.4115.1150320664,82340,358
2023-05-26$1.79$1.5050.3%14.4%63.3%10.0%50.7%13.3%16.1%32.4K-2.1M-25.6K0.0418.764652065,26640,493
2023-05-30$1.75$1.5050.2%14.4%63.6%9.9%63.7%12.0%28.7%22.7K-1.6M-25.8K0.1212.873394065,69240,484
2023-05-31$1.71$1.5056.6%16.2%60.9%15.4%59.1%-2.6%3.8%8.9K-1.2M-22.8K0.2313.401563665,85640,492