REI Options History — June 2023

In June 2023, REI traded between $1.71 and $1.94. ATM implied volatility averaged 55.6%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 8.8% (HV 20d: 46.8%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2023-06-20: Highest Volume — 6,734 contracts
  • 2023-06-12: Largest IV spike — 50.8% change
  • 2023-06-13: Highest IV Rank — 34.1%
  • 2023-06-26: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.80$1.71$1.94$1.75$1.73
Max Pain$1.40$1.00$1.50$1.50$1.50
ATM IV55.6%44.1%78.3%53.5%47.4%
Expected Move14.7%8.9%18.5%15.3%13.6%
HV 20d46.8%41.2%60.0%60.0%41.2%
HV 60d62.9%56.2%66.6%65.6%56.2%
IV Rank14.6%4.7%34.1%12.8%7.5%
IV Percentile16.4%2.8%52.8%10.3%6.3%
Term Structure6.3%-31.0%39.2%-12.4%9.9%
VWIV62.2%36.4%113.5%52.7%54.5%
Skew 25d1.8%-10.9%38.5%12.4%3.5%
Skew 10d5.0%-7.9%23.0%12.2%1.7%
Call IV 25d44.6%36.0%58.1%46.4%42.6%
Put IV 25d46.4%34.6%80.6%58.8%46.1%
Bid-Ask Spread %23.6313.0237.7213.0221.36
Gamma HHI0.340.310.380.310.32
Net GEX32.9K8.2K80.1K19.6K18.1K
Net DEX-1.7M-3.4M-408.8K-1.5M-907.5K
Net VEX-21.2K-25.1K-18.6K-25.1K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.003.050.030.00
Total Volume682.81316,734624133
Total OI86,176.71457,882106,371106,37161,862

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$1.75$1.5053.5%15.3%60.0%12.8%52.7%12.4%-12.4%19.6K-1.5M-25.1K0.0313.026042065,92940,442
2023-06-02$1.81$1.5052.8%15.1%57.6%12.2%71.6%38.5%15.2%40.4K-2.2M-24.2K0.0116.29158265,49540,462
2023-06-05$1.79$1.5058.3%14.6%49.3%16.8%57.5%-6.4%6.1%34.5K-1.8M-22.2K0.0422.2981365,51440,461
2023-06-06$1.88$1.5045.1%13.1%49.7%5.5%0.0%-0.3%6.2%73.3K-2.5M-23.4K0.1124.244424965,57040,462
2023-06-07$1.94$1.5063.4%16.9%45.8%21.3%58.9%1.3%5.3%73.0K-3.4M-24.8K0.0524.432241165,33040,464
2023-06-08$1.88$1.5050.3%15.5%45.4%10.0%54.9%7.6%7.5%80.1K-2.7M-23.0K0.0033.4472065,36539,623
2023-06-09$1.85$1.5051.4%11.7%46.0%11.0%0.0%-2.0%21.4%68.6K-2.6M-22.4K0.0026.0031065,48339,623
2023-06-12$1.79$1.5077.5%8.9%46.4%33.4%37.4%-6.2%35.7%14.9K-2.1M-22.1K0.0718.443222265,57439,623
2023-06-13$1.85$1.0078.3%14.1%47.2%34.1%48.7%-5.0%10.0%67.2K-2.4M-21.8K0.3319.48903065,80639,635
2023-06-14$1.81$1.5044.1%12.7%47.1%4.7%36.4%4.8%27.1%16.2K-2.1M-21.5K0.5730.03533065,89239,661
2023-06-15$1.85$1.5050.6%14.5%47.1%10.3%52.5%-5.1%-7.5%19.4K-2.2M-20.6K0.4137.72984065,92639,580
2023-06-16$1.85$1.5053.3%15.3%46.5%12.6%57.2%-10.9%15.3%17.8K-2.1M-21.2K0.4528.821667465,84939,578
2023-06-20$1.81$1.5051.5%14.8%47.2%11.1%113.5%10.1%39.2%8.2K-408.8K-19.6K3.0517.801,6635,07137,21422,784
2023-06-21$1.83$1.0062.1%17.8%43.8%20.1%62.1%-8.3%0.6%27.7K-1.3M-20.0K0.0421.701,5816239,16218,720
2023-06-22$1.75$1.0046.7%13.4%45.5%6.9%53.9%2.4%20.0%19.6K-944.9K-19.0K0.0024.32989339,92918,767
2023-06-23$1.71$1.0058.2%16.7%45.9%16.8%79.5%-3.8%-25.6%19.2K-978.8K-19.5K0.0037.28539140,92918,770
2023-06-26$1.73$1.5064.7%18.5%43.4%22.4%88.7%-3.1%-31.0%18.9K-940.9K-19.1K0.0021.56590241,41518,872
2023-06-27$1.71$1.5046.1%13.2%42.9%6.4%0.0%-1.7%15.4%15.3K-796.0K-18.6K0.0419.444681742,00018,874
2023-06-28$1.73$1.5058.6%16.8%42.5%17.2%77.0%4.2%-15.9%18.0K-935.2K-19.5K0.3820.7326810342,46218,891
2023-06-29$1.75$1.5053.7%15.4%41.9%12.9%54.5%6.5%-10.1%21.4K-1.0M-19.2K0.8317.8412410342,72018,993
2023-06-30$1.73$1.5047.4%13.6%41.2%7.5%0.0%3.5%9.9%18.1K-907.5K-18.9K0.0021.36133042,86618,996