REI Options History — July 2023

In July 2023, REI traded between $1.67 and $2.42. ATM implied volatility averaged 57.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 0.6% (HV 20d: 58.3%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2023-07-11: Highest Volume — 16,757 contracts
  • 2023-07-06: Largest IV spike — 40.4% change
  • 2023-07-13: Highest IV Rank — 27.5%
  • 2023-07-10: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.09$1.67$2.42$1.75$2.42
Max Pain$1.93$1.50$2.00$1.50$2.00
ATM IV57.7%36.8%69.3%48.6%66.0%
Expected Move17.1%10.5%20.5%13.9%18.9%
HV 20d58.3%39.5%66.9%39.5%64.2%
HV 60d58.2%55.4%60.6%55.8%56.4%
IV Rank17.6%0.0%27.5%8.5%24.8%
IV Percentile24.1%0.0%45.6%7.1%43.3%
Term Structure-1.6%-13.0%20.1%6.8%-5.5%
VWIV61.1%31.0%99.9%99.9%65.8%
Skew 25d5.3%-14.7%24.8%5.1%-4.2%
Skew 10d10.3%-13.3%41.5%6.1%-2.8%
Call IV 25d47.2%32.5%58.4%43.0%58.4%
Put IV 25d52.5%31.5%68.2%48.1%54.2%
Bid-Ask Spread %42.7616.4763.2541.5263.25
Gamma HHI0.370.290.450.320.36
Net GEX-1.6K-23.2K32.0K18.1K4.4K
Net DEX-2.0M-4.2M540.7K-893.6K-4.2M
Net VEX-28.6K-34.5K-18.4K-18.4K-33.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0128.711.030.11
Total Volume3,152.4513816,757138912
Total OI90,405.861,881106,82061,881106,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$1.75$1.5048.6%13.9%39.5%8.5%99.9%5.1%6.8%18.1K-893.6K-18.4K1.0341.52687042,88518,996
2023-07-05$1.77$1.5036.8%10.5%39.6%0.0%31.0%2.1%20.1%24.9K-1.1M-18.6K28.7138.3835210,10642,92319,064
2023-07-06$1.67$2.0051.7%13.2%40.1%12.6%64.3%-1.0%-9.7%-15.6K540.7K-18.7K0.0516.474492243,24129,075
2023-07-07$1.81$2.0052.8%19.5%48.9%13.6%68.8%-4.5%-11.9%300-262.7K-22.0K0.1719.572,42040343,65629,056
2023-07-10$1.83$2.0050.3%20.5%48.0%11.5%71.3%-5.2%-9.9%5.6K-359.5K-22.2K0.0141.89937945,75629,556
2023-07-11$2.00$1.5056.9%18.2%57.3%17.0%63.4%8.8%-6.1%32.0K-1.8M-25.5K9.4856.871,59915,15846,46029,561
2023-07-12$2.09$2.0061.7%17.7%57.3%21.1%61.7%20.8%3.1%-20.2K-1.4M-31.1K0.0844.163,51728647,09144,684
2023-07-13$2.16$2.0069.3%19.9%57.3%27.5%48.5%24.8%-2.4%-8.5K-2.3M-31.5K0.0239.962,9036748,87444,900
2023-07-14$2.01$2.0060.5%17.3%63.2%20.1%66.0%8.2%-5.7%-20.8K-648.6K-30.2K0.1037.836736850,79544,961
2023-07-17$2.02$2.0057.9%16.6%62.8%17.9%57.9%11.6%2.5%-23.2K-688.6K-29.5K0.1160.331,30214450,86045,026
2023-07-18$2.16$2.0059.7%17.1%66.6%19.4%55.6%18.1%1.8%-3.2K-2.7M-31.8K0.0156.441,725950,97145,153
2023-07-19$2.13$2.0058.0%16.6%66.2%17.9%47.2%12.9%5.9%-3.2K-2.6M-31.3K0.0539.037944051,11845,153
2023-07-20$2.09$2.0062.6%17.9%66.9%21.9%61.8%22.0%-1.4%-4.9K-1.8M-30.3K0.1350.214826551,27045,161
2023-07-21$2.16$2.0059.7%17.1%64.6%19.4%59.9%23.1%4.1%-20.5K-2.5M-30.5K0.0158.371,6311151,26645,216
2023-07-24$2.27$2.0061.1%17.5%64.8%20.6%49.3%-6.1%-3.5%20.2K-3.8M-30.6K3.9034.592,57610,05549,96044,629
2023-07-25$2.33$2.0058.6%16.8%64.9%18.5%69.5%-14.1%-5.0%-13.2K-2.9M-34.2K0.0237.416461550,92254,677
2023-07-26$2.35$2.0052.1%14.9%64.2%13.0%51.2%-1.3%-0.5%-1.3K-3.2M-33.1K0.0420.029113451,09154,692
2023-07-27$2.33$2.0061.2%17.6%64.8%20.7%64.3%-14.7%-1.9%-12.3K-3.2M-34.5K0.1757.401,31321751,22254,651
2023-07-28$2.40$2.0067.8%19.4%65.0%26.3%63.7%-1.1%-13.0%10.4K-3.9M-34.4K0.0241.581,0362451,95054,774
2023-07-31$2.42$2.0066.0%18.9%64.2%24.8%65.8%-4.2%-5.5%4.4K-4.2M-33.4K0.1163.258219152,06354,757