REI Options History — August 2023

In August 2023, REI traded between $1.81 and $2.34. ATM implied volatility averaged 59.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 1.7% (HV 20d: 60.8%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.97.

Notable Days

  • 2023-08-15: Highest Volume — 10,799 contracts
  • 2023-08-31: Largest IV spike — 84.2% change
  • 2023-08-03: Highest IV Rank — 39.6%
  • 2023-08-02: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.99$1.81$2.34$2.34$1.90
Max Pain$2.46$2.00$2.50$2.00$2.50
ATM IV59.1%35.7%83.5%58.8%65.8%
Expected Move16.9%10.2%21.5%16.9%18.9%
HV 20d60.8%51.3%71.4%66.7%51.3%
HV 60d56.6%54.2%57.9%56.0%55.6%
IV Rank19.0%0.0%39.6%18.7%25.2%
IV Percentile32.0%0.0%73.8%27.0%48.8%
Term Structure1.5%-47.5%30.3%-1.5%-8.3%
VWIV60.8%41.5%94.5%65.1%68.0%
Skew 25d4.6%-33.7%37.4%-14.4%0.8%
Skew 10d7.4%-4.6%25.7%-2.4%3.5%
Call IV 25d53.1%30.6%88.6%61.9%66.9%
Put IV 25d57.7%47.5%73.9%47.5%67.7%
Bid-Ask Spread %56.9729.5284.7845.4563.72
Gamma HHI0.390.240.610.360.27
Net GEX-36.5K-125.7K-675-675-3.6K
Net DEX232.5K-3.3M2.2M-3.3M107.7K
Net VEX-24.7K-33.4K-18.6K-33.4K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.0014.230.090.00
Total Volume1,589.52210510,799515513
Total OI103,377.39196,240110,720107,16498,146

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$2.34$2.0058.8%16.9%66.7%18.7%65.1%-14.4%-1.5%-675-3.3M-33.4K0.0945.454714452,43654,728
2023-08-02$2.21$2.0075.0%21.5%71.4%32.4%94.5%-33.7%-47.5%-22.1K-1.4M-31.9K0.1829.523025552,67654,748
2023-08-03$2.27$2.5083.5%18.2%66.7%39.6%64.5%14.9%-4.8%-14.6K-2.4M-32.7K0.0334.136922252,66454,800
2023-08-04$2.09$2.5060.4%15.5%70.5%20.0%59.5%-3.9%6.9%-55.7K18.9K-29.2K0.7049.2362043152,65854,821
2023-08-07$2.13$2.5050.2%15.4%70.7%11.3%45.8%16.5%7.1%-67.7K-421.0K-28.4K0.0159.03296252,91655,151
2023-08-08$2.16$2.5038.4%15.5%63.9%1.4%65.0%-6.5%5.9%-68.0K-1.1M-27.8K0.2346.9189420253,04655,149
2023-08-09$2.16$2.5051.9%14.9%62.1%12.8%45.1%10.7%9.9%-70.8K-685.8K-27.3K0.0059.09119053,61255,082
2023-08-10$1.98$2.5060.2%17.2%68.4%19.8%57.5%10.3%3.7%-125.7K1.7M-25.3K5.1459.421,0825,56353,69055,082
2023-08-11$1.98$2.5060.5%17.4%63.5%20.1%60.3%9.5%-5.2%-88.4K1.1M-25.3K0.0755.232982154,51751,480
2023-08-14$1.92$2.5057.9%16.6%64.4%17.9%58.2%6.6%6.0%-115.0K2.2M-22.6K0.1261.774,86057754,66651,485
2023-08-15$1.87$2.5069.6%19.9%59.3%27.8%69.7%2.0%-1.7%-71.2K2.2M-24.2K14.2372.1070910,09059,11051,610
2023-08-16$1.88$2.5071.1%20.4%59.4%29.0%70.9%2.0%-4.4%-18.8K819.5K-24.3K0.0549.652721459,60244,057
2023-08-17$1.94$2.5061.4%17.6%60.7%20.9%61.5%6.8%-0.6%-31.0K570.5K-24.3K0.0366.692,0175559,83044,074
2023-08-18$1.90$2.5073.9%21.2%59.4%31.4%69.7%1.7%-9.7%-2.6K1.0M-24.2K0.0459.944821960,16644,094
2023-08-21$1.94$2.5072.3%20.7%56.6%30.1%72.3%16.2%-8.4%-1.5K168.6K-24.2K0.0055.121,805556,10040,140
2023-08-22$1.88$2.5059.0%16.9%55.7%18.8%59.1%-1.1%4.7%-11.4K599.4K-21.8K0.1056.124754757,73839,876
2023-08-23$1.87$2.5055.5%15.9%55.3%15.8%59.7%-4.0%8.3%-10.8K614.4K-21.9K0.0761.161,1228057,98139,889
2023-08-24$1.81$2.5056.4%16.2%55.7%16.6%51.7%-6.9%-0.3%-7.4K619.2K-21.1K0.7558.8031523558,92139,842
2023-08-25$1.85$2.5066.3%19.0%55.0%25.0%67.7%-6.6%-4.8%-5.8K496.7K-20.8K0.0046.98817459,19738,032
2023-08-28$1.85$2.5037.3%10.7%54.7%0.5%43.5%21.0%30.3%-14.3K865.9K-18.9K0.1666.654567359,69238,033
2023-08-29$1.85$2.5038.4%11.0%54.3%1.3%47.4%37.4%29.9%-13.4K747.7K-18.6K0.1468.872623659,94338,056
2023-08-30$1.88$2.5035.7%10.2%52.4%0.0%41.5%26.3%19.6%-18.4K685.0K-19.4K0.1984.78881760,07738,067
2023-08-31$1.90$2.5065.8%18.9%51.3%25.2%68.0%0.8%-8.3%-3.6K107.7K-20.5K0.0063.72513060,07538,071