REI Options History — October 2023

In October 2023, REI traded between $1.73 and $1.88. ATM implied volatility averaged 54.9%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 8.5% (HV 20d: 46.3%). 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 0.08.

Notable Days

  • 2023-10-05: Highest Volume — 2,661 contracts
  • 2023-10-13: Largest IV spike — 84.8% change
  • 2023-10-25: Highest IV Rank — 41.4%
  • 2023-10-25: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.79$1.73$1.88$1.88$1.75
Max Pain$1.98$1.50$2.00$1.50$2.00
ATM IV54.9%31.7%82.6%53.0%50.1%
Expected Move15.6%9.1%23.7%15.2%14.4%
HV 20d46.3%41.6%53.7%46.9%44.3%
HV 60d50.2%44.8%55.3%55.3%44.8%
IV Rank17.8%0.0%41.4%14.5%15.0%
IV Percentile30.1%0.0%91.7%21.8%15.9%
Term Structure7.9%-36.1%38.8%18.1%-6.6%
VWIV65.7%50.1%90.2%62.0%78.5%
Skew 25d3.6%-22.6%31.9%11.1%12.0%
Skew 10d32.6%-8.6%152.0%2.0%10.2%
Call IV 25d51.8%29.6%86.0%50.2%43.4%
Put IV 25d55.3%46.5%66.8%61.3%55.3%
Bid-Ask Spread %67.8639.8292.1968.8975.17
Gamma HHI0.350.340.400.350.34
Net GEX58.5K49.1K76.0K70.5K54.0K
Net DEX-1.9M-2.9M-1.3M-2.9M-1.4M
Net VEX-21.2K-26.0K-18.3K-26.0K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.540.140.03
Total Volume486.773862,661555165
Total OI73,910.54571,50475,08874,15672,517

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$1.88$1.5053.0%15.2%46.9%14.5%62.0%11.1%18.1%70.5K-2.9M-26.0K0.1468.894857060,30013,856
2023-10-03$1.87$2.0052.6%15.1%46.4%14.2%75.2%22.3%36.8%67.4K-2.8M-25.6K0.5459.9260032660,65613,891
2023-10-04$1.73$2.0054.4%15.6%53.7%15.7%60.5%3.7%6.1%55.4K-1.5M-21.3K0.3443.2376225760,58313,777
2023-10-05$1.75$2.0053.5%12.9%53.6%14.9%76.1%-21.2%21.4%58.8K-1.6M-21.2K0.0169.202,6402160,70313,743
2023-10-06$1.73$2.0075.8%16.0%52.1%33.6%69.1%-17.8%6.3%57.8K-1.8M-22.0K0.0076.28325160,74513,764
2023-10-09$1.79$2.0058.3%21.0%51.4%18.9%73.5%-7.5%-15.3%62.4K-2.3M-22.4K0.0279.98219460,92013,701
2023-10-10$1.79$2.0049.3%16.1%42.0%11.4%63.2%-7.1%-0.9%62.0K-2.2M-22.4K0.0183.62112161,07613,700
2023-10-11$1.75$2.0048.5%13.9%42.4%10.7%0.0%7.2%21.1%57.9K-1.5M-19.7K0.0180.88164261,13613,699
2023-10-12$1.77$2.0031.7%9.1%42.5%0.0%0.0%18.2%38.8%55.7K-1.6M-20.5K0.0077.78176061,16913,628
2023-10-13$1.77$2.0058.6%16.8%41.6%21.8%65.7%-6.8%-2.0%61.1K-2.1M-22.1K0.0083.99341061,22413,628
2023-10-16$1.77$2.0046.5%13.3%41.6%12.0%61.6%10.6%10.8%49.1K-1.5M-19.9K0.0192.19101161,43713,628
2023-10-17$1.88$2.0063.4%18.2%47.5%25.8%64.3%-2.4%-4.9%76.0K-2.5M-22.5K0.0183.46249261,46013,628
2023-10-18$1.87$2.0057.2%16.4%46.2%20.7%59.3%-4.8%1.4%74.8K-2.4M-22.2K0.3771.132408961,40813,628
2023-10-19$1.85$2.0058.6%16.8%46.3%21.8%0.0%-11.9%-3.8%53.5K-2.3M-22.6K0.0686.44106661,45813,580
2023-10-20$1.79$2.0058.4%16.8%47.7%21.7%68.6%-4.3%-1.1%50.5K-1.7M-20.1K0.0056.671,372361,44613,566
2023-10-23$1.75$2.0059.1%17.0%46.4%22.3%52.8%20.8%7.0%51.4K-1.4M-19.2K0.1645.374957958,13013,374
2023-10-24$1.77$2.0045.9%13.2%46.5%11.6%0.0%25.8%23.2%53.6K-1.4M-19.0K0.0044.17221058,56413,441
2023-10-25$1.75$2.0082.6%23.7%44.6%41.4%90.2%-22.6%-36.1%56.5K-1.8M-20.4K0.0039.8286058,62313,441
2023-10-26$1.77$2.0061.7%17.7%45.1%24.4%55.8%13.3%6.8%53.4K-1.6M-19.5K0.0053.50309058,61713,441
2023-10-27$1.81$2.0043.2%12.4%45.8%9.3%56.5%31.9%26.0%52.3K-1.8M-20.1K0.0060.84505158,88213,441
2023-10-30$1.77$2.0044.5%12.7%44.2%10.4%50.1%8.0%21.3%52.3K-1.3M-18.3K0.0660.411631058,98113,442
2023-10-31$1.75$2.0050.1%14.4%44.3%15.0%78.5%12.0%-6.6%54.0K-1.4M-18.5K0.0375.17160559,06513,452