REI Options History — November 2023

In November 2023, REI traded between $1.40 and $1.75. ATM implied volatility averaged 50.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 5.0% (HV 20d: 55.4%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2023-11-01: Highest Volume — 20,246 contracts
  • 2023-11-24: Largest IV spike — 38.9% change
  • 2023-11-01: Highest IV Rank — 31.6%
  • 2023-11-07: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.62$1.40$1.75$1.73$1.63
Max Pain$1.55$1.50$2.00$2.00$1.50
ATM IV50.4%33.5%70.6%70.6%56.8%
Expected Move14.9%9.6%20.7%20.2%16.3%
HV 20d55.4%34.7%62.2%34.7%62.2%
HV 60d49.0%41.3%51.3%44.7%50.7%
IV Rank15.2%1.5%31.6%31.6%20.4%
IV Percentile23.5%0.4%74.2%74.2%40.1%
Term Structure-5.1%-45.5%33.3%-26.5%-24.4%
VWIV60.6%29.3%113.5%90.7%75.5%
Skew 25d6.6%-20.2%57.6%4.4%-20.2%
Skew 10d35.4%1.0%127.0%33.6%29.1%
Call IV 25d49.4%36.4%64.1%47.1%63.1%
Put IV 25d56.1%37.9%107.3%51.6%42.9%
Bid-Ask Spread %48.3626.2367.1055.8856.13
Gamma HHI0.280.240.360.340.30
Net GEX73.8K48.2K104.7K52.0K78.0K
Net DEX-1.4M-2.8M-146.5K-1.3M-1.8M
Net VEX-19.4K-26.4K-14.2K-17.8K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.360.000.99
Total Volume2,245.4295220,24620,24610,116
Total OI94,876.8172,56899,88872,56893,147

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$1.73$2.0070.6%20.2%34.7%31.6%90.7%4.4%-26.5%52.0K-1.3M-17.8K0.0055.8820,246059,11513,453
2023-11-02$1.75$2.0053.4%17.1%34.7%17.7%71.6%-14.7%-14.7%75.3K-2.2M-26.4K0.0059.76617079,13813,453
2023-11-03$1.73$1.5058.1%16.0%34.7%21.4%69.1%-19.1%-24.3%75.4K-1.9M-25.2K0.0264.365,95011179,46013,454
2023-11-06$1.58$1.5055.4%16.9%45.2%19.3%57.6%34.2%0.7%69.3K-1.1M-21.2K0.0962.671,93018284,58713,436
2023-11-07$1.44$1.5050.1%20.7%54.5%14.9%72.2%34.7%-15.3%55.2K-486.9K-16.8K0.0526.232,31912186,26712,980
2023-11-08$1.40$1.5056.5%16.2%54.7%20.1%67.1%3.5%-0.9%48.2K-146.5K-14.2K0.0132.217951186,38113,038
2023-11-09$1.40$1.5057.3%16.4%54.2%20.8%59.2%3.6%-1.3%48.4K-235.7K-14.6K0.1749.361392486,95912,223
2023-11-10$1.48$1.5047.4%13.6%59.2%12.7%47.4%53.7%5.8%53.8K-289.2K-14.6K0.0433.06197887,04812,277
2023-11-13$1.50$1.5049.5%14.2%59.6%14.4%45.9%57.6%8.4%58.7K-547.7K-16.5K0.4249.852369887,04112,277
2023-11-14$1.58$1.5033.5%9.6%58.4%1.5%113.5%2.8%27.0%67.6K-807.4K-18.2K0.0867.102782187,18412,257
2023-11-15$1.60$1.5040.6%11.7%58.9%7.3%39.7%0.4%20.6%72.7K-1.1M-19.6K0.0128.96802587,34312,257
2023-11-16$1.65$1.5038.3%11.0%60.5%5.3%29.3%10.4%33.3%80.8K-1.6M-21.2K0.0456.965231987,63112,257
2023-11-17$1.71$1.5042.6%12.2%61.3%8.9%48.4%-1.2%12.4%94.7K-1.9M-23.7K0.0258.06308787,45712,253
2023-11-20$1.75$1.5050.3%14.4%61.4%15.1%58.3%9.6%-21.8%104.7K-2.8M-23.9K0.0030.64347184,5717,794
2023-11-21$1.73$1.5044.3%12.7%61.4%10.2%0.0%3.5%-6.9%96.6K-2.1M-20.1K0.0061.91557184,4037,794
2023-11-22$1.71$1.5047.1%13.5%61.4%12.5%51.3%-1.7%-21.0%93.6K-2.3M-21.6K0.2152.392405184,6337,794
2023-11-24$1.73$1.5065.4%18.8%61.4%27.4%0.0%-0.5%-45.5%96.7K-2.1M-19.2K1.3651.20598084,8117,793
2023-11-27$1.67$1.5047.1%13.5%61.9%12.5%53.8%-1.2%4.5%80.3K-2.0M-20.1K0.0030.5052084,8267,873
2023-11-28$1.63$1.5053.2%15.2%61.9%17.5%0.0%-19.2%-9.7%81.1K-2.0M-19.7K0.0546.845482684,8267,873
2023-11-29$1.65$1.5041.1%11.8%62.1%7.7%40.3%-0.9%-6.9%66.1K-1.4M-15.6K0.0941.601181185,1657,884
2023-11-30$1.63$1.5056.8%16.3%62.2%20.4%75.5%-20.2%-24.4%78.0K-1.8M-18.2K0.9956.135,0825,03485,2537,894