REI Options History — January 2024

In January 2024, REI traded between $1.29 and $1.50. ATM implied volatility averaged 52.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 6.3% (HV 20d: 46.1%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2024-01-26: Highest Volume — 20,170 contracts
  • 2024-01-10: Largest IV spike — 33.8% change
  • 2024-01-12: Highest IV Rank — 27.9%
  • 2024-01-12: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.39$1.29$1.50$1.44$1.38
Max Pain$1.48$1.00$2.00$2.00$1.50
ATM IV52.4%41.1%66.0%46.2%48.1%
Expected Move15.1%11.8%18.9%13.3%13.8%
HV 20d46.1%34.6%59.4%58.0%40.6%
HV 60d52.4%51.3%53.5%52.2%53.5%
IV Rank16.8%7.6%27.9%11.8%13.3%
IV Percentile33.4%4.0%76.2%13.5%19.8%
Term Structure17.0%-2.7%36.1%5.7%31.7%
VWIV60.9%44.8%80.1%53.9%49.9%
Skew 25d51.3%2.1%163.3%3.2%38.4%
Skew 10d69.3%0.6%277.7%20.8%19.0%
Call IV 25d49.5%35.2%67.3%63.4%41.6%
Put IV 25d100.8%58.1%230.6%66.6%80.1%
Bid-Ask Spread %60.6120.0692.9220.0674.29
Gamma HHI0.260.220.560.230.48
Net GEX35.6K18.5K75.3K40.0K69.6K
Net DEX-930.8K-2.8M-159.6K-782.3K-2.3M
Net VEX-10.1K-13.9K-7.5K-11.4K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.002.440.020.00
Total Volume1,224.4296620,170326161
Total OI78,404.14353,26289,47288,58473,727

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$1.44$2.0046.2%13.3%58.0%11.8%53.9%3.2%5.7%40.0K-782.3K-11.4K0.0220.06320680,4358,149
2024-01-03$1.50$2.0060.0%17.2%58.5%23.0%61.3%163.3%-0.3%44.5K-941.6K-12.2K0.0535.545322680,5638,149
2024-01-04$1.46$1.0057.6%17.6%58.6%21.1%0.0%161.6%-2.7%41.7K-850.3K-11.9K0.0182.35260280,7418,175
2024-01-05$1.48$1.0063.8%15.8%58.7%26.1%55.7%119.3%14.1%45.5K-1.1M-13.1K0.0092.9281080,7948,177
2024-01-08$1.44$1.0060.4%18.3%59.4%23.3%63.9%112.4%5.7%40.1K-748.2K-11.5K0.2975.491073180,8588,177
2024-01-09$1.42$1.5049.2%16.5%57.5%14.3%58.1%29.7%12.8%38.4K-637.8K-10.6K0.4980.131025080,9478,204
2024-01-10$1.42$1.5065.9%18.9%52.7%27.8%66.1%157.2%-0.6%34.6K-494.4K-9.7K0.2088.17551180,9838,254
2024-01-11$1.38$1.5065.1%18.7%52.8%27.1%0.0%2.1%1.0%32.9K-459.2K-9.8K2.4450.834110080,9958,264
2024-01-12$1.38$1.5066.0%18.9%51.6%27.9%0.0%16.5%0.6%34.9K-518.3K-10.7K0.0564.301871081,0168,204
2024-01-16$1.31$1.5050.9%14.6%47.5%15.6%64.9%38.8%35.3%22.5K-256.8K-8.9K0.1866.654107381,1968,207
2024-01-17$1.29$1.5048.3%13.8%42.6%13.5%0.0%15.9%25.3%18.8K-159.6K-7.8K0.1246.532412981,4147,970
2024-01-18$1.29$1.5049.1%14.1%42.0%14.1%0.0%15.8%25.2%19.7K-206.7K-8.0K0.0039.28167081,3917,990
2024-01-19$1.31$1.5041.8%12.0%36.7%8.2%44.8%14.1%22.6%19.1K-187.6K-7.9K0.1153.425546181,4827,990
2024-01-22$1.33$1.5045.4%13.0%35.8%11.2%0.0%23.2%24.8%19.4K-958.5K-7.9K0.0533.002791451,2602,002
2024-01-23$1.33$1.5046.4%13.3%35.2%11.9%80.1%23.6%24.6%19.5K-921.9K-7.5K0.0057.01203051,4162,016
2024-01-24$1.35$1.5054.3%15.6%35.3%18.4%70.9%27.1%22.1%18.5K-961.2K-7.5K0.4052.802168751,5101,982
2024-01-25$1.38$1.5041.1%11.8%36.1%7.6%0.0%33.2%26.1%19.0K-998.2K-7.8K0.0062.14198051,4451,968
2024-01-26$1.40$1.5047.2%13.5%36.7%12.6%0.0%29.4%36.1%25.0K-1.1M-8.6K0.0060.4520,170051,4711,968
2024-01-29$1.38$1.5045.4%13.0%34.6%11.1%0.0%36.6%24.9%68.8K-2.1M-12.3K0.0058.52679271,4261,968
2024-01-30$1.44$1.5048.6%13.9%38.0%13.8%49.9%16.6%22.5%75.3K-2.8M-13.9K0.0978.842282071,6341,969
2024-01-31$1.38$1.5048.1%13.8%40.6%13.3%0.0%38.4%31.7%69.6K-2.3M-12.5K0.0074.29161071,7381,989