REI Options History — May 2024 In May 2024, REI traded between $1.75 and $1.94. ATM implied volatility averaged 56.9%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 18.8% (HV 20d: 38.1%). 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 18 of 22 days. Put/call ratio averaged 0.10.
Notable Days 2024-05-07 : Highest Volume — 15,077 contracts2024-05-20 : Largest IV spike — 67.3% change2024-05-13 : Highest IV Rank — 100.0%2024-05-29 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.82 $1.75 $1.94 $1.87 $1.79 Max Pain $1.57 $1.50 $2.00 $2.00 $1.50 ATM IV 56.9% 34.6% 120.6% 54.2% 57.3% Expected Move 12.8% 8.2% 18.0% 15.5% 16.4% HV 20d 38.1% 23.3% 55.3% 26.2% 54.7% HV 60d 42.6% 40.3% 46.3% 41.0% 46.2% IV Rank 30.6% 3.3% 100.0% 30.5% 28.8% IV Percentile 45.5% 1.2% 100.0% 49.2% 58.3% Term Structure 12.6% -13.9% 30.6% 13.2% 20.4% VWIV 56.2% 34.3% 101.7% 77.3% 77.2% Skew 25d 14.4% 2.5% 61.0% 22.9% 21.3% Skew 10d 11.5% -14.3% 146.6% 2.4% -4.0% Call IV 25d 35.8% 26.0% 48.8% 45.0% 35.4% Put IV 25d 50.2% 33.1% 103.5% 68.0% 56.6% Bid-Ask Spread % 89.60 55.95 141.27 73.42 103.91 Gamma HHI 0.37 0.30 0.47 0.43 0.34 Net GEX 59.7K 22.0K 93.4K 25.8K 91.2K Net DEX -2.9M -4.9M -1.5M -1.9M -4.1M Net VEX -26.2K -33.2K -18.0K -20.2K -29.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.10 0.00 0.48 0.10 0.09 Total Volume 1,620.091 31 15,077 345 47 Total OI 94,213.182 79,481 102,817 79,481 102,817
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2024-05-01 $1.87 $2.00 54.2% 15.5% 26.2% 30.5% 77.3% 22.9% 13.2% 25.8K -1.9M -20.2K 0.10 73.42 315 30 62,264 17,217 2024-05-02 $1.87 $2.00 36.4% 10.4% 24.6% 6.4% 0.0% 22.7% 20.5% 22.0K -2.0M -20.6K 0.00 79.83 1,108 0 62,329 17,237 2024-05-03 $1.88 $2.00 38.1% 10.9% 23.3% 8.8% 101.7% 27.7% 18.5% 26.4K -2.0M -20.6K 0.02 61.62 54 1 63,414 17,237 2024-05-06 $1.94 $1.50 45.1% 14.0% 26.1% 18.1% 48.8% 5.4% 6.2% 33.9K -2.8M -21.8K 0.06 55.95 236 14 63,439 17,238 2024-05-07 $1.81 $1.50 37.9% 11.3% 35.2% 8.4% 41.7% 61.0% 2.1% 29.7K -1.5M -18.0K 0.00 86.42 15,077 0 63,648 17,252 2024-05-08 $1.77 $1.50 62.7% 8.2% 34.7% 42.0% 34.3% 6.2% 24.2% 47.1K -2.0M -25.0K 0.48 92.20 159 76 78,659 17,227 2024-05-09 $1.77 $1.50 66.4% 8.3% 32.8% 47.1% 39.6% 6.2% 26.7% 44.8K -2.0M -25.6K 0.08 100.81 260 22 78,700 17,272 2024-05-10 $1.75 $1.50 78.6% 11.1% 32.3% 63.6% 44.3% 5.5% -13.9% 43.4K -1.9M -25.1K 0.01 100.91 352 4 78,745 17,242 2024-05-13 $1.77 $1.50 111.8% 8.7% 33.1% 100.0% 0.0% 6.3% 22.6% 50.4K -1.6M -23.6K 0.00 78.10 61 0 78,597 17,242 2024-05-14 $1.75 $1.50 120.6% 11.7% 33.1% 100.0% 46.7% 2.5% 11.7% 54.0K -2.0M -25.3K 0.02 100.96 2,060 32 78,638 17,242 2024-05-15 $1.75 $1.50 41.2% 11.8% 32.6% 10.7% 0.0% 5.7% 5.6% 59.9K -2.0M -24.9K 0.04 60.54 943 40 80,443 17,241 2024-05-16 $1.75 $1.50 41.8% 12.0% 32.7% 11.4% 48.1% 5.7% 0.0% 57.6K -2.2M -26.6K 0.37 59.99 174 65 81,210 16,599 2024-05-17 $1.85 $1.50 34.6% 9.9% 39.0% 3.3% 70.8% 17.8% 10.8% 64.7K -2.8M -28.5K 0.09 93.90 216 20 81,260 16,660 2024-05-20 $1.90 $1.50 57.9% 16.6% 40.4% 29.5% 50.0% 5.9% -6.2% 75.1K -4.0M -29.2K 0.00 107.24 10,701 4 78,982 12,221 2024-05-21 $1.92 $1.50 58.0% 16.6% 40.7% 29.6% 46.9% 10.8% -5.8% 93.4K -4.9M -33.2K 0.00 77.18 65 0 87,537 12,221 2024-05-22 $1.83 $1.50 36.9% 10.6% 43.8% 5.8% 65.2% 19.0% 28.4% 84.1K -3.9M -29.8K 0.12 95.28 42 5 87,543 12,221 2024-05-23 $1.77 $1.50 54.6% 15.7% 45.0% 25.8% 0.0% 11.1% 9.7% 75.2K -4.0M -30.7K 0.07 141.27 29 2 87,573 12,226 2024-05-24 $1.79 $1.50 43.3% 12.4% 45.0% 13.0% 56.4% 14.9% 30.6% 71.0K -3.7M -29.1K 0.41 100.11 32 13 87,587 12,226 2024-05-28 $1.92 $1.50 55.8% 16.0% 52.4% 27.2% 34.8% 23.0% 10.7% 84.4K -4.5M -30.3K 0.04 109.24 3,076 110 87,573 12,226 2024-05-29 $1.81 $1.50 62.7% 18.0% 55.3% 34.9% 70.8% 7.6% 5.0% 92.6K -4.1M -29.6K 0.27 102.50 44 12 90,610 12,127 2024-05-30 $1.79 $1.50 56.0% 16.0% 54.7% 27.3% 0.0% 6.7% 24.5% 85.5K -3.8M -29.0K 0.00 89.72 141 0 90,626 12,122 2024-05-31 $1.79 $1.50 57.3% 16.4% 54.7% 28.8% 77.2% 21.3% 20.4% 91.2K -4.1M -29.6K 0.09 103.91 43 4 90,695 12,122
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