REI Options History — July 2024

In July 2024, REI traded between $1.65 and $2.00. ATM implied volatility averaged 63.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 8.1% (HV 20d: 54.9%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2024-07-17: Highest Volume — 7,763 contracts
  • 2024-07-03: Largest IV spike — 84.7% change
  • 2024-07-03: Highest IV Rank — 100.0%
  • 2024-07-03: Largest Expected Move — 60.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.87$1.65$2.00$1.71$1.98
Max Pain$1.52$1.00$2.00$1.50$2.00
ATM IV63.0%37.8%211.3%63.6%45.1%
Expected Move17.7%10.8%60.6%18.2%12.9%
HV 20d54.9%44.8%59.3%49.6%56.3%
HV 60d50.2%43.9%53.2%44.2%53.2%
IV Rank18.9%3.4%100.0%26.8%7.5%
IV Percentile49.3%4.8%100.0%79.8%19.4%
Term Structure-9.8%-30.0%19.8%-23.8%2.3%
VWIV56.3%32.3%119.0%62.7%32.3%
Skew 25d25.4%-16.5%257.2%18.4%20.2%
Skew 10d25.5%-5.4%201.8%25.8%16.3%
Call IV 25d46.7%28.1%70.6%48.6%45.2%
Put IV 25d72.1%33.4%302.0%67.0%65.4%
Bid-Ask Spread %92.3034.66136.65114.4098.38
Gamma HHI0.360.330.450.350.42
Net GEX105.6K50.3K157.2K68.3K135.7K
Net DEX-4.5M-6.3M-2.6M-3.3M-5.1M
Net VEX-27.8K-30.9K-22.3K-24.8K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.009.240.000.00
Total Volume663.318217,7633195
Total OI91,381.40986,79697,99586,80197,980

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$1.71$1.5063.6%18.2%49.6%26.8%0.0%18.4%-23.8%68.3K-3.3M-24.8K0.00114.4031075,22211,579
2024-07-02$1.71$1.50114.4%32.8%45.1%69.4%62.7%111.0%-0.5%78.9K-3.5M-26.6K0.00118.45138075,22511,579
2024-07-03$1.75$1.50211.3%60.6%44.8%100.0%0.0%257.2%-30.0%86.1K-3.7M-26.5K0.07122.0856475,25111,579
2024-07-05$1.65$1.0077.5%16.4%49.1%25.5%47.2%17.5%-13.8%50.3K-2.6M-22.3K0.00100.38141075,23111,578
2024-07-08$1.81$1.0059.5%19.1%59.3%15.5%69.4%-16.5%-26.6%99.0K-4.2M-27.7K0.1088.3389975,23711,578
2024-07-09$1.81$1.0062.4%14.0%57.5%17.1%48.0%14.0%6.5%99.5K-4.3M-28.0K0.0064.16179075,23011,574
2024-07-10$1.77$1.0042.8%12.3%56.0%6.2%119.0%24.5%19.8%90.6K-3.9M-26.3K0.0084.4256075,22211,574
2024-07-11$1.87$1.0052.3%15.0%58.8%11.5%52.7%-4.4%-1.3%112.0K-4.8M-29.3K0.00109.84481075,25411,574
2024-07-12$1.88$1.0045.3%13.0%56.7%7.6%48.7%4.3%-21.9%107.8K-5.2M-30.8K0.02106.70340675,48011,574
2024-07-15$1.98$1.0037.8%10.8%58.9%3.4%34.5%32.5%2.8%157.2K-5.6M-27.8K0.21105.3349010275,69611,571
2024-07-16$1.96$1.0039.5%11.3%58.5%4.3%38.9%5.2%-6.0%154.1K-5.5M-27.1K0.0093.18186075,78411,571
2024-07-17$2.00$1.0054.9%15.7%58.0%12.9%55.0%7.9%-5.5%153.6K-6.3M-30.9K9.24112.777587,00575,88211,571
2024-07-18$1.94$2.0041.8%12.0%58.4%5.6%45.1%6.6%-10.9%99.7K-4.9M-29.7K0.01136.65356576,18518,571
2024-07-19$1.92$2.0049.2%14.1%58.6%9.8%49.4%-0.3%-2.0%94.5K-4.5M-29.7K0.00123.97248076,28318,571
2024-07-22$1.92$2.0045.9%13.2%57.3%7.9%52.2%-3.3%-16.0%100.3K-4.4M-27.9K0.03108.29114376,10118,553
2024-07-23$1.92$2.0053.7%15.4%56.0%12.2%53.9%0.5%-11.4%95.2K-4.2M-27.7K0.0041.293,284676,13018,554
2024-07-24$1.88$2.0055.9%16.0%53.8%13.5%57.4%-7.5%-16.3%104.8K-4.3M-28.6K0.0694.92108679,34718,553
2024-07-25$1.94$2.0055.9%16.0%54.3%13.5%56.3%95.2%-9.6%110.8K-4.7M-27.7K0.0334.6664279,43918,553
2024-07-26$1.92$2.0057.4%16.4%53.3%14.3%57.6%0.2%-13.8%113.9K-4.6M-28.7K0.0253.30158379,43218,551
2024-07-29$1.88$2.0063.2%18.1%54.2%17.6%72.1%-9.9%-13.4%103.7K-4.2M-28.9K0.0057.3421079,42918,548
2024-07-30$1.88$2.0057.2%16.4%53.9%14.2%74.2%-15.5%-25.1%106.5K-4.2M-26.8K0.0061.7749079,44718,548
2024-07-31$1.98$2.0045.1%12.9%56.3%7.5%32.3%20.2%2.3%135.7K-5.1M-26.9K0.0098.3895079,43218,548