REI Options History — August 2024

In August 2024, REI traded between $1.63 and $1.90. ATM implied volatility averaged 50.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 13.1% (HV 20d: 64.0%). 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 17 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2024-08-07: Highest Volume — 20,400 contracts
  • 2024-08-05: Largest IV spike — 218.6% change
  • 2024-08-05: Highest IV Rank — 73.2%
  • 2024-08-05: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.82$1.63$1.90$1.85$1.83
Max Pain$1.55$1.50$2.00$2.00$1.50
ATM IV50.9%25.1%163.2%49.5%36.6%
Expected Move11.5%7.2%17.6%14.2%10.5%
HV 20d64.0%53.5%66.9%61.9%53.5%
HV 60d57.7%54.6%60.8%54.6%56.2%
IV Rank12.3%0.0%73.2%9.9%6.2%
IV Percentile30.1%0.0%99.6%34.9%6.7%
Term Structure8.5%-23.8%26.7%26.7%21.4%
VWIV45.3%29.0%59.3%36.3%42.0%
Skew 25d8.3%-12.9%32.6%-12.9%16.6%
Skew 10d13.6%-8.0%139.9%-8.0%4.6%
Call IV 25d38.3%22.6%59.1%52.0%32.9%
Put IV 25d46.6%36.3%65.3%39.2%49.4%
Bid-Ask Spread %71.1519.94139.4971.3826.14
Gamma HHI0.430.300.610.330.53
Net GEX122.0K33.9K201.1K86.6K143.6K
Net DEX-3.2M-4.3M-1.7M-3.6M-3.3M
Net VEX-21.6K-28.9K-17.8K-26.3K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.330.001.33
Total Volume1,3201620,40030621
Total OI98,062.40993,799110,37998,04495,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$1.85$2.0049.5%14.2%61.9%9.9%0.0%-12.9%26.7%86.6K-3.6M-26.3K0.0071.38305179,49618,548
2024-08-02$1.69$2.0051.2%14.7%66.9%10.9%0.0%-0.5%-13.5%70.6K-2.1M-23.8K0.0959.912812579,58118,549
2024-08-05$1.63$1.50163.2%17.6%58.7%73.2%36.3%-4.0%-23.8%46.0K-2.0M-22.1K0.47139.491577479,72218,569
2024-08-06$1.69$1.5043.8%15.8%60.5%6.8%49.0%18.3%0.9%49.8K-1.9M-22.4K0.0177.6978179,77018,593
2024-08-07$1.67$1.5089.1%10.4%60.2%32.0%32.6%7.9%12.9%33.9K-1.7M-19.3K0.0094.6620,400079,78618,592
2024-08-08$1.83$1.5045.9%11.8%66.0%7.9%47.3%-7.0%16.5%120.6K-4.1M-28.9K0.03103.99188591,78718,592
2024-08-09$1.77$1.5071.0%16.9%66.9%21.9%59.3%-10.8%-10.7%83.8K-2.3M-23.0K0.5281.07633382,82518,592
2024-08-12$1.85$1.5076.2%13.9%66.1%24.8%50.4%-4.9%5.6%104.6K-2.9M-21.9K0.2986.9552915182,89318,625
2024-08-13$1.85$1.5085.8%10.8%66.1%30.1%45.5%5.8%18.1%104.4K-2.9M-22.3K0.1170.1953683,29418,676
2024-08-14$1.83$1.5044.2%12.7%65.6%7.0%0.0%2.9%1.9%124.8K-2.8M-22.6K0.0085.5850083,32718,673
2024-08-15$1.88$1.5044.6%12.8%65.7%7.2%38.1%-6.1%-11.7%132.9K-2.8M-22.5K0.0282.26109283,32718,673
2024-08-16$1.88$1.5045.0%12.9%65.6%7.4%48.9%6.5%-10.1%136.3K-3.1M-23.5K0.00125.063,179083,33618,675
2024-08-19$1.87$1.5025.1%7.2%65.6%0.0%53.3%17.1%17.7%177.6K-3.8M-20.2K0.0068.60422082,20711,592
2024-08-20$1.85$1.5035.2%10.1%65.7%5.4%42.2%15.7%18.7%140.1K-3.9M-21.0K0.0466.272741182,50111,592
2024-08-21$1.83$1.5030.7%8.8%65.4%3.0%0.0%26.2%1.5%140.6K-3.5M-19.9K0.0366.8036182,53211,603
2024-08-22$1.81$1.5030.3%8.7%64.3%2.8%0.0%9.9%20.4%130.4K-3.2M-18.0K0.0067.5316082,56311,604
2024-08-23$1.88$1.5027.1%7.8%65.9%1.1%54.1%32.6%20.1%183.4K-4.0M-20.9K0.0041.35190082,57211,604
2024-08-26$1.90$1.5029.2%8.4%65.6%2.2%0.0%21.7%16.2%201.1K-4.0M-19.8K0.1254.741,33715582,61611,604
2024-08-27$1.85$1.5028.0%8.0%66.3%1.6%29.0%15.1%16.6%165.1K-3.7M-19.7K0.7744.73131082,81811,756
2024-08-28$1.81$1.5034.0%9.7%63.7%4.8%42.3%12.6%23.3%132.0K-3.3M-18.5K0.0019.94635083,36011,758
2024-08-29$1.90$1.5034.5%9.9%61.7%5.1%54.3%19.3%17.9%175.3K-4.3M-20.3K0.0031.00229083,43211,758
2024-08-30$1.83$1.5036.6%10.5%53.5%6.2%42.0%16.6%21.4%143.6K-3.3M-17.8K1.3326.1491283,64211,758