REI Options History — October 2024

In October 2024, REI traded between $1.48 and $1.79. ATM implied volatility averaged 71.0%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 26.3% (HV 20d: 44.7%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2024-10-02: Highest Volume — 10,126 contracts
  • 2024-10-04: Largest IV spike — 67.0% change
  • 2024-10-31: Highest IV Rank — 43.9%
  • 2024-10-31: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.59$1.48$1.79$1.63$1.50
Max Pain$1.17$1.00$2.00$1.50$1.00
ATM IV71.0%40.3%106.9%53.3%106.9%
Expected Move20.1%11.6%30.6%15.3%30.6%
HV 20d44.7%30.9%50.9%48.1%30.9%
HV 60d53.9%48.6%56.3%54.3%48.6%
IV Rank24.7%8.2%43.9%15.2%43.9%
IV Percentile75.9%13.1%97.2%52.4%97.2%
Term Structure-8.5%-61.5%30.4%-21.0%-37.7%
VWIV75.9%35.3%109.7%68.2%97.8%
Skew 25d-6.7%-214.9%188.2%-19.0%-30.6%
Skew 10d-28.1%-269.5%230.0%27.4%-61.1%
Call IV 25d104.3%36.0%325.0%59.3%168.3%
Put IV 25d97.6%40.3%241.7%40.3%137.7%
Bid-Ask Spread %49.699.18104.7220.4712.30
Gamma HHI0.400.380.440.390.39
Net GEX100.9K72.0K135.2K94.4K88.8K
Net DEX-3.7M-5.4M-2.1M-4.2M-3.1M
Net VEX-22.7K-30.1K-14.3K-24.9K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.130.070.00
Total Volume892.4353210,126530125
Total OI92,884.95781,78196,46881,78196,468

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$1.63$1.5053.3%15.3%48.1%15.2%68.2%-19.0%-21.0%94.4K-4.2M-24.9K0.0720.474953579,9441,837
2024-10-02$1.67$1.5050.0%14.3%44.9%13.4%55.9%-7.2%20.7%103.0K-3.7M-22.5K0.0024.0210,122480,0101,854
2024-10-03$1.79$2.0040.3%11.6%50.9%8.2%35.3%31.8%18.7%127.1K-5.3M-29.9K0.0188.102,5703089,9921,859
2024-10-04$1.75$2.0067.3%13.2%50.2%22.7%39.1%22.5%30.4%135.2K-5.1M-29.3K0.0084.34499091,4261,876
2024-10-07$1.75$2.0062.6%11.9%48.2%20.2%78.3%25.9%20.9%132.4K-5.4M-30.1K0.00104.72208091,5491,876
2024-10-08$1.67$1.0063.4%23.6%48.6%20.6%83.1%-26.9%-11.3%120.0K-4.1M-25.2K0.1983.50581191,6331,876
2024-10-09$1.62$1.0083.0%23.8%45.7%31.1%0.0%-13.2%-23.6%107.4K-4.2M-25.7K0.2672.801764691,6761,887
2024-10-10$1.65$1.0059.6%17.1%46.3%18.6%51.1%22.5%1.0%114.4K-4.1M-25.4K0.0012.79644091,7511,932
2024-10-11$1.67$1.0053.6%15.4%45.7%15.3%50.0%188.2%-6.5%118.2K-4.5M-27.0K0.0286.17110292,2721,932
2024-10-14$1.63$1.0053.7%15.4%45.4%15.4%0.0%10.5%22.0%110.2K-4.0M-23.9K0.0069.21365092,3681,933
2024-10-15$1.58$1.0051.8%14.8%46.4%14.3%89.3%21.2%8.9%101.7K-3.8M-23.8K0.0190.90167292,2501,933
2024-10-16$1.58$1.0060.2%17.2%46.4%18.8%0.0%26.9%9.1%101.6K-3.8M-23.7K0.0290.08128392,2991,982
2024-10-17$1.56$1.0068.6%19.7%45.2%23.4%0.0%8.4%-9.7%97.4K-3.7M-23.4K0.0191.7191192,3031,985
2024-10-18$1.52$1.0067.3%19.3%45.8%22.7%95.1%-1.1%-12.8%89.7K-3.1M-20.0K1.1366.4623526692,3821,986
2024-10-21$1.52$1.0061.6%17.7%45.3%19.6%109.7%-214.9%10.3%84.9K-2.7M-18.2K0.0266.07128391,2522,218
2024-10-22$1.52$1.0062.8%18.0%44.1%20.3%0.0%-24.3%3.8%89.4K-3.2M-20.8K0.019.86379291,3542,222
2024-10-23$1.48$1.0090.8%26.0%41.0%35.3%79.8%-31.2%-32.2%83.4K-2.9M-19.7K0.199.181452791,6252,221
2024-10-24$1.48$1.0092.8%26.6%41.0%36.4%98.2%-32.0%-40.6%72.0K-2.1M-14.3K0.0110.2071191,7392,247
2024-10-25$1.50$1.00105.7%30.3%41.4%43.3%0.0%-33.1%-61.5%85.7K-2.8M-18.8K0.6410.91785091,7412,248
2024-10-28$1.54$1.0074.4%21.3%42.7%26.5%107.5%-21.3%-0.0%92.9K-3.0M-19.4K0.0014.7332091,7852,197
2024-10-29$1.50$1.00100.3%28.8%42.8%40.4%97.8%-28.6%-38.7%85.2K-2.7M-18.6K0.0112.9990191,9802,197
2024-10-30$1.50$1.00103.5%29.7%41.6%42.1%0.0%-29.5%-46.3%85.0K-2.7M-17.8K0.0111.283,1002692,0562,201
2024-10-31$1.50$1.00106.9%30.6%30.9%43.9%0.0%-30.6%-37.7%88.8K-3.1M-20.6K0.0012.30125094,2622,206