REI Options History — January 2019

In January 2019, REI traded between $5.09 and $6.20. ATM implied volatility averaged 66.8%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 16.8% (HV 20d: 83.6%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2019-01-04: Highest Volume — 1,897 contracts
2019-01-09: Largest IV spike — 33.4% change
2019-01-02: Highest IV Rank — 91.9%
2019-01-02: Largest Expected Move — 23.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.78	$5.09	$6.20	$5.09	$5.82
Max Pain	$5.00	$2.50	$7.50	$2.50	$7.50
ATM IV	66.8%	45.3%	82.6%	82.6%	45.3%
Expected Move	19.8%	13.4%	23.7%	23.7%	19.5%
HV 20d	83.6%	60.7%	105.6%	98.8%	62.2%
HV 60d	75.2%	73.7%	77.6%	76.1%	73.8%
IV Rank	62.9%	23.6%	91.9%	91.9%	23.6%
IV Percentile	72.2%	10.3%	98.4%	98.4%	10.3%
Term Structure	5.6%	-7.4%	28.2%	-7.4%	5.7%
VWIV	65.7%	41.8%	79.9%	79.9%	67.7%
Skew 25d	13.0%	-1.5%	34.6%	33.5%	-1.5%
Skew 10d	38.4%	12.8%	61.1%	61.1%	32.3%
Call IV 25d	63.0%	43.3%	77.9%	77.9%	69.6%
Put IV 25d	76.0%	67.0%	111.4%	111.4%	68.2%
Bid-Ask Spread %	53.36	20.30	77.54	20.30	77.54
Gamma HHI	0.61	0.36	0.69	0.36	0.65
Net GEX	14.7K	6.3K	18.3K	6.3K	16.9K
Net DEX	-561.8K	-805.2K	-162.2K	-162.2K	-634.8K
Net VEX	-3.6K	-4.4K	-1.5K	-1.5K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.00	2.77	1.53	0.30
Total Volume	245.81	0	1,897	512	216
Total OI	9,215.524	7,610	10,120	7,610	10,120

Daily Data (21 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
2019-01-02	$5.09	$2.50	82.6%	23.7%	98.8%	91.9%	79.9%	33.5%	-7.4%	6.3K	-162.2K	-1.5K	1.53	20.30	202	310	7,319	291
2019-01-03	$5.20	$5.00	74.8%	21.7%	98.9%	78.0%	75.2%	13.9%	-0.2%	6.5K	-185.1K	-1.6K	1.53	53.44	202	310	7,445	391
2019-01-04	$5.58	$5.00	71.8%	21.7%	103.5%	72.6%	75.7%	-0.0%	1.1%	7.9K	-256.6K	-1.9K	0.20	55.00	1,587	310	7,445	391
2019-01-07	$5.87	$5.00	75.2%	21.9%	105.6%	78.7%	74.5%	13.8%	0.2%	16.5K	-684.3K	-4.2K	0.07	56.20	76	5	8,865	391
2019-01-08	$5.81	$5.00	56.1%	21.0%	103.8%	44.5%	73.0%	7.9%	2.3%	15.8K	-649.3K	-4.1K	0.14	63.67	107	15	8,919	391
2019-01-09	$5.91	$5.00	74.9%	21.5%	98.0%	77.7%	72.5%	11.6%	3.4%	16.4K	-700.1K	-4.2K	0.21	63.60	72	15	8,954	401
2019-01-10	$6.15	$5.00	67.4%	19.3%	94.7%	63.9%	66.5%	10.4%	5.6%	18.3K	-802.5K	-4.4K	0.20	71.75	74	15	8,973	401
2019-01-11	$6.20	$5.00	70.0%	20.1%	93.1%	68.7%	68.3%	13.4%	0.4%	18.3K	-805.2K	-4.4K	0.13	72.27	117	15	8,963	401
2019-01-14	$6.12	$5.00	67.4%	19.3%	86.4%	64.1%	0.0%	9.0%	6.3%	18.1K	-787.9K	-4.3K	0.00	72.38	17	0	9,002	401
2019-01-15	$6.18	$5.00	68.5%	19.6%	84.8%	65.9%	64.4%	7.5%	5.3%	18.3K	-792.8K	-4.3K	0.00	67.88	27	0	9,009	401
2019-01-16	$6.15	$5.00	57.2%	16.4%	81.3%	45.4%	41.8%	8.3%	28.2%	18.1K	-761.9K	-4.2K	0.00	68.94	56	0	8,999	401
2019-01-17	$6.01	$5.00	68.7%	19.7%	82.0%	66.4%	68.6%	5.2%	1.0%	17.4K	-718.4K	-4.0K	0.00	68.69	90	0	9,030	401
2019-01-18	$6.04	$5.00	63.6%	18.2%	72.8%	57.1%	56.1%	7.6%	15.4%	17.6K	-715.5K	-4.0K	0.00	68.23	81	0	9,054	401
2019-01-22	$5.49	$5.00	72.5%	20.8%	80.7%	73.2%	72.0%	11.0%	-2.2%	13.7K	-486.4K	-3.4K	0.00	36.83	0	25	8,922	388
2019-01-23	$5.39	$5.00	71.9%	20.6%	76.4%	72.2%	72.1%	33.9%	-0.3%	12.6K	-419.6K	-3.2K	0.00	30.04	0	31	8,922	412
2019-01-24	$5.40	$5.00	73.5%	21.1%	75.6%	75.1%	56.6%	34.1%	-1.1%	12.5K	-429.4K	-3.2K	2.77	25.83	84	233	8,922	412
2019-01-25	$5.78	$5.00	59.9%	17.2%	66.3%	50.3%	48.4%	6.8%	21.8%	14.6K	-459.5K	-3.6K	2.18	39.81	107	233	8,998	587
2019-01-28	$5.62	$5.00	68.7%	19.7%	67.4%	66.4%	0.0%	3.2%	0.3%	13.7K	-418.6K	-3.4K	0.00	38.43	0	0	9,014	587
2019-01-29	$5.56	$5.00	65.4%	18.7%	60.7%	60.3%	0.0%	34.6%	8.5%	13.1K	-400.7K	-3.3K	0.00	43.02	0	0	9,014	587
2019-01-30	$5.92	$5.00	46.6%	13.4%	61.6%	25.9%	48.6%	8.6%	23.3%	15.7K	-527.2K	-3.7K	0.10	26.68	480	50	9,014	587
2019-01-31	$5.82	$7.50	45.3%	19.5%	62.2%	23.6%	67.7%	-1.5%	5.7%	16.9K	-634.8K	-4.1K	0.30	77.54	166	50	9,483	637