REI Options History — February 2019

In February 2019, REI traded between $5.63 and $6.36. ATM implied volatility averaged 62.5%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 9.3% (HV 20d: 53.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.23.

Notable Days

2019-02-28: Highest Volume — 1,195 contracts
2019-02-04: Largest IV spike — 24.4% change
2019-02-11: Highest IV Rank — 82.5%
2019-02-11: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.02	$5.63	$6.36	$5.90	$6.11
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	62.5%	46.7%	77.5%	46.7%	49.0%
Expected Move	18.7%	13.4%	22.2%	20.2%	14.1%
HV 20d	53.2%	37.5%	62.1%	62.1%	37.5%
HV 60d	73.9%	73.3%	74.5%	73.8%	73.3%
IV Rank	54.9%	26.1%	82.5%	26.1%	30.4%
IV Percentile	60.9%	15.1%	92.9%	15.1%	25.4%
Term Structure	4.2%	-8.4%	22.7%	0.7%	17.4%
VWIV	57.0%	35.2%	80.2%	70.1%	57.1%
Skew 25d	10.6%	-14.6%	33.7%	0.8%	-2.5%
Skew 10d	27.9%	-13.8%	66.3%	35.9%	0.2%
Call IV 25d	52.0%	38.1%	69.4%	69.4%	43.5%
Put IV 25d	62.5%	41.0%	76.5%	70.2%	41.0%
Bid-Ask Spread %	66.34	26.83	79.37	76.66	65.79
Gamma HHI	0.68	0.63	0.73	0.64	0.71
Net GEX	20.6K	16.1K	25.0K	17.9K	16.1K
Net DEX	-827.0K	-1.0M	-646.3K	-691.1K	-646.3K
Net VEX	-4.8K	-5.4K	-3.9K	-4.4K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	1.47	0.12	0.07
Total Volume	335.053	37	1,195	379	1,195
Total OI	10,785.263	10,261	11,150	10,261	10,343

Daily Data (19 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
2019-02-01	$5.90	$7.50	46.7%	20.2%	62.1%	26.1%	70.1%	0.8%	0.7%	17.9K	-691.1K	-4.4K	0.12	76.66	339	40	9,604	657
2019-02-04	$6.04	$7.50	58.1%	19.9%	57.7%	46.9%	68.6%	2.7%	3.5%	19.9K	-777.5K	-4.7K	0.20	61.06	176	35	9,799	659
2019-02-05	$5.82	$7.50	55.6%	21.2%	56.7%	42.3%	62.8%	4.4%	-0.7%	19.0K	-761.0K	-4.7K	0.23	70.53	252	58	9,951	686
2019-02-06	$5.91	$7.50	68.3%	19.6%	56.8%	65.6%	40.0%	4.2%	7.5%	19.4K	-795.8K	-4.9K	0.05	79.37	256	14	9,956	712
2019-02-07	$5.71	$7.50	71.1%	20.4%	57.8%	70.7%	65.1%	26.5%	-1.0%	18.7K	-713.4K	-4.9K	0.54	69.74	132	71	10,203	719
2019-02-08	$5.63	$7.50	73.5%	21.1%	55.8%	75.1%	70.5%	33.7%	-2.7%	18.6K	-691.0K	-4.8K	0.41	75.91	129	53	10,294	737
2019-02-11	$5.78	$7.50	77.5%	22.2%	56.7%	82.5%	39.3%	31.0%	-5.8%	20.8K	-798.1K	-5.1K	0.00	26.83	72	0	10,388	737
2019-02-12	$5.83	$7.50	73.0%	20.9%	56.7%	74.2%	37.9%	28.5%	-1.6%	20.8K	-829.9K	-5.1K	0.12	63.00	82	10	10,333	737
2019-02-13	$6.01	$7.50	75.9%	21.8%	57.8%	79.6%	37.4%	29.1%	-4.2%	22.1K	-912.6K	-5.3K	0.08	77.58	132	10	10,353	747
2019-02-14	$6.09	$7.50	63.6%	18.2%	58.0%	57.0%	35.2%	27.9%	15.3%	22.4K	-924.7K	-5.2K	0.05	73.66	185	10	10,403	747
2019-02-15	$6.29	$7.50	62.2%	17.8%	58.5%	54.4%	69.3%	11.1%	2.7%	24.2K	-1.0M	-5.4K	0.07	74.45	286	20	10,352	747
2019-02-19	$6.14	$7.50	73.3%	21.0%	59.2%	74.7%	65.8%	6.3%	9.6%	23.3K	-930.2K	-5.1K	0.00	65.18	43	0	10,169	634
2019-02-20	$6.36	$7.50	63.9%	18.3%	48.1%	57.5%	63.2%	-14.6%	-3.0%	25.0K	-1.0M	-5.3K	0.65	60.30	31	20	10,171	634
2019-02-21	$6.12	$7.50	61.3%	17.6%	50.1%	52.9%	80.2%	-2.9%	-8.4%	23.4K	-914.7K	-5.1K	0.08	63.74	245	20	10,166	634
2019-02-22	$6.16	$7.50	46.7%	13.4%	50.0%	26.2%	49.2%	2.0%	22.7%	20.2K	-839.2K	-4.7K	0.16	62.53	216	35	10,158	619
2019-02-25	$6.23	$7.50	54.4%	15.6%	44.5%	40.1%	55.6%	3.7%	10.7%	21.6K	-899.5K	-4.9K	1.47	64.30	15	22	10,168	619
2019-02-26	$6.15	$7.50	56.1%	16.1%	43.4%	43.4%	63.3%	6.9%	11.3%	21.3K	-858.0K	-4.7K	0.03	63.68	1,032	32	10,173	628
2019-02-27	$6.10	$7.50	56.6%	16.2%	43.3%	44.2%	51.8%	2.6%	6.4%	17.1K	-660.6K	-3.9K	0.05	66.18	1,042	56	9,625	658
2019-02-28	$6.11	$7.50	49.0%	14.1%	37.5%	30.4%	57.1%	-2.5%	17.4%	16.1K	-646.3K	-3.9K	0.07	65.79	1,116	79	9,640	703