REI Options History — March 2019

In March 2019, REI traded between $5.76 and $6.57. ATM implied volatility averaged 68.7%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 23.8% (HV 20d: 44.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2019-03-08: Highest Volume — 859 contracts
2019-03-06: Largest IV spike — 91.9% change
2019-03-07: Highest IV Rank — 100.0%
2019-03-07: Largest Expected Move — 26.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.02	$5.76	$6.57	$6.33	$5.87
Max Pain	$6.81	$5.00	$7.50	$7.50	$7.50
ATM IV	68.7%	44.7%	96.1%	45.2%	71.4%
Expected Move	19.4%	12.8%	26.1%	13.0%	20.5%
HV 20d	44.9%	38.6%	48.9%	38.6%	46.4%
HV 60d	62.5%	49.7%	73.0%	72.3%	49.7%
IV Rank	58.7%	22.5%	100.0%	23.4%	61.2%
IV Percentile	68.7%	9.5%	100.0%	9.5%	76.6%
Term Structure	1.3%	-8.2%	26.8%	26.8%	-1.0%
VWIV	67.4%	55.9%	91.1%	60.4%	60.3%
Skew 25d	8.6%	-0.2%	30.0%	15.4%	6.9%
Skew 10d	11.8%	-6.5%	37.8%	21.6%	11.0%
Call IV 25d	61.2%	42.2%	67.8%	42.2%	61.8%
Put IV 25d	69.8%	57.6%	91.5%	57.6%	68.7%
Bid-Ask Spread %	67.39	62.60	75.96	67.25	75.96
Gamma HHI	0.70	0.61	0.81	0.76	0.64
Net GEX	15.8K	13.0K	21.9K	19.7K	13.1K
Net DEX	-585.2K	-849.8K	-457.4K	-761.0K	-483.7K
Net VEX	-4.1K	-4.5K	-3.7K	-4.2K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.01	29.25	0.81	0.33
Total Volume	189.143	45	859	214	254
Total OI	7,635.524	3,964	11,272	10,385	4,191

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
2019-03-01	$6.33	$7.50	45.2%	13.0%	38.6%	23.4%	60.4%	15.4%	26.8%	19.7K	-761.0K	-4.2K	0.81	67.25	118	96	9,649	736
2019-03-04	$6.28	$7.50	52.5%	15.1%	38.7%	36.8%	67.9%	17.4%	-0.9%	18.4K	-718.2K	-4.0K	0.02	68.51	50	1	9,651	793
2019-03-05	$6.57	$7.50	44.7%	12.8%	40.9%	22.5%	82.0%	26.3%	2.3%	21.9K	-849.8K	-4.3K	0.02	65.13	55	1	9,670	794
2019-03-06	$6.18	$7.50	85.8%	24.6%	44.8%	97.7%	79.6%	29.8%	0.4%	18.8K	-675.0K	-4.0K	0.73	73.90	60	44	9,647	794
2019-03-07	$6.10	$7.50	91.1%	26.1%	44.9%	100.0%	91.1%	30.0%	-1.3%	18.9K	-655.0K	-4.0K	0.67	65.95	69	46	9,670	833
2019-03-08	$5.92	$7.50	63.6%	18.2%	44.5%	53.1%	74.0%	1.1%	-5.3%	14.4K	-532.8K	-3.7K	0.37	64.44	627	232	9,667	833
2019-03-11	$5.88	$5.00	96.1%	19.5%	44.2%	100.0%	69.0%	1.3%	-6.1%	14.9K	-540.2K	-4.2K	29.25	63.21	4	117	10,176	944
2019-03-12	$6.01	$5.00	72.0%	19.5%	43.9%	62.1%	64.7%	0.3%	-1.9%	14.9K	-566.8K	-4.5K	1.89	62.60	62	117	10,180	1,047
2019-03-13	$5.99	$5.00	71.8%	19.3%	43.9%	61.7%	66.3%	-0.2%	-2.2%	14.8K	-589.1K	-4.4K	0.85	63.11	130	110	10,225	1,047
2019-03-14	$5.93	$5.00	72.4%	20.2%	42.7%	62.7%	63.5%	4.6%	-1.9%	14.6K	-506.6K	-4.3K	0.96	62.91	23	22	10,125	1,047
2019-03-15	$5.98	$5.00	73.1%	19.3%	42.5%	63.9%	61.9%	2.8%	-4.6%	14.9K	-457.4K	-4.3K	0.58	64.03	62	36	10,069	1,066
2019-03-18	$6.18	$0.00	50.6%	20.2%	42.5%	28.6%	0.0%	3.0%	6.2%	16.6K	-672.5K	-4.4K	0.01	67.17	95	1	3,396	568
2019-03-19	$5.76	$0.00	69.6%	19.0%	48.6%	58.4%	0.0%	3.7%	-3.0%	13.8K	-508.9K	-4.0K	0.56	68.14	45	25	3,459	568
2019-03-20	$5.98	$0.00	57.1%	20.1%	48.9%	38.8%	66.3%	3.6%	21.5%	14.9K	-574.3K	-4.2K	0.36	70.36	73	26	3,480	643
2019-03-21	$5.99	$7.50	72.1%	19.3%	47.1%	62.3%	65.5%	2.1%	-7.3%	15.1K	-592.0K	-4.3K	0.36	68.32	73	26	3,508	644
2019-03-22	$5.97	$7.50	70.6%	20.6%	47.0%	59.9%	60.8%	3.7%	0.5%	15.3K	-580.0K	-4.2K	0.62	68.27	74	46	3,538	644
2019-03-25	$5.79	$7.50	72.8%	20.0%	47.8%	63.4%	67.1%	6.8%	-2.2%	13.8K	-489.4K	-4.0K	0.37	68.14	100	37	3,562	664
2019-03-26	$5.90	$7.50	64.0%	19.7%	48.3%	49.5%	55.9%	7.9%	13.6%	14.7K	-522.4K	-4.1K	0.20	70.71	187	37	3,662	701
2019-03-27	$5.94	$7.50	72.9%	19.6%	48.4%	63.5%	63.6%	7.4%	-8.2%	14.8K	-532.9K	-4.1K	0.07	70.21	365	24	3,598	701
2019-03-28	$5.89	$7.50	72.5%	20.9%	48.4%	63.0%	60.4%	7.5%	1.3%	13.0K	-480.3K	-3.8K	0.06	66.80	378	24	3,455	701
2019-03-29	$5.87	$7.50	71.4%	20.5%	46.4%	61.2%	60.3%	6.9%	-1.0%	13.1K	-483.7K	-3.8K	0.33	75.96	191	63	3,490	701