REI Options History — June 2019

In June 2019, REI traded between $3.19 and $3.81. ATM implied volatility averaged 74.2%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 21.7% (HV 20d: 52.5%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.05.

Notable Days

2019-06-14: Highest Volume — 425 contracts
2019-06-10: Largest IV spike — 75.4% change
2019-06-03: Highest IV Rank — 100.0%
2019-06-03: Largest Expected Move — 31.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.44	$3.19	$3.81	$3.70	$3.26
Max Pain	$4.38	$2.50	$7.50	$5.00	$2.50
ATM IV	74.2%	53.0%	134.7%	109.7%	69.3%
Expected Move	17.9%	11.9%	31.4%	31.4%	19.9%
HV 20d	52.5%	45.1%	63.5%	63.5%	45.1%
HV 60d	48.3%	47.4%	49.7%	48.0%	47.9%
IV Rank	40.7%	14.8%	100.0%	100.0%	31.7%
IV Percentile	56.1%	21.0%	100.0%	100.0%	59.1%
Term Structure	-2.4%	-37.7%	22.6%	-22.7%	-30.5%
VWIV	69.6%	40.1%	87.1%	40.1%	87.1%
Skew 25d	-5.5%	-16.6%	14.0%	14.0%	-11.6%
Skew 10d	-5.5%	-16.6%	14.0%	14.0%	-11.6%
Call IV 25d	120.6%	102.7%	133.6%	102.7%	133.6%
Put IV 25d	115.2%	109.2%	122.0%	116.6%	122.0%
Bid-Ask Spread %	33.94	10.58	92.67	85.92	69.48
Gamma HHI	0.56	0.53	0.62	0.54	0.61
Net GEX	3.4K	2.6K	4.7K	4.4K	2.9K
Net DEX	973	-42.2K	72.4K	-42.2K	1.7K
Net VEX	-1.4K	-1.8K	-1.1K	-1.8K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.00	3.87	2.00	0.31
Total Volume	143.65	3	425	3	115
Total OI	5,899.4	4,161	6,612	6,255	4,337

Daily Data (20 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
2019-06-03	$3.70	$5.00	109.7%	31.4%	63.5%	100.0%	0.0%	14.0%	-22.7%	4.4K	-42.2K	-1.8K	2.00	85.92	1	2	5,674	581
2019-06-04	$3.77	$5.00	75.3%	21.6%	62.2%	51.5%	0.0%	-7.6%	-35.6%	4.6K	-37.9K	-1.7K	2.67	10.86	3	8	5,673	583
2019-06-05	$3.76	$5.00	79.6%	22.8%	62.2%	57.5%	0.0%	0.0%	-37.7%	4.5K	-39.8K	-1.7K	0.29	10.58	17	5	5,675	589
2019-06-06	$3.69	$7.50	121.2%	16.3%	60.6%	100.0%	0.0%	-16.6%	8.9%	4.3K	-26.2K	-1.6K	0.16	16.78	31	5	5,684	592
2019-06-07	$3.81	$5.00	76.8%	11.9%	53.5%	46.1%	40.1%	-11.6%	22.6%	4.7K	-36.3K	-1.7K	0.17	13.97	29	5	5,706	592
2019-06-10	$3.75	$5.00	134.7%	18.6%	49.3%	100.0%	0.0%	0.0%	-2.9%	4.5K	-41.2K	-1.7K	3.87	20.48	62	240	5,691	582
2019-06-11	$3.60	$5.00	123.6%	16.4%	49.2%	88.4%	0.0%	0.0%	5.1%	3.3K	46.7K	-1.6K	3.58	16.67	67	240	5,732	812
2019-06-12	$3.35	$5.00	56.9%	16.3%	52.6%	18.8%	66.4%	0.0%	13.5%	2.7K	72.4K	-1.4K	1.74	12.79	141	246	5,730	812
2019-06-13	$3.40	$5.00	54.3%	15.6%	52.6%	16.1%	72.9%	0.0%	14.8%	2.9K	34.9K	-1.4K	2.61	13.88	98	256	5,811	713
2019-06-14	$3.34	$5.00	63.6%	18.2%	52.4%	25.8%	77.1%	0.0%	-17.6%	2.7K	45.6K	-1.3K	1.71	67.45	157	268	5,813	723
2019-06-17	$3.26	$5.00	57.1%	16.4%	50.9%	19.1%	0.0%	0.0%	14.9%	2.9K	2.9K	-1.3K	0.00	13.11	3	0	5,913	625
2019-06-18	$3.35	$5.00	56.0%	16.1%	53.1%	17.9%	0.0%	0.0%	10.0%	3.1K	-12.4K	-1.4K	0.13	15.97	8	1	5,916	625
2019-06-19	$3.23	$5.00	55.9%	16.0%	53.6%	17.7%	0.0%	0.0%	14.6%	2.6K	17.5K	-1.2K	0.75	60.59	28	21	5,926	626
2019-06-20	$3.30	$5.00	56.3%	16.1%	53.4%	18.2%	67.1%	0.0%	9.6%	3.0K	-4.3K	-1.3K	0.27	17.28	78	21	5,926	646
2019-06-21	$3.19	$2.50	55.3%	15.8%	47.2%	17.1%	58.3%	0.0%	17.7%	2.6K	15.7K	-1.2K	0.20	88.18	108	22	5,966	646
2019-06-24	$3.25	$2.50	53.0%	15.2%	48.2%	14.8%	0.0%	0.0%	4.6%	2.7K	13.2K	-1.2K	0.08	14.95	127	10	3,591	570
2019-06-25	$3.25	$2.50	60.0%	17.2%	48.1%	22.1%	72.3%	0.0%	-10.5%	3.1K	-15.1K	-1.3K	0.16	17.89	132	21	3,715	568
2019-06-26	$3.25	$2.50	66.9%	19.2%	46.9%	29.2%	85.0%	0.0%	-35.8%	2.7K	19.8K	-1.1K	0.05	92.67	131	7	3,720	588
2019-06-27	$3.22	$2.50	59.1%	16.9%	45.5%	21.1%	69.4%	0.0%	9.8%	2.9K	4.5K	-1.2K	0.20	19.21	132	27	3,723	593
2019-06-28	$3.26	$2.50	69.3%	19.9%	45.1%	31.7%	87.1%	0.0%	-30.5%	2.9K	1.7K	-1.2K	0.31	69.48	88	27	3,724	613