REI Options History — July 2019

In July 2019, REI traded between $2.30 and $3.39. ATM implied volatility averaged 74.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 25.4% (HV 20d: 49.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2019-07-10: Highest Volume — 692 contracts
2019-07-10: Largest IV drop — 55.3% change
2019-07-31: Highest IV Rank — 79.0%
2019-07-31: Largest Expected Move — 32.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.98	$2.30	$3.39	$3.38	$2.47
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	74.4%	48.0%	114.6%	70.9%	114.6%
Expected Move	20.1%	13.8%	32.9%	20.3%	32.9%
HV 20d	49.0%	40.3%	66.4%	44.8%	64.7%
HV 60d	51.2%	48.2%	58.5%	48.2%	57.7%
IV Rank	37.1%	9.5%	79.0%	33.4%	79.0%
IV Percentile	58.9%	9.5%	98.8%	64.3%	98.8%
Term Structure	-1.9%	-34.5%	26.5%	-4.1%	-16.1%
VWIV	77.2%	43.6%	114.6%	43.6%	114.6%
Bid-Ask Spread %	39.89	8.33	96.03	61.09	72.06
Gamma HHI	0.75	0.61	0.88	0.61	0.88
Net GEX	4.0K	2.1K	6.4K	3.4K	3.2K
Net DEX	-52.0K	-146.9K	3.2K	-27.0K	-76.8K
Net VEX	-1.6K	-2.3K	-1.1K	-1.4K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	3.62	0.00	0.15
Total Volume	230.636	32	692	153	371
Total OI	5,783.545	4,415	6,743	4,415	6,742

Daily Data (22 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
2019-07-01	$3.38	$2.50	70.9%	20.3%	44.8%	33.4%	0.0%	0.0%	-4.1%	3.4K	-27.0K	-1.4K	0.00	61.09	153	0	3,802	613
2019-07-02	$3.20	$2.50	62.1%	17.8%	47.2%	24.3%	0.0%	0.0%	-18.8%	3.2K	-4.2K	-1.2K	0.11	63.10	151	16	3,938	613
2019-07-03	$3.26	$2.50	72.4%	20.7%	48.2%	34.9%	0.0%	0.0%	-34.5%	3.4K	-3.4K	-1.3K	0.13	96.03	162	21	4,078	624
2019-07-05	$3.33	$2.50	78.1%	18.3%	49.0%	40.9%	0.0%	0.0%	1.2%	4.0K	-44.3K	-1.6K	0.53	11.64	40	21	4,078	624
2019-07-08	$3.33	$2.50	106.8%	19.0%	47.0%	70.9%	0.0%	0.0%	-18.1%	3.5K	3.2K	-1.2K	0.00	9.21	61	0	4,083	624
2019-07-09	$3.28	$2.50	108.9%	18.7%	47.0%	73.1%	0.0%	0.0%	-18.1%	3.3K	2.6K	-1.2K	0.00	8.33	161	0	4,142	624
2019-07-10	$3.39	$2.50	48.7%	14.0%	47.2%	10.3%	43.6%	0.0%	1.9%	3.3K	-33.1K	-1.3K	0.00	8.41	692	0	4,293	624
2019-07-11	$3.26	$2.50	53.8%	15.4%	42.0%	15.6%	57.2%	0.0%	13.7%	5.3K	-102.3K	-1.9K	0.09	12.06	32	3	4,920	627
2019-07-12	$3.30	$2.50	56.9%	16.3%	41.9%	18.8%	61.3%	0.0%	7.4%	5.7K	-120.3K	-2.0K	0.01	87.13	455	3	4,991	627
2019-07-15	$3.25	$2.50	52.7%	15.1%	41.8%	14.4%	0.0%	0.0%	23.9%	6.4K	-146.9K	-2.3K	0.00	17.76	32	0	5,430	624
2019-07-16	$3.14	$2.50	61.7%	17.7%	42.6%	23.9%	73.4%	0.0%	1.2%	5.8K	-101.8K	-2.0K	0.02	8.94	149	3	5,436	624
2019-07-17	$3.07	$2.50	50.8%	14.6%	41.8%	12.5%	53.5%	0.0%	23.9%	5.7K	-111.5K	-2.0K	2.21	13.73	47	104	5,538	626
2019-07-18	$2.96	$2.50	48.0%	13.8%	41.8%	9.5%	51.7%	0.0%	26.5%	4.9K	-76.2K	-1.8K	0.20	15.97	121	24	5,530	726
2019-07-19	$2.98	$2.50	59.9%	17.2%	40.9%	21.9%	77.2%	0.0%	3.5%	3.8K	-52.8K	-1.5K	0.22	57.44	175	38	5,576	738
2019-07-22	$3.04	$2.50	63.4%	18.2%	40.3%	25.6%	0.0%	0.0%	3.0%	5.6K	-84.3K	-1.9K	0.63	9.57	24	15	5,619	750
2019-07-23	$2.76	$2.50	76.4%	21.9%	51.5%	39.1%	77.2%	0.0%	2.8%	4.2K	-13.7K	-1.5K	1.07	73.50	214	230	5,639	765
2019-07-24	$2.57	$2.50	83.0%	23.8%	56.1%	46.0%	83.0%	0.0%	-2.5%	2.6K	-16.0K	-1.3K	3.62	56.56	65	235	5,736	720
2019-07-25	$2.42	$2.50	93.1%	26.7%	58.4%	56.6%	93.1%	0.0%	-2.3%	2.4K	-23.6K	-1.3K	0.71	30.12	198	140	5,801	674
2019-07-26	$2.43	$2.50	100.2%	28.7%	58.8%	64.0%	100.3%	0.0%	-8.8%	2.6K	-30.6K	-1.4K	0.56	30.02	243	136	5,937	674
2019-07-29	$2.30	$2.50	70.2%	20.1%	59.6%	32.7%	89.1%	0.0%	-19.7%	2.1K	-7.5K	-1.1K	0.15	65.19	246	38	6,001	664
2019-07-30	$2.49	$2.50	105.0%	30.1%	66.4%	69.0%	105.0%	0.0%	-7.5%	3.2K	-72.8K	-1.6K	0.23	69.80	207	48	6,052	691
2019-07-31	$2.47	$2.50	114.6%	32.9%	64.7%	79.0%	114.6%	0.0%	-16.1%	3.2K	-76.8K	-1.5K	0.15	72.06	323	48	6,065	677