REI Options History — September 2019

In September 2019, REI traded between $1.30 and $1.81. ATM implied volatility averaged 115.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 30.8%. IV traded below realized volatility by 4.6% (HV 20d: 120.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.12.

Notable Days

2019-09-19: Highest Volume — 258 contracts
2019-09-16: Largest IV spike — 37.5% change
2019-09-03: Highest IV Rank — 64.9%
2019-09-03: Largest Expected Move — 44.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.59	$1.30	$1.81	$1.30	$1.63
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	115.5%	82.5%	154.2%	154.2%	115.7%
Expected Move	30.8%	23.7%	44.2%	44.2%	33.2%
HV 20d	120.1%	96.4%	136.3%	112.1%	128.7%
HV 60d	94.8%	79.5%	104.4%	79.5%	104.3%
IV Rank	43.1%	24.6%	64.9%	64.9%	43.2%
IV Percentile	90.5%	79.0%	98.8%	98.8%	91.7%
Term Structure	13.5%	-78.3%	80.8%	-78.3%	54.8%
Bid-Ask Spread %	64.60	6.85	92.74	15.90	87.74
Gamma HHI	0.54	0.50	0.61	0.57	0.51
Net GEX	1.8K	650	2.9K	650	2.2K
Net DEX	-57.8K	-162.9K	40.3K	40.3K	-107.0K
Net VEX	-1.1K	-1.7K	-491	-491	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.00	29.00	0.10	0.00
Total Volume	91.5	6	258	174	10
Total OI	8,436.05	6,182	9,686	9,133	6,182

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
2019-09-03	$1.30	$2.50	154.2%	44.2%	112.1%	64.9%	0.0%	0.0%	-78.3%	650	40.3K	-491	0.10	15.90	158	16	8,367	766
2019-09-04	$1.44	$2.50	149.6%	42.9%	119.2%	62.3%	0.0%	0.0%	-72.5%	795	23.0K	-629	0.40	6.85	20	8	8,509	752
2019-09-05	$1.45	$2.50	142.5%	30.5%	113.1%	58.3%	0.0%	0.0%	35.4%	821	24.7K	-619	0.00	87.84	6	0	8,529	752
2019-09-06	$1.39	$2.50	138.1%	25.6%	96.4%	55.8%	0.0%	0.0%	-23.5%	777	26.8K	-586	29.00	84.43	1	29	8,534	752
2019-09-09	$1.55	$2.50	151.3%	29.6%	105.9%	63.2%	0.0%	0.0%	52.7%	1.8K	-58.2K	-1.3K	9.00	89.82	1	9	8,534	774
2019-09-10	$1.63	$2.50	140.9%	31.6%	108.0%	57.4%	0.0%	0.0%	-11.3%	1.8K	-44.2K	-1.3K	0.54	85.46	46	25	8,540	774
2019-09-11	$1.52	$2.50	88.5%	25.4%	109.9%	27.9%	0.0%	0.0%	42.4%	1.7K	-35.6K	-1.2K	0.78	85.67	18	14	8,535	756
2019-09-12	$1.39	$2.50	112.5%	32.2%	109.3%	41.4%	0.0%	0.0%	-28.7%	783	19.5K	-618	0.14	61.03	94	13	8,549	755
2019-09-13	$1.46	$2.50	92.3%	26.5%	105.3%	30.1%	0.0%	0.0%	11.6%	879	25.8K	-623	0.00	21.60	199	0	8,635	766
2019-09-16	$1.77	$2.50	127.0%	36.4%	126.4%	49.6%	0.0%	0.0%	-14.7%	2.7K	-123.9K	-1.6K	0.01	70.99	168	1	8,815	706
2019-09-17	$1.62	$2.50	87.6%	25.1%	130.3%	27.4%	0.0%	0.0%	37.2%	1.9K	-68.2K	-1.3K	0.86	61.22	7	6	8,756	707
2019-09-18	$1.58	$2.50	109.9%	31.5%	129.0%	40.0%	0.0%	0.0%	3.6%	1.7K	-40.7K	-1.1K	1.43	90.28	7	10	8,763	707
2019-09-19	$1.54	$2.50	82.5%	23.7%	128.9%	24.6%	0.0%	0.0%	37.7%	1.9K	-65.0K	-1.2K	0.00	61.49	258	0	8,768	684
2019-09-20	$1.76	$2.50	92.8%	26.6%	136.3%	30.4%	0.0%	0.0%	38.4%	2.8K	-116.9K	-1.6K	0.02	60.28	54	1	9,006	680
2019-09-23	$1.75	$2.50	97.4%	27.9%	130.8%	32.9%	0.0%	0.0%	-4.8%	2.6K	-134.9K	-1.5K	0.03	14.77	38	1	5,668	590
2019-09-24	$1.75	$2.50	107.3%	30.8%	130.7%	38.5%	0.0%	0.0%	46.4%	2.5K	-127.5K	-1.5K	0.01	62.52	164	2	5,674	590
2019-09-25	$1.74	$2.50	127.0%	36.4%	129.0%	49.6%	0.0%	0.0%	-16.8%	2.5K	-125.2K	-1.5K	0.00	87.80	95	0	5,695	590
2019-09-26	$1.81	$2.50	91.3%	26.2%	125.5%	29.5%	0.0%	0.0%	79.9%	2.9K	-162.9K	-1.7K	0.00	63.50	251	0	5,780	590
2019-09-27	$1.69	$2.50	102.5%	29.4%	128.1%	35.8%	0.0%	0.0%	80.8%	2.2K	-105.0K	-1.3K	0.00	92.74	100	0	5,601	590
2019-09-30	$1.63	$2.50	115.7%	33.2%	128.7%	43.2%	0.0%	0.0%	54.8%	2.2K	-107.0K	-1.3K	0.00	87.74	10	0	5,592	590