REI Options History — October 2019

In October 2019, REI traded between $1.30 and $1.85. ATM implied volatility averaged 124.9%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 34.8%. IV traded above realized volatility by 11.3% (HV 20d: 113.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.12.

Notable Days

2019-10-17: Highest Volume — 65 contracts
2019-10-10: Largest IV spike — 80.5% change
2019-10-22: Highest IV Rank — 76.9%
2019-10-22: Largest Expected Move — 50.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.58	$1.30	$1.85	$1.50	$1.65
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	124.9%	75.9%	175.5%	126.1%	138.1%
Expected Move	34.8%	21.8%	50.3%	36.2%	39.6%
HV 20d	113.6%	91.6%	125.9%	125.9%	116.5%
HV 60d	112.0%	104.8%	118.4%	105.3%	115.6%
IV Rank	48.4%	20.8%	76.9%	49.1%	55.8%
IV Percentile	88.9%	61.9%	99.6%	93.3%	93.3%
Term Structure	17.1%	-99.8%	65.8%	-9.0%	9.7%
VWIV	155.3%	155.3%	155.3%	155.3%	155.3%
Bid-Ask Spread %	84.50	56.90	112.05	59.29	97.46
Gamma HHI	0.61	0.49	1.00	0.60	0.66
Net GEX	1.2K	0	2.2K	940	1.2K
Net DEX	-10.7K	-86.5K	81.3K	-5.2K	8.3K
Net VEX	-671	-1.1K	0	-638	-591
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.96	0.00	0.00
Total Volume	22.826	1	65	17	1
Total OI	6,194.043	6,147	6,234	6,191	6,234

Daily Data (23 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
2019-10-01	$1.50	$2.50	126.1%	36.2%	125.9%	49.1%	0.0%	0.0%	-9.0%	940	-5.2K	-638	0.00	59.29	17	0	5,601	590
2019-10-02	$1.48	$2.50	139.1%	39.9%	120.9%	56.4%	0.0%	0.0%	64.3%	930	495	-613	0.00	90.15	4	0	5,602	590
2019-10-03	$1.50	$2.50	107.8%	34.9%	121.0%	38.8%	0.0%	0.0%	22.9%	930	976	-601	0.22	112.05	9	2	5,606	590
2019-10-04	$1.50	$2.50	111.6%	31.6%	119.9%	40.9%	0.0%	0.0%	48.6%	899	3.0K	-588	0.00	62.51	2	0	5,605	590
2019-10-07	$1.50	$2.50	158.7%	28.6%	113.2%	67.4%	0.0%	0.0%	55.5%	954	-205	-604	0.00	92.45	8	0	5,603	590
2019-10-08	$1.44	$2.50	140.4%	30.0%	112.3%	57.1%	0.0%	0.0%	59.5%	879	-254	-591	0.00	96.75	7	0	5,607	590
2019-10-09	$1.40	$2.50	75.9%	21.8%	110.1%	20.8%	0.0%	0.0%	65.8%	0	81.3K	0	0.00	95.45	0	21	5,607	581
2019-10-10	$1.42	$2.50	137.0%	39.3%	105.5%	55.2%	0.0%	0.0%	41.3%	857	5.8K	-574	0.96	90.07	26	25	5,607	600
2019-10-11	$1.50	$2.50	104.7%	30.0%	105.9%	37.0%	0.0%	0.0%	35.6%	919	5.0K	-574	0.17	91.78	29	5	5,615	595
2019-10-14	$1.30	$2.50	112.8%	32.3%	91.6%	41.6%	0.0%	0.0%	25.8%	759	7.5K	-509	0.25	67.13	16	4	5,614	595
2019-10-15	$1.50	$2.50	110.7%	31.7%	103.2%	40.4%	0.0%	0.0%	31.4%	978	-1.8K	-606	0.00	60.55	6	0	5,628	587
2019-10-16	$1.62	$2.50	117.3%	33.6%	106.7%	44.1%	0.0%	0.0%	41.1%	1.1K	-10.3K	-662	0.00	76.16	17	0	5,627	587
2019-10-17	$1.85	$2.50	137.0%	39.3%	115.9%	55.2%	155.3%	0.0%	-43.2%	2.2K	-84.7K	-1.1K	0.00	67.68	65	0	5,646	587
2019-10-18	$1.65	$2.50	153.0%	43.8%	114.0%	64.2%	0.0%	0.0%	-99.8%	1.1K	-2.6K	-642	0.22	93.93	37	8	5,640	587
2019-10-21	$1.59	$2.50	164.6%	47.2%	114.6%	70.8%	0.0%	0.0%	-40.4%	993	3.5K	-599	0.38	91.89	16	6	5,565	582
2019-10-22	$1.67	$2.50	175.5%	50.3%	116.2%	76.9%	0.0%	0.0%	-61.5%	1.2K	-4.9K	-661	0.19	88.38	21	4	5,565	587
2019-10-23	$1.74	$2.50	142.9%	41.0%	117.2%	58.5%	0.0%	0.0%	-40.6%	2.1K	-70.5K	-1.1K	0.00	89.66	38	0	5,586	583
2019-10-24	$1.66	$2.50	88.0%	25.2%	117.4%	27.6%	0.0%	0.0%	33.2%	1.2K	-5.6K	-655	0.00	56.90	0	12	5,566	583
2019-10-25	$1.75	$2.50	113.4%	32.5%	116.5%	41.9%	0.0%	0.0%	46.3%	2.2K	-86.5K	-1.1K	0.05	87.93	21	1	5,566	593
2019-10-28	$1.83	$2.50	91.9%	26.3%	116.5%	29.8%	0.0%	0.0%	58.7%	2.2K	-75.5K	-1.1K	0.02	90.80	49	1	5,587	594
2019-10-29	$1.71	$2.50	115.2%	33.0%	115.1%	42.9%	0.0%	0.0%	22.5%	1.2K	-15.6K	-701	0.17	87.88	6	1	5,606	594
2019-10-30	$1.63	$2.50	110.0%	31.5%	116.5%	40.0%	0.0%	0.0%	25.9%	1.2K	1.1K	-622	0.00	96.57	40	0	5,611	594
2019-10-31	$1.65	$2.50	138.1%	39.6%	116.5%	55.8%	0.0%	0.0%	9.7%	1.2K	8.3K	-591	0.00	97.46	1	0	5,640	594