REI Options History — November 2019

In November 2019, REI traded between $1.73 and $2.38. ATM implied volatility averaged 101.5%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 29.1%. IV traded below realized volatility by 21.3% (HV 20d: 122.8%). 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 10 of 20 days. Put/call ratio averaged 0.42.

Notable Days

2019-11-07: Highest Volume — 1,084 contracts
2019-11-21: Largest IV spike — 45.5% change
2019-11-06: Highest IV Rank — 47.4%
2019-11-07: Largest Expected Move — 35.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.00	$1.73	$2.38	$1.75	$1.95
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	101.5%	76.2%	123.1%	115.1%	110.0%
Expected Move	29.1%	21.9%	35.0%	33.0%	31.5%
HV 20d	122.8%	112.3%	143.5%	118.0%	117.2%
HV 60d	118.1%	112.0%	121.5%	112.2%	116.3%
IV Rank	35.2%	21.0%	47.4%	42.9%	40.0%
IV Percentile	75.3%	57.9%	88.5%	85.3%	79.0%
Term Structure	6.8%	-18.1%	52.9%	24.7%	-14.9%
VWIV	100.3%	64.6%	122.4%	122.1%	101.7%
Bid-Ask Spread %	55.28	47.88	85.54	85.54	49.63
Gamma HHI	0.62	0.50	0.74	0.65	0.56
Net GEX	3.0K	1.0K	7.6K	1.2K	1.5K
Net DEX	-91.8K	-245.5K	5.9K	5.9K	-59.2K
Net VEX	-957	-1.5K	-576	-619	-852
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	4.00	0.00	4.00
Total Volume	177.3	5	1,084	10	5
Total OI	6,729.15	6,187	7,033	6,235	7,017

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
2019-11-01	$1.75	$2.50	115.1%	33.0%	118.0%	42.9%	0.0%	0.0%	24.7%	1.2K	5.9K	-619	0.00	85.54	10	0	5,641	594
2019-11-04	$1.83	$2.50	95.0%	34.2%	118.7%	31.6%	122.1%	0.0%	-15.4%	2.1K	-63.9K	-932	0.00	49.45	83	0	5,647	543
2019-11-05	$2.01	$2.50	107.0%	33.2%	120.7%	38.3%	116.6%	0.0%	-8.1%	2.6K	-108.4K	-1.1K	0.00	50.53	152	0	5,644	543
2019-11-06	$1.84	$2.50	123.1%	29.9%	125.4%	47.4%	120.3%	0.0%	-10.9%	2.1K	-71.5K	-950	0.68	52.92	62	42	5,726	543
2019-11-07	$2.27	$2.50	110.9%	35.0%	143.5%	40.5%	122.4%	0.0%	-12.5%	4.8K	-215.1K	-1.5K	0.00	58.53	1,079	5	5,784	584
2019-11-08	$2.29	$2.50	113.1%	31.3%	143.1%	41.8%	109.3%	0.0%	-5.7%	6.0K	-200.0K	-1.3K	0.00	54.12	524	2	6,106	583
2019-11-11	$2.38	$2.50	103.2%	25.9%	129.3%	36.2%	90.2%	0.0%	25.4%	7.6K	-245.5K	-1.3K	0.31	61.00	272	83	6,420	583
2019-11-12	$2.30	$2.50	112.8%	30.8%	124.0%	41.6%	107.6%	0.0%	-3.8%	6.7K	-186.8K	-1.2K	0.01	50.17	197	1	6,333	553
2019-11-13	$2.24	$2.50	93.2%	26.7%	123.3%	30.6%	93.8%	0.0%	21.5%	3.6K	-145.5K	-1.1K	0.09	61.32	135	12	6,399	552
2019-11-14	$2.12	$2.50	76.2%	21.9%	117.6%	21.0%	64.6%	0.0%	49.4%	3.2K	-106.2K	-1.0K	0.24	78.27	66	16	6,450	562
2019-11-15	$1.98	$2.50	89.6%	25.7%	112.3%	28.5%	93.2%	0.0%	21.6%	2.5K	-68.5K	-920	0.17	52.05	120	20	6,464	569
2019-11-18	$1.75	$2.50	103.1%	29.5%	120.9%	36.1%	0.0%	0.0%	12.2%	1.0K	-3.8K	-576	0.11	49.82	174	20	6,091	542
2019-11-19	$1.73	$2.50	105.4%	30.2%	119.9%	37.4%	0.0%	0.0%	-18.1%	1.1K	-4.4K	-616	0.14	48.06	29	4	6,258	541
2019-11-20	$1.90	$2.50	77.0%	22.1%	123.6%	21.4%	87.7%	0.0%	52.9%	1.3K	-21.7K	-701	0.40	51.41	60	24	6,265	541
2019-11-21	$1.89	$2.50	112.0%	32.1%	122.1%	41.1%	0.0%	0.0%	-5.3%	1.4K	-26.0K	-711	0.00	49.51	5	0	6,323	544
2019-11-22	$1.87	$2.50	97.5%	28.0%	121.0%	33.0%	0.0%	0.0%	-3.7%	1.3K	-25.6K	-702	0.00	50.91	10	0	6,318	544
2019-11-25	$1.95	$2.50	97.7%	28.0%	120.9%	33.1%	110.4%	0.0%	0.1%	2.9K	-81.6K	-947	0.11	47.88	92	10	6,323	544
2019-11-26	$2.01	$2.50	92.4%	26.5%	118.2%	30.1%	80.2%	0.0%	12.2%	3.2K	-102.1K	-987	0.02	52.62	104	2	6,352	554
2019-11-27	$2.00	$2.50	95.3%	27.3%	116.5%	31.8%	83.8%	0.0%	14.2%	3.3K	-105.5K	-1.0K	2.07	51.93	41	85	6,449	554
2019-11-29	$1.95	$2.50	110.0%	31.5%	117.2%	40.0%	101.7%	0.0%	-14.9%	1.5K	-59.2K	-852	4.00	49.63	1	4	6,463	554