REI Options History — January 2020

In January 2020, REI traded between $2.14 and $3.27. ATM implied volatility averaged 80.4%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 2.8% (HV 20d: 83.2%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2020-01-06: Highest Volume — 1,087 contracts
2020-01-07: Largest IV spike — 74.8% change
2020-01-07: Highest IV Rank — 47.5%
2020-01-14: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.64	$2.14	$3.27	$2.65	$2.14
Max Pain	$2.62	$2.50	$5.00	$2.50	$2.50
ATM IV	80.4%	69.6%	123.3%	73.6%	79.2%
Expected Move	21.9%	14.4%	25.6%	21.1%	22.7%
HV 20d	83.2%	67.5%	91.3%	70.1%	84.3%
HV 60d	97.4%	92.5%	106.7%	103.4%	93.1%
IV Rank	23.3%	17.3%	47.5%	19.5%	22.7%
IV Percentile	51.3%	27.8%	88.5%	44.8%	52.0%
Term Structure	13.2%	-5.8%	41.4%	10.4%	7.0%
VWIV	78.8%	50.6%	93.4%	73.9%	87.3%
Bid-Ask Spread %	49.29	19.27	74.46	33.66	72.14
Gamma HHI	0.77	0.49	0.95	0.63	0.95
Net GEX	2.5K	1.1K	4.5K	4.1K	2.1K
Net DEX	-125.7K	-467.8K	61.0K	-233.1K	61.0K
Net VEX	-1.6K	-1.9K	-1.2K	-1.4K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	3.00	0.21	0.00
Total Volume	226.095	8	1,087	17	8
Total OI	4,365.095	3,496	4,771	3,496	4,693

Daily Data (21 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
2020-01-02	$2.65	$2.50	73.6%	21.1%	70.1%	19.5%	73.9%	0.0%	10.4%	4.1K	-233.1K	-1.4K	0.21	33.66	14	3	2,697	799
2020-01-03	$2.79	$2.50	77.3%	22.2%	67.5%	21.6%	85.0%	0.0%	3.4%	3.9K	-302.2K	-1.5K	0.38	19.27	441	168	2,709	799
2020-01-06	$3.18	$5.00	70.6%	20.6%	77.8%	17.8%	65.9%	0.0%	41.4%	3.4K	-467.8K	-1.5K	1.16	37.39	503	584	2,795	929
2020-01-07	$3.27	$2.50	123.3%	22.6%	77.6%	47.5%	0.0%	0.0%	36.2%	2.2K	-391.2K	-1.8K	0.96	41.87	139	134	2,702	1,411
2020-01-08	$3.06	$2.50	74.4%	20.9%	84.0%	20.0%	90.0%	0.0%	6.6%	2.1K	-285.4K	-1.9K	0.13	59.58	513	66	2,707	1,536
2020-01-09	$2.99	$2.50	78.0%	19.5%	83.1%	22.0%	80.2%	0.0%	37.8%	2.7K	-243.8K	-1.8K	0.28	55.31	134	38	2,927	1,591
2020-01-10	$2.90	$2.50	73.2%	14.4%	84.6%	19.3%	50.6%	0.0%	39.7%	2.7K	-241.1K	-1.8K	0.05	67.57	245	12	2,979	1,626
2020-01-13	$2.66	$2.50	87.8%	23.8%	89.2%	27.5%	0.0%	0.0%	8.1%	4.5K	-131.8K	-1.7K	0.38	28.39	121	46	3,028	1,631
2020-01-14	$2.73	$2.50	93.2%	25.6%	86.0%	30.6%	89.1%	0.0%	0.3%	3.9K	-167.2K	-1.7K	0.58	30.43	55	32	3,080	1,637
2020-01-15	$2.59	$2.50	73.5%	21.1%	88.0%	19.5%	93.4%	0.0%	-5.8%	4.2K	-87.6K	-1.7K	0.09	66.60	11	1	3,112	1,659
2020-01-16	$2.70	$2.50	78.9%	22.6%	87.5%	22.5%	0.0%	0.0%	11.2%	1.6K	-169.6K	-1.7K	0.00	30.28	50	0	3,106	1,660
2020-01-17	$2.72	$2.50	69.6%	20.0%	86.0%	17.3%	69.4%	0.0%	19.6%	1.4K	-175.5K	-1.7K	0.00	65.14	65	0	3,080	1,660
2020-01-21	$2.50	$2.50	73.2%	21.0%	91.3%	19.3%	73.2%	0.0%	18.1%	1.2K	15.6K	-1.5K	0.56	68.23	91	51	2,503	1,473
2020-01-22	$2.44	$2.50	79.5%	22.8%	90.2%	22.8%	79.5%	0.0%	6.8%	1.1K	40.1K	-1.4K	0.07	26.38	122	8	2,564	1,524
2020-01-23	$2.49	$2.50	75.9%	21.8%	83.2%	20.8%	75.9%	0.0%	4.2%	1.2K	10.3K	-1.5K	1.05	36.42	164	172	2,564	1,520
2020-01-24	$2.44	$2.50	82.3%	23.6%	82.5%	24.4%	82.3%	0.0%	5.1%	1.7K	27.3K	-1.4K	0.10	62.70	412	40	2,747	1,526
2020-01-27	$2.32	$2.50	79.2%	22.7%	84.0%	22.7%	78.9%	0.0%	16.0%	2.2K	10.9K	-1.5K	0.00	74.46	102	0	3,056	1,566
2020-01-28	$2.38	$2.50	78.4%	22.5%	83.4%	22.2%	78.5%	0.0%	9.3%	2.4K	9.2K	-1.5K	0.73	34.01	11	8	3,121	1,566
2020-01-29	$2.31	$2.50	77.5%	22.2%	83.9%	21.7%	76.7%	0.0%	5.5%	2.3K	41.1K	-1.4K	2.26	63.92	27	61	3,120	1,572
2020-01-30	$2.28	$2.50	89.0%	25.5%	82.1%	28.2%	88.3%	0.0%	-4.4%	2.3K	41.6K	-1.3K	3.00	61.39	24	72	3,120	1,572
2020-01-31	$2.14	$2.50	79.2%	22.7%	84.3%	22.7%	87.3%	0.0%	7.0%	2.1K	61.0K	-1.2K	0.00	72.14	8	0	3,121	1,572