REI Options History — February 2020

In February 2020, REI traded between $1.42 and $2.27. ATM implied volatility averaged 87.1%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 25.2%. IV traded above realized volatility by 8.9% (HV 20d: 78.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.91.

Notable Days

2020-02-21: Highest Volume — 922 contracts
2020-02-10: Largest IV spike — 58.8% change
2020-02-27: Highest IV Rank — 49.4%
2020-02-27: Largest Expected Move — 36.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.89	$1.42	$2.27	$1.98	$1.42
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	87.1%	44.2%	126.6%	76.9%	117.4%
Expected Move	25.2%	12.7%	36.3%	22.0%	33.6%
HV 20d	78.2%	65.0%	84.2%	84.2%	81.2%
HV 60d	82.8%	78.5%	92.6%	92.6%	81.9%
IV Rank	27.1%	3.0%	49.4%	21.4%	44.2%
IV Percentile	52.6%	1.2%	90.1%	46.4%	86.5%
Term Structure	9.5%	-31.4%	55.8%	44.5%	-28.9%
VWIV	89.7%	54.6%	117.7%	98.6%	117.7%
Bid-Ask Spread %	61.44	13.54	95.74	65.61	82.82
Gamma HHI	0.81	0.47	1.00	0.92	1.00
Net GEX	1.3K	-172	3.1K	1.9K	1
Net DEX	142.6K	56.8K	208.9K	125.3K	199.5K
Net VEX	-782	-1.3K	0	-955	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	18.62	0.65	6.07
Total Volume	128.579	1	922	91	106
Total OI	4,747.684	4,443	4,923	4,691	4,538

Daily Data (19 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
2020-02-03	$1.98	$2.50	76.9%	22.0%	84.2%	21.4%	98.6%	0.0%	44.5%	1.9K	125.3K	-955	0.65	65.61	55	36	3,129	1,562
2020-02-04	$2.01	$2.50	56.5%	16.2%	65.0%	9.9%	58.8%	0.0%	43.2%	2.0K	126.4K	-1.0K	0.06	61.38	153	9	3,142	1,598
2020-02-05	$2.27	$2.50	44.2%	12.7%	81.2%	3.0%	54.6%	0.0%	38.8%	3.1K	96.4K	-1.2K	0.06	74.16	114	7	3,247	1,603
2020-02-06	$2.23	$2.50	58.1%	25.0%	79.2%	10.8%	87.3%	0.0%	5.4%	2.6K	56.8K	-1.3K	0.00	35.29	39	0	3,252	1,608
2020-02-07	$2.09	$2.50	68.7%	22.9%	81.1%	16.8%	93.9%	0.0%	-3.6%	2.4K	102.4K	-1.1K	0.00	35.18	1	0	3,262	1,608
2020-02-10	$1.97	$2.50	109.2%	28.0%	82.3%	39.6%	99.0%	0.0%	-11.6%	2.0K	142.7K	-917	0.10	68.60	107	11	3,263	1,608
2020-02-11	$2.01	$2.50	95.2%	23.5%	79.4%	31.7%	81.4%	0.0%	8.9%	2.2K	143.2K	-948	3.22	61.58	23	74	3,245	1,609
2020-02-12	$2.00	$2.50	93.9%	26.9%	78.1%	31.0%	104.3%	0.0%	-13.3%	2.2K	131.8K	-931	0.00	56.64	40	0	3,247	1,611
2020-02-13	$1.99	$2.50	75.8%	21.7%	76.9%	20.8%	67.0%	0.0%	7.8%	2.3K	145.0K	-915	1.02	65.28	52	53	3,235	1,611
2020-02-14	$1.98	$2.50	82.0%	23.5%	74.3%	24.3%	89.9%	0.0%	7.8%	2.2K	137.5K	-949	0.00	64.69	22	0	3,284	1,639
2020-02-18	$1.83	$2.50	63.8%	18.3%	77.0%	14.0%	0.0%	0.0%	47.1%	-132	208.9K	-573	0.97	13.54	33	32	3,296	1,623
2020-02-19	$1.89	$2.50	93.7%	26.9%	75.1%	30.8%	111.2%	0.0%	-17.2%	-131	188.9K	-556	0.00	61.57	22	0	3,307	1,474
2020-02-20	$1.95	$2.50	90.1%	25.8%	76.7%	28.8%	102.6%	0.0%	-9.3%	2.1K	114.8K	-883	0.00	75.28	92	0	3,312	1,474
2020-02-21	$1.89	$2.50	117.1%	33.6%	76.1%	44.0%	117.7%	0.0%	-15.3%	-140	182.6K	-605	18.62	58.76	47	875	3,325	1,474
2020-02-24	$1.80	$2.50	116.4%	33.4%	77.1%	43.6%	0.0%	0.0%	0.0%	-172	163.8K	-560	1.75	62.64	55	96	3,038	1,405
2020-02-25	$1.67	$2.50	75.7%	21.7%	79.0%	20.7%	0.0%	0.0%	42.9%	-133	156.1K	-535	0.10	64.26	67	7	3,074	1,415
2020-02-26	$1.54	$2.50	93.0%	26.7%	80.6%	30.4%	0.0%	0.0%	55.8%	46	143.9K	-497	3.56	64.39	9	32	3,129	1,415
2020-02-27	$1.46	$2.50	126.6%	36.3%	81.3%	49.4%	0.0%	0.0%	-31.4%	-48	143.3K	-438	0.13	95.74	154	20	3,138	1,406
2020-02-28	$1.42	$2.50	117.4%	33.6%	81.2%	44.2%	0.0%	0.0%	-28.9%	1	199.5K	0	6.07	82.82	15	91	3,133	1,405