REI Options History — March 2020

In March 2020, REI traded between $0.63 and $1.38. ATM implied volatility averaged 150.4%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 42.7%. IV traded below realized volatility by 13.5% (HV 20d: 163.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2020-03-11: Highest Volume — 178 contracts
2020-03-10: Largest IV spike — 100.0% change
2020-03-23: Highest IV Rank — 84.4%
2020-03-10: Largest Expected Move — 53.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.83	$0.63	$1.38	$1.38	$0.66
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	150.4%	93.5%	188.9%	120.4%	175.7%
Expected Move	42.7%	33.5%	53.6%	34.5%	46.2%
HV 20d	163.9%	61.2%	203.2%	79.9%	203.2%
HV 60d	119.6%	80.0%	134.2%	81.9%	133.0%
IV Rank	62.7%	30.7%	84.4%	45.9%	77.0%
IV Percentile	91.8%	62.3%	99.6%	86.5%	98.0%
Term Structure	-38.7%	-94.1%	52.4%	-41.8%	-49.6%
Bid-Ask Spread %	98.74	58.75	149.51	58.75	106.17
Gamma HHI	0.93	0.87	1.00	0.87	1.00
Net GEX	11	0	61	54	0
Net DEX	78.9K	36.9K	176.2K	176.2K	36.9K
Net VEX	-12	-78	0	-62	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	9.58	0.00	0.00
Total Volume	58.909	2	178	12	61
Total OI	3,808.091	2,180	4,797	4,497	2,212

Daily Data (22 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
2020-03-02	$1.38	$2.50	120.4%	34.5%	79.9%	45.9%	0.0%	0.0%	-41.8%	54	176.2K	-62	0.00	58.75	12	0	3,148	1,349
2020-03-03	$1.36	$2.50	116.8%	33.5%	77.2%	43.8%	0.0%	0.0%	52.4%	61	173.9K	-59	0.19	88.27	63	12	3,156	1,336
2020-03-04	$1.36	$2.50	120.4%	34.5%	76.5%	45.9%	0.0%	0.0%	-29.7%	59	173.9K	-59	0.29	72.73	69	20	3,217	1,336
2020-03-05	$1.23	$2.50	140.9%	34.6%	61.2%	57.4%	0.0%	0.0%	-43.8%	61	150.8K	-78	0.03	101.99	35	1	3,285	1,336
2020-03-06	$1.09	$2.50	162.1%	39.7%	68.8%	69.3%	0.0%	0.0%	5.5%	0	145.6K	0	0.10	106.81	146	14	3,301	1,336
2020-03-09	$0.67	$2.50	93.5%	0.0%	174.4%	30.7%	0.0%	0.0%	0.0%	0	89.7K	0	4.95	149.51	22	109	3,447	1,339
2020-03-10	$0.68	$2.50	187.0%	53.6%	176.2%	83.3%	0.0%	0.0%	-94.1%	0	90.9K	0	0.11	93.11	131	15	3,460	1,337
2020-03-11	$0.74	$2.50	144.2%	41.3%	181.2%	59.3%	0.0%	0.0%	-56.5%	0	61.1K	0	0.18	93.62	151	27	3,504	826
2020-03-12	$0.73	$2.50	158.7%	45.5%	180.9%	67.4%	0.0%	0.0%	-37.9%	0	61.5K	0	3.43	139.78	14	48	3,675	843
2020-03-13	$0.77	$2.50	177.3%	50.8%	184.0%	77.9%	0.0%	0.0%	-71.4%	0	64.8K	0	0.33	101.18	3	1	3,685	841
2020-03-16	$0.69	$2.50	182.7%	0.0%	184.6%	80.9%	0.0%	0.0%	0.0%	0	58.7K	0	0.00	98.51	2	0	3,688	851
2020-03-17	$0.73	$2.50	170.9%	49.0%	188.2%	74.3%	0.0%	0.0%	-46.5%	0	62.1K	0	9.58	89.90	12	115	3,690	851
2020-03-18	$0.67	$2.50	172.5%	49.4%	186.4%	75.2%	0.0%	0.0%	-51.6%	0	51.0K	0	0.00	105.92	24	0	3,701	761
2020-03-19	$0.75	$2.50	161.2%	46.2%	193.3%	68.8%	0.0%	0.0%	-49.6%	0	53.7K	0	0.22	101.23	9	2	3,725	716
2020-03-20	$0.71	$2.50	126.3%	0.0%	193.2%	49.2%	0.0%	0.0%	0.0%	0	50.8K	0	1.19	97.89	21	25	3,730	716
2020-03-23	$0.65	$2.50	188.9%	0.0%	193.7%	84.4%	0.0%	0.0%	0.0%	0	41.8K	0	0.00	86.65	5	0	1,603	643
2020-03-24	$0.63	$2.50	113.6%	0.0%	193.6%	42.0%	0.0%	0.0%	0.0%	0	40.5K	0	0.00	85.40	5	0	1,607	643
2020-03-25	$0.71	$2.50	160.2%	0.0%	202.1%	68.2%	0.0%	0.0%	0.0%	0	40.3K	0	0.00	104.95	68	0	1,612	568
2020-03-26	$0.68	$2.50	145.3%	0.0%	202.0%	59.9%	0.0%	0.0%	0.0%	0	38.6K	0	0.14	97.09	7	1	1,664	568
2020-03-27	$0.65	$2.50	137.9%	0.0%	202.0%	55.7%	0.0%	0.0%	0.0%	0	36.9K	0	0.00	95.72	16	0	1,666	568
2020-03-30	$0.66	$2.50	152.2%	0.0%	202.9%	63.8%	0.0%	0.0%	0.0%	0	36.9K	0	0.00	97.09	30	0	1,679	559
2020-03-31	$0.66	$2.50	175.7%	0.0%	203.2%	77.0%	0.0%	0.0%	0.0%	0	36.9K	0	0.00	106.17	61	0	1,653	559