REI Options History — May 2020 In May 2020, REI traded between $0.71 and $1.25. ATM implied volatility averaged 143.2%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 40.3%. IV traded above realized volatility by 5.3% (HV 20d: 137.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.08.
Notable Days 2020-05-07 : Highest Volume — 678 contracts2020-05-22 : Largest IV spike — 26.3% change2020-05-01 : Highest IV Rank — 58.3%2020-05-08 : Largest Expected Move — 51.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.90 $0.71 $1.25 $0.86 $1.21 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 143.2% 111.5% 189.5% 189.5% 121.3% Expected Move 40.3% 32.0% 51.2% 43.6% 34.8% HV 20d 137.9% 118.8% 153.4% 150.8% 118.8% HV 60d 162.6% 157.5% 168.9% 157.6% 168.9% IV Rank 40.1% 26.6% 58.3% 58.3% 30.5% IV Percentile 78.9% 54.8% 96.8% 96.8% 65.5% Term Structure -5.9% -72.4% 76.5% 17.4% -41.9% Bid-Ask Spread % 56.85 11.20 93.01 74.73 82.37 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 17 0 132 5 132 Net DEX 36.8K 31.3K 50.2K 37.0K 41.0K Net VEX -11 -75 0 -7 -75 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.08 0.00 1.00 0.00 0.00 Total Volume 81.7 1 678 2 40 Total OI 2,632.65 1,988 3,119 1,991 3,119
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 2020-05-01 $0.86 $2.50 189.5% 0.0% 150.8% 58.3% 0.0% 0.0% 0.0% 5 37.0K -7 0.00 74.73 2 0 1,541 450 2020-05-04 $0.82 $2.50 152.0% 43.6% 149.0% 43.8% 0.0% 0.0% 17.4% 0 36.9K 0 1.00 11.20 6 6 1,543 450 2020-05-05 $0.80 $2.50 123.0% 35.3% 136.0% 32.6% 0.0% 0.0% 27.2% 0 35.5K 0 0.00 82.32 62 0 1,544 444 2020-05-06 $0.71 $2.50 136.5% 39.1% 143.0% 37.8% 0.0% 0.0% 35.1% 0 31.5K 0 0.54 71.44 28 15 1,596 444 2020-05-07 $0.75 $2.50 163.3% 46.8% 144.0% 48.1% 0.0% 0.0% -55.9% 0 32.9K 0 0.00 25.09 678 0 1,615 439 2020-05-08 $0.75 $2.50 178.5% 51.2% 144.0% 54.0% 0.0% 0.0% -72.4% 0 32.9K 0 0.00 23.29 9 0 2,231 439 2020-05-11 $0.77 $2.50 136.2% 39.1% 144.1% 37.7% 0.0% 0.0% -44.2% 0 33.0K 0 0.00 18.71 2 0 2,236 429 2020-05-12 $0.83 $2.50 152.9% 43.8% 145.6% 44.1% 0.0% 0.0% 19.2% 0 35.6K 0 0.00 60.11 85 0 2,236 429 2020-05-13 $0.73 $2.50 145.7% 41.8% 153.4% 41.4% 0.0% 0.0% 28.2% 0 31.3K 0 0.00 65.83 89 0 2,286 429 2020-05-14 $0.73 $2.50 147.7% 42.3% 147.4% 42.1% 0.0% 0.0% -11.1% 0 31.3K 0 0.00 42.28 1 0 2,375 429 2020-05-15 $0.75 $2.50 146.8% 42.1% 133.1% 41.8% 0.0% 0.0% 0.0% 0 32.2K 0 0.00 81.55 3 0 2,375 429 2020-05-18 $0.86 $2.50 137.4% 39.4% 130.1% 38.1% 0.0% 0.0% 60.7% 0 36.9K 0 0.00 72.08 39 0 2,353 429 2020-05-19 $0.86 $2.50 139.6% 40.0% 130.1% 39.0% 0.0% 0.0% -14.9% 0 36.9K 0 0.00 29.15 52 0 2,387 429 2020-05-20 $0.90 $2.50 136.5% 39.1% 128.4% 37.8% 0.0% 0.0% -38.3% 0 37.7K 0 0.00 83.15 5 0 2,417 419 2020-05-21 $1.02 $2.50 123.7% 35.5% 128.8% 32.8% 0.0% 0.0% 76.5% 58 36.7K -34 0.03 85.21 151 4 2,419 419 2020-05-22 $1.00 $2.50 156.3% 44.8% 129.5% 45.4% 0.0% 0.0% -16.3% 0 41.5K 0 0.00 27.81 36 0 2,487 415 2020-05-26 $1.14 $2.50 145.9% 41.8% 132.3% 40.2% 0.0% 0.0% -19.1% 66 42.0K -37 0.01 37.35 110 1 2,484 415 2020-05-27 $1.25 $2.50 111.5% 32.0% 134.3% 26.6% 0.0% 0.0% -36.6% 82 42.7K -64 0.01 70.32 145 2 2,576 415 2020-05-28 $1.21 $2.50 118.5% 34.0% 134.5% 29.4% 0.0% 0.0% -20.7% 0 50.2K 0 0.02 93.01 62 1 2,666 415 2020-05-29 $1.21 $2.50 121.3% 34.8% 118.8% 30.5% 0.0% 0.0% -41.9% 132 41.0K -75 0.00 82.37 40 0 2,704 415
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