REI Options History — June 2020

In June 2020, REI traded between $1.11 and $1.95. ATM implied volatility averaged 141.9%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 39.7%. IV traded below realized volatility by 20.3% (HV 20d: 162.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.05.

Notable Days

2020-06-08: Highest Volume — 1,790 contracts
2020-06-15: Largest IV drop — 38.6% change
2020-06-12: Highest IV Rank — 50.0%
2020-06-12: Largest Expected Move — 48.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.37	$1.11	$1.95	$1.14	$1.14
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	141.9%	104.8%	170.6%	140.0%	144.1%
Expected Move	39.7%	26.6%	48.9%	40.1%	41.3%
HV 20d	162.2%	104.9%	181.9%	119.0%	176.7%
HV 60d	151.3%	131.6%	168.0%	168.0%	147.7%
IV Rank	38.6%	23.9%	50.0%	37.8%	39.5%
IV Percentile	74.2%	45.2%	91.3%	77.8%	75.8%
Term Structure	-25.5%	-142.6%	49.6%	-31.3%	-61.7%
VWIV	146.6%	145.7%	147.4%	145.7%	147.4%
Bid-Ask Spread %	87.72	14.43	129.54	73.99	115.68
Gamma HHI	0.95	0.76	1.00	1.00	1.00
Net GEX	658	0	2.9K	0	0
Net DEX	-18.6K	-148.6K	47.3K	47.3K	11.4K
Net VEX	-312	-1.0K	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.24	0.00	0.00
Total Volume	211.045	1	1,790	101	105
Total OI	4,045.636	3,156	5,195	3,156	3,896

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
2020-06-01	$1.14	$2.50	140.0%	40.1%	119.0%	37.8%	0.0%	0.0%	-31.3%	0	47.3K	0	0.00	73.99	101	0	2,741	415
2020-06-02	$1.14	$2.50	144.1%	41.3%	116.9%	39.5%	0.0%	0.0%	-34.2%	0	47.2K	0	0.00	71.49	36	0	2,821	414
2020-06-03	$1.12	$2.50	159.2%	45.6%	116.6%	45.4%	0.0%	0.0%	-38.2%	142	34.1K	-89	0.00	56.72	55	0	2,829	414
2020-06-04	$1.15	$2.50	170.3%	41.6%	104.9%	49.8%	0.0%	0.0%	39.3%	156	34.4K	-94	0.24	14.43	51	12	2,880	414
2020-06-05	$1.37	$2.50	127.3%	31.8%	117.5%	32.9%	0.0%	0.0%	-99.5%	174	37.7K	-121	0.01	104.07	160	1	2,895	414
2020-06-08	$1.95	$2.50	163.7%	26.6%	163.4%	47.2%	145.7%	0.0%	-23.8%	2.3K	-104.5K	-833	0.08	86.21	1,660	130	2,924	414
2020-06-09	$1.94	$2.50	108.7%	42.0%	164.3%	25.5%	147.4%	0.0%	-21.1%	2.9K	-148.6K	-1.0K	0.02	72.78	534	10	3,816	457
2020-06-10	$1.72	$2.50	136.3%	39.1%	174.1%	36.4%	0.0%	0.0%	4.6%	1.4K	-98.9K	-783	0.00	101.45	167	0	4,036	453
2020-06-11	$1.45	$2.50	144.2%	41.3%	180.0%	39.5%	0.0%	0.0%	6.3%	1.3K	-81.9K	-713	0.06	129.54	171	11	4,092	443
2020-06-12	$1.50	$2.50	170.6%	48.9%	179.5%	50.0%	0.0%	0.0%	-32.0%	248	11.6K	-248	0.00	106.91	27	0	4,120	442
2020-06-15	$1.49	$2.50	104.8%	30.0%	180.2%	23.9%	0.0%	0.0%	-20.0%	266	13.8K	-249	0.00	95.77	113	0	4,138	441
2020-06-16	$1.50	$2.50	139.6%	40.0%	176.2%	37.7%	0.0%	0.0%	-14.4%	1.6K	-77.5K	-730	0.00	125.01	866	2	4,088	441
2020-06-17	$1.36	$2.50	160.3%	46.0%	181.6%	45.9%	0.0%	0.0%	-70.4%	341	8.1K	-228	0.00	34.45	30	0	4,870	307
2020-06-18	$1.34	$2.50	168.3%	48.2%	181.9%	49.0%	0.0%	0.0%	-142.6%	310	3.8K	-232	0.21	74.08	52	11	4,888	307
2020-06-19	$1.42	$2.50	163.1%	46.8%	178.2%	47.0%	0.0%	0.0%	-68.9%	2.2K	-118.0K	-840	0.23	101.40	13	3	4,894	147
2020-06-22	$1.36	$2.50	110.4%	31.7%	179.1%	26.2%	0.0%	0.0%	-5.3%	375	-17.3K	-218	0.03	73.14	35	1	3,700	98
2020-06-23	$1.36	$2.50	112.7%	32.3%	173.8%	27.1%	0.0%	0.0%	49.6%	459	-24.6K	-234	0.03	117.41	220	7	3,719	99
2020-06-24	$1.23	$2.50	145.9%	41.8%	175.0%	40.2%	0.0%	0.0%	39.9%	0	12.3K	0	0.00	110.27	34	0	3,796	100
2020-06-25	$1.21	$2.50	135.5%	38.8%	174.7%	36.1%	0.0%	0.0%	-26.9%	300	-22.9K	-233	0.00	59.85	0	1	3,778	100
2020-06-26	$1.11	$2.50	133.4%	38.2%	177.4%	35.2%	0.0%	0.0%	-51.7%	0	11.1K	0	0.00	119.69	12	0	3,778	100
2020-06-29	$1.15	$2.50	138.7%	39.8%	176.7%	37.3%	0.0%	0.0%	40.6%	0	11.4K	0	0.09	85.44	11	1	3,786	99
2020-06-30	$1.14	$2.50	144.1%	41.3%	176.7%	39.5%	0.0%	0.0%	-61.7%	0	11.4K	0	0.00	115.68	105	0	3,796	100