REI Options History — July 2020

In July 2020, REI traded between $1.03 and $1.23. ATM implied volatility averaged 146.8%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 41.1%. IV traded above realized volatility by 58.1% (HV 20d: 88.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.02.

Notable Days

2020-07-22: Highest Volume — 291 contracts
2020-07-10: Largest IV spike — 144.3% change
2020-07-10: Highest IV Rank — 78.8%
2020-07-10: Largest Expected Move — 69.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.11	$1.03	$1.23	$1.17	$1.08
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	146.8%	99.7%	243.5%	167.8%	137.3%
Expected Move	41.1%	28.6%	69.8%	48.1%	39.4%
HV 20d	88.7%	60.0%	177.4%	176.8%	60.0%
HV 60d	136.1%	123.5%	145.6%	143.2%	123.5%
IV Rank	40.5%	21.9%	78.8%	48.9%	36.8%
IV Percentile	66.4%	36.5%	98.8%	90.1%	66.3%
Term Structure	23.0%	-75.3%	76.7%	-43.9%	29.4%
Bid-Ask Spread %	100.77	21.73	161.81	121.18	87.65
Gamma HHI	0.96	0.82	1.00	0.84	1.00
Net GEX	107	0	589	418	0
Net DEX	3.0K	-31.3K	12.4K	-21.7K	10.9K
Net VEX	-56	-262	0	-234	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.33	0.06	0.00
Total Volume	68.045	0	291	37	26
Total OI	3,905.045	3,383	4,237	3,999	3,682

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
2020-07-01	$1.17	$2.50	167.8%	48.1%	176.8%	48.9%	0.0%	0.0%	-43.9%	418	-21.7K	-234	0.06	121.18	35	2	3,899	100
2020-07-02	$1.23	$2.50	140.8%	40.4%	177.4%	38.2%	0.0%	0.0%	-20.7%	589	-26.0K	-251	0.00	119.29	18	0	3,931	105
2020-07-06	$1.18	$2.50	172.4%	0.0%	165.9%	50.7%	0.0%	0.0%	-10.3%	0	12.4K	0	0.05	137.90	202	11	3,947	105
2020-07-07	$1.09	$2.50	197.0%	43.3%	98.6%	60.4%	0.0%	0.0%	-5.1%	0	11.6K	0	0.00	161.81	0	0	4,011	106
2020-07-08	$1.12	$2.50	131.6%	37.7%	100.3%	34.6%	0.0%	0.0%	26.3%	0	11.9K	0	0.00	154.62	9	0	4,011	106
2020-07-09	$1.04	$2.50	99.7%	28.6%	95.9%	21.9%	0.0%	0.0%	70.9%	0	11.0K	0	0.00	141.46	5	0	4,018	106
2020-07-10	$1.05	$2.50	243.5%	69.8%	79.6%	78.8%	0.0%	0.0%	-75.3%	0	11.1K	0	0.00	116.96	83	0	4,021	106
2020-07-13	$1.06	$2.50	229.6%	65.8%	78.0%	73.3%	0.0%	0.0%	-32.7%	399	-23.0K	-240	0.33	108.53	6	2	4,091	106
2020-07-14	$1.05	$2.50	234.9%	67.3%	77.9%	75.3%	0.0%	0.0%	-58.6%	0	11.1K	0	0.00	110.81	63	0	4,097	106
2020-07-15	$1.08	$2.50	128.0%	36.7%	79.2%	33.1%	0.0%	0.0%	41.7%	0	11.4K	0	0.04	104.95	194	8	4,110	106
2020-07-16	$1.09	$2.50	137.1%	39.3%	73.5%	36.7%	0.0%	0.0%	35.0%	478	-22.8K	-226	0.00	41.74	21	0	4,110	106
2020-07-17	$1.06	$2.50	134.1%	38.4%	73.7%	35.5%	0.0%	0.0%	-53.3%	0	11.2K	0	0.00	43.61	7	0	4,131	106
2020-07-20	$1.03	$2.50	116.7%	33.4%	69.1%	28.6%	0.0%	0.0%	67.8%	0	10.4K	0	0.00	105.60	252	0	3,282	101
2020-07-21	$1.11	$2.50	136.0%	39.0%	75.4%	36.3%	0.0%	0.0%	42.2%	0	11.2K	0	0.00	90.84	20	0	3,427	101
2020-07-22	$1.15	$2.50	107.4%	30.8%	77.0%	25.0%	0.0%	0.0%	60.8%	441	-31.3K	-262	0.00	103.16	291	0	3,431	101
2020-07-23	$1.19	$2.50	105.2%	30.2%	70.2%	24.1%	0.0%	0.0%	69.8%	4	11.7K	-3	0.00	91.80	21	0	3,555	101
2020-07-24	$1.19	$2.50	107.0%	30.7%	70.0%	24.8%	0.0%	0.0%	75.7%	3	11.6K	-3	0.00	69.33	69	0	3,546	101
2020-07-27	$1.15	$2.50	117.7%	33.7%	63.7%	29.0%	0.0%	0.0%	73.0%	0	11.6K	0	0.00	87.87	13	0	3,614	101
2020-07-28	$1.13	$2.50	131.7%	37.8%	62.8%	34.6%	0.0%	0.0%	76.7%	6	10.8K	-5	0.00	21.73	4	0	3,620	101
2020-07-29	$1.14	$2.50	123.9%	35.5%	62.8%	31.5%	0.0%	0.0%	76.7%	7	10.8K	-5	0.00	107.42	129	0	3,623	101
2020-07-30	$1.11	$2.50	130.3%	37.4%	62.7%	34.0%	0.0%	0.0%	59.4%	6	10.6K	-5	0.00	88.74	6	0	3,581	101
2020-07-31	$1.08	$2.50	137.3%	39.4%	60.0%	36.8%	0.0%	0.0%	29.4%	0	10.9K	0	0.00	87.65	26	0	3,581	101