REI Options History — August 2020

In August 2020, REI traded between $0.67 and $1.26. ATM implied volatility averaged 149.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 40.6%. IV traded above realized volatility by 78.3% (HV 20d: 71.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 5.27.

Notable Days

2020-08-07: Highest Volume — 234 contracts
2020-08-31: Largest IV drop — 35.2% change
2020-08-11: Highest IV Rank — 54.6%
2020-08-28: Largest Expected Move — 51.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.02	$0.67	$1.26	$1.13	$0.67
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	149.4%	106.4%	182.3%	141.3%	115.5%
Expected Move	40.6%	23.6%	51.1%	40.5%	51.1%
HV 20d	71.1%	48.1%	104.3%	61.2%	104.3%
HV 60d	119.2%	114.5%	123.4%	123.4%	117.7%
IV Rank	41.6%	24.6%	54.6%	38.4%	28.2%
IV Percentile	73.0%	33.3%	93.3%	72.2%	43.3%
Term Structure	17.6%	-56.7%	73.6%	53.3%	-23.3%
VWIV	139.6%	105.7%	193.6%	193.6%	119.6%
Bid-Ask Spread %	53.25	10.97	125.98	74.35	21.45
Gamma HHI	0.99	0.86	1.00	1.00	1.00
Net GEX	51	0	516	6	0
Net DEX	6.5K	-27.7K	11.5K	10.8K	7.7K
Net VEX	-30	-260	-3	-5	-3
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.27	0.00	100.00	0.00	0.00
Total Volume	57.905	0	234	49	118
Total OI	3,376.381	3,120	3,658	3,657	3,268

Daily Data (21 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
2020-08-03	$1.13	$2.50	141.3%	40.5%	61.2%	38.4%	0.0%	0.0%	53.3%	6	10.8K	-5	0.00	74.35	49	0	3,556	101
2020-08-04	$1.13	$2.50	171.9%	49.3%	54.0%	50.5%	0.0%	0.0%	53.1%	6	10.8K	-9	0.00	74.20	35	0	3,557	101
2020-08-05	$1.16	$2.50	145.7%	41.8%	54.0%	40.1%	0.0%	0.0%	47.8%	516	-26.4K	-260	0.00	125.98	133	0	3,544	101
2020-08-06	$1.12	$2.50	156.3%	50.5%	48.1%	44.3%	193.6%	0.0%	-56.7%	491	-27.7K	-260	0.00	24.61	6	0	3,447	101
2020-08-07	$1.13	$2.50	172.4%	31.4%	48.1%	50.7%	0.0%	0.0%	73.6%	0	11.4K	-4	0.00	11.81	234	0	3,452	101
2020-08-10	$1.26	$2.50	164.1%	23.6%	61.0%	47.4%	105.7%	0.0%	45.0%	12	11.5K	-12	0.00	67.20	15	0	3,275	101
2020-08-11	$1.14	$2.50	182.3%	33.7%	72.0%	54.6%	119.6%	0.0%	22.8%	12	10.2K	-13	0.00	54.79	178	0	3,283	101
2020-08-12	$1.11	$2.50	136.6%	39.2%	72.2%	36.5%	0.0%	0.0%	33.7%	0	11.2K	-3	2.00	58.45	1	2	3,266	101
2020-08-13	$1.05	$2.50	133.5%	38.3%	74.9%	35.3%	0.0%	0.0%	3.7%	12	9.3K	-12	0.00	10.97	28	0	3,267	102
2020-08-14	$1.08	$2.50	106.4%	30.5%	74.9%	24.6%	0.0%	0.0%	31.7%	13	9.8K	-12	0.00	82.56	8	0	3,266	102
2020-08-17	$1.10	$2.50	122.2%	35.0%	74.3%	30.8%	0.0%	0.0%	29.7%	0	11.2K	-3	0.11	20.84	9	1	3,272	102
2020-08-18	$1.06	$2.50	156.2%	44.8%	70.6%	44.3%	0.0%	0.0%	-1.7%	0	10.9K	-3	1.00	21.45	1	1	3,281	103
2020-08-19	$1.01	$2.50	151.7%	43.5%	70.9%	42.5%	0.0%	0.0%	-26.8%	0	10.4K	-3	0.00	95.98	0	0	3,282	103
2020-08-20	$0.96	$2.50	131.1%	37.6%	70.8%	34.3%	0.0%	0.0%	0.0%	0	9.9K	-3	0.14	85.24	7	1	3,282	103
2020-08-21	$0.90	$2.50	141.3%	40.5%	73.2%	38.4%	0.0%	0.0%	0.0%	0	9.3K	-3	0.63	82.19	8	5	3,285	103
2020-08-24	$0.91	$2.50	148.1%	42.5%	73.3%	41.1%	0.0%	0.0%	-22.7%	0	8.9K	-3	0.00	20.98	36	0	3,022	98
2020-08-25	$0.96	$2.50	144.1%	41.3%	76.8%	39.5%	0.0%	0.0%	-23.3%	0	9.4K	-3	1.57	16.70	51	80	3,052	98
2020-08-26	$0.86	$2.50	162.1%	46.5%	84.5%	46.6%	0.0%	0.0%	0.0%	0	8.4K	-3	100.00	76.87	1	100	3,059	98
2020-08-27	$0.80	$2.50	175.9%	50.4%	86.9%	52.0%	0.0%	0.0%	0.0%	0	9.2K	-3	0.00	60.03	21	0	3,060	115
2020-08-28	$0.81	$2.50	178.3%	51.1%	87.4%	53.0%	0.0%	0.0%	0.0%	0	9.3K	-3	0.00	31.59	87	0	3,078	115
2020-08-31	$0.67	$2.50	115.5%	0.0%	104.3%	28.2%	0.0%	0.0%	0.0%	0	7.7K	-3	0.00	21.45	118	0	3,153	115