REI Options History — January 2021

In January 2021, REI traded between $0.67 and $1.16. ATM implied volatility averaged 218.6%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 65.7%. IV traded above realized volatility by 126.5% (HV 20d: 92.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.22.

Notable Days

2021-01-28: Highest Volume — 3,633 contracts
2021-01-11: Largest IV spike — 1665.1% change
2021-01-27: Highest IV Rank — 100.0%
2021-01-27: Largest Expected Move — 94.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.01	$0.67	$1.16	$0.67	$1.10
Max Pain	$2.89	$2.50	$5.00	$5.00	$2.50
ATM IV	218.6%	15.0%	330.7%	146.4%	166.8%
Expected Move	65.7%	37.9%	94.8%	42.0%	47.8%
HV 20d	92.1%	62.4%	106.8%	62.4%	106.8%
HV 60d	84.7%	76.5%	88.5%	79.1%	86.3%
IV Rank	69.8%	0.0%	100.0%	40.4%	48.1%
IV Percentile	81.3%	0.0%	100.0%	54.0%	65.9%
Term Structure	-7.6%	-59.1%	165.9%	-29.4%	165.9%
VWIV	239.9%	148.8%	330.7%	155.4%	171.8%
Bid-Ask Spread %	17.59	3.85	62.92	3.85	45.78
Gamma HHI	0.85	0.70	1.00	1.00	0.72
Net GEX	354	0	907	0	145
Net DEX	2.7K	-66.4K	51.8K	31.1K	-5.1K
Net VEX	-214	-498	-2	-3	-239
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	3.46	3.46	0.00
Total Volume	1,224.632	107	3,633	107	2,464
Total OI	7,241.105	2,500	12,161	2,513	12,161

Daily Data (19 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
2021-01-04	$0.67	$5.00	146.4%	42.0%	62.4%	40.4%	155.4%	0.0%	-29.4%	0	31.1K	-3	3.46	3.85	24	83	2,049	464
2021-01-05	$0.73	$5.00	132.1%	37.9%	64.7%	34.8%	0.0%	0.0%	-28.3%	0	32.8K	-2	0.43	15.80	258	110	2,051	449
2021-01-06	$0.83	$5.00	148.8%	42.7%	78.6%	41.3%	148.8%	0.0%	68.0%	0	38.0K	-3	0.12	21.98	1,032	125	2,188	458
2021-01-07	$0.92	$2.50	262.7%	75.3%	85.8%	86.3%	262.7%	0.0%	-23.6%	0	44.8K	-3	0.04	47.92	2,718	103	2,919	487
2021-01-08	$1.05	$2.50	15.0%	62.4%	95.6%	0.0%	263.8%	0.0%	-27.7%	0	51.8K	-6	0.01	18.28	2,077	17	5,038	493
2021-01-11	$1.08	$2.50	264.8%	75.9%	94.9%	88.5%	266.3%	0.0%	-35.1%	366	3.4K	-224	0.00	19.30	1,021	1	6,254	485
2021-01-12	$1.12	$2.50	262.0%	75.1%	95.0%	87.5%	263.0%	0.0%	-31.1%	429	-1.1K	-246	0.00	62.92	723	0	6,528	484
2021-01-13	$1.12	$2.50	265.1%	76.0%	94.0%	88.6%	284.0%	0.0%	-11.5%	446	-14.9K	-278	0.01	17.22	1,327	8	6,874	484
2021-01-14	$1.12	$2.50	233.1%	66.8%	87.2%	77.3%	232.7%	0.0%	0.3%	498	-7.3K	-271	0.01	5.83	1,044	7	7,473	483
2021-01-15	$1.02	$2.50	247.6%	71.0%	96.1%	82.4%	250.4%	0.0%	2.3%	471	-13.7K	-283	0.01	5.73	395	3	7,808	488
2021-01-19	$1.09	$2.50	253.9%	72.8%	97.4%	84.6%	253.9%	0.0%	-27.5%	35	45.6K	-33	0.01	5.83	1,266	14	7,229	441
2021-01-20	$1.08	$2.50	255.0%	73.1%	97.7%	85.0%	258.2%	0.0%	-7.0%	644	-38.5K	-403	0.01	5.83	517	5	7,810	442
2021-01-21	$1.06	$2.50	259.7%	74.5%	97.2%	86.7%	264.8%	0.0%	-37.4%	693	-29.9K	-393	0.00	5.83	726	1	7,898	443
2021-01-22	$1.02	$2.50	211.4%	60.6%	98.7%	69.6%	162.0%	0.0%	47.1%	101	25.3K	-129	0.02	5.73	272	5	8,376	443
2021-01-25	$1.06	$2.50	237.7%	68.2%	98.6%	78.9%	289.2%	0.0%	-53.1%	888	-45.2K	-456	0.00	8.72	1,412	1	8,412	443
2021-01-26	$1.05	$2.50	295.5%	84.7%	98.4%	99.4%	295.5%	0.0%	-49.4%	888	-39.4K	-441	0.00	4.14	1,015	0	9,251	444
2021-01-27	$1.00	$2.50	330.7%	94.8%	97.6%	100.0%	330.7%	0.0%	-59.1%	907	-66.4K	-498	0.03	13.72	836	25	9,513	444
2021-01-28	$1.16	$2.50	164.6%	47.2%	103.0%	47.4%	164.6%	0.0%	0.0%	208	40.3K	-160	0.01	19.87	3,599	34	9,387	487
2021-01-29	$1.10	$2.50	166.8%	47.8%	106.8%	48.1%	171.8%	0.0%	165.9%	145	-5.1K	-239	0.00	45.78	2,456	8	11,680	481