REI Options History — March 2021

In March 2021, REI traded between $2.17 and $3.19. ATM implied volatility averaged 145.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 40.3%. IV traded above realized volatility by 8.3% (HV 20d: 137.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.16.

Notable Days

2021-03-05: Highest Volume — 18,410 contracts
2021-03-25: Largest IV spike — 23.3% change
2021-03-08: Highest IV Rank — 55.7%
2021-03-01: Largest Expected Move — 53.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.59	$2.17	$3.19	$2.24	$2.32
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	145.5%	104.4%	190.8%	185.9%	125.8%
Expected Move	40.3%	29.9%	53.3%	53.3%	36.1%
HV 20d	137.2%	113.6%	177.6%	175.1%	115.9%
HV 60d	129.1%	123.8%	135.8%	123.8%	135.7%
IV Rank	41.3%	28.3%	55.7%	54.1%	35.1%
IV Percentile	36.3%	0.8%	80.6%	76.6%	13.9%
Term Structure	-3.3%	-29.2%	27.3%	-21.8%	-5.1%
VWIV	143.2%	107.2%	194.1%	194.1%	130.0%
Skew 25d	-18.2%	-60.2%	13.8%	-38.4%	-8.9%
Skew 10d	-26.8%	-99.9%	29.3%	-84.3%	21.0%
Call IV 25d	152.6%	117.6%	204.1%	204.1%	133.4%
Put IV 25d	134.4%	86.8%	165.7%	165.7%	124.4%
Bid-Ask Spread %	35.29	7.92	50.16	7.92	17.91
Gamma HHI	0.55	0.46	0.65	0.62	0.48
Net GEX	135.6K	102.1K	233.0K	110.0K	106.1K
Net DEX	-10.8M	-19.5M	-6.0M	-9.1M	-6.0M
Net VEX	-60.0K	-77.5K	-44.0K	-58.0K	-44.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.03	0.65	0.32	0.18
Total Volume	6,518.783	1,584	18,410	8,923	1,641
Total OI	144,107.696	109,932	167,453	150,607	113,987

Daily Data (23 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
2021-03-01	$2.24	$2.50	185.9%	53.3%	175.1%	54.1%	194.1%	-38.4%	-21.8%	110.0K	-9.1M	-58.0K	0.32	7.92	6,776	2,147	138,720	11,887
2021-03-02	$2.17	$2.50	182.9%	52.4%	176.7%	53.2%	181.6%	13.8%	-29.2%	103.1K	-7.7M	-54.9K	0.05	10.63	3,145	151	140,169	13,572
2021-03-03	$2.17	$2.50	176.3%	50.5%	177.0%	51.1%	190.2%	-24.0%	-27.3%	102.1K	-7.6M	-53.2K	0.11	35.68	3,183	336	141,229	13,716
2021-03-04	$2.39	$2.50	176.5%	44.3%	177.6%	51.2%	156.9%	-5.3%	-9.5%	120.1K	-9.5M	-60.3K	0.49	38.13	9,353	4,563	141,331	13,622
2021-03-05	$2.52	$2.50	179.5%	47.0%	177.0%	52.1%	167.0%	-5.6%	-11.7%	129.1K	-11.4M	-66.9K	0.33	38.99	13,815	4,595	144,021	18,084
2021-03-08	$2.60	$2.50	190.8%	44.6%	169.5%	55.7%	154.7%	-60.2%	-4.9%	138.4K	-11.8M	-65.7K	0.06	40.00	4,400	280	144,196	16,476
2021-03-09	$2.50	$2.50	182.9%	40.5%	118.6%	53.2%	143.8%	-7.8%	0.4%	124.2K	-10.5M	-62.0K	0.10	28.45	3,314	337	144,580	16,518
2021-03-10	$2.67	$2.50	140.5%	40.3%	118.5%	39.7%	138.9%	-22.5%	-4.5%	144.0K	-12.0M	-66.6K	0.06	26.03	3,871	225	145,341	16,788
2021-03-11	$2.97	$2.50	148.4%	42.6%	123.1%	42.3%	148.9%	-20.7%	-5.8%	174.5K	-16.0M	-72.8K	0.03	31.13	11,590	336	146,312	16,741
2021-03-12	$2.96	$2.50	151.0%	43.3%	122.3%	43.1%	154.6%	-24.6%	-15.7%	179.2K	-16.5M	-73.0K	0.06	31.36	7,510	431	146,578	16,773
2021-03-15	$3.19	$2.50	147.2%	42.2%	123.4%	41.9%	149.2%	-35.2%	-5.5%	233.0K	-19.5M	-77.5K	0.05	46.28	10,595	504	147,361	16,580
2021-03-16	$3.02	$2.50	140.3%	40.2%	126.2%	39.7%	142.7%	-19.2%	-7.3%	191.9K	-16.3M	-71.0K	0.26	42.37	5,263	1,382	147,998	16,675
2021-03-17	$2.95	$2.50	140.3%	40.2%	125.9%	39.7%	145.9%	-23.5%	-8.1%	160.8K	-15.1M	-67.6K	0.07	45.90	4,905	333	148,376	17,780
2021-03-18	$2.58	$2.50	131.7%	37.8%	134.8%	37.0%	135.8%	-13.1%	0.4%	105.4K	-10.0M	-58.8K	0.65	34.50	3,737	2,432	148,943	17,791
2021-03-19	$2.82	$2.50	123.7%	35.5%	137.3%	34.4%	121.3%	-28.6%	13.3%	142.2K	-13.7M	-64.2K	0.16	28.71	5,706	915	149,042	18,411
2021-03-22	$2.78	$2.50	104.4%	29.9%	134.1%	28.3%	107.2%	-15.7%	9.6%	151.9K	-10.2M	-59.8K	0.04	42.53	3,803	135	103,434	6,498
2021-03-23	$2.44	$2.50	108.9%	31.2%	142.1%	29.7%	111.0%	-9.5%	11.1%	121.7K	-7.3M	-51.1K	0.32	50.16	3,147	1,010	104,196	6,572
2021-03-24	$2.64	$2.50	105.3%	30.2%	117.0%	28.6%	114.5%	-52.3%	27.3%	136.1K	-9.2M	-57.1K	0.03	47.58	8,843	229	103,984	7,642
2021-03-25	$2.42	$2.50	129.8%	37.2%	117.4%	36.4%	129.3%	2.1%	1.4%	112.7K	-7.6M	-50.2K	0.07	25.34	8,777	637	104,872	7,791
2021-03-26	$2.47	$2.50	126.4%	36.2%	113.6%	35.3%	126.6%	-5.8%	8.0%	118.6K	-8.0M	-52.9K	0.05	47.79	1,982	107	105,347	7,997
2021-03-29	$2.31	$2.50	125.7%	36.0%	116.4%	35.1%	124.4%	-5.3%	5.3%	105.8K	-6.5M	-47.6K	0.03	47.59	1,532	52	105,053	8,086
2021-03-30	$2.34	$2.50	121.7%	34.9%	115.8%	33.8%	124.9%	-8.8%	4.4%	107.5K	-6.4M	-45.0K	0.09	46.68	1,751	156	105,277	8,130
2021-03-31	$2.32	$2.50	125.8%	36.1%	115.9%	35.1%	130.0%	-8.9%	-5.1%	106.1K	-6.0M	-44.0K	0.18	17.91	1,390	251	105,757	8,230