REI Options History — August 2021

In August 2021, REI traded between $1.84 and $2.71. ATM implied volatility averaged 87.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 14.8% (HV 20d: 72.8%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.36.

Notable Days

2021-08-19: Highest Volume — 21,539 contracts
2021-08-10: Largest IV drop — 28.9% change
2021-08-09: Highest IV Rank — 31.0%
2021-08-03: Largest Expected Move — 30.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.35	$1.84	$2.71	$2.60	$2.39
Max Pain	$2.57	$2.50	$3.00	$3.00	$2.50
ATM IV	87.6%	73.7%	112.8%	103.3%	85.3%
Expected Move	24.6%	21.1%	30.2%	29.6%	24.5%
HV 20d	72.8%	61.8%	87.7%	65.4%	85.7%
HV 60d	73.1%	69.0%	80.2%	69.9%	74.2%
IV Rank	23.0%	18.6%	31.0%	28.0%	22.3%
IV Percentile	11.4%	2.0%	36.5%	26.6%	10.7%
Term Structure	-0.6%	-17.2%	8.6%	-11.1%	-0.1%
VWIV	86.0%	77.1%	99.3%	98.1%	79.2%
Skew 25d	-1.7%	-34.8%	35.2%	-4.9%	35.2%
Skew 10d	12.2%	-20.7%	82.3%	-20.5%	53.9%
Call IV 25d	83.3%	59.2%	105.7%	88.1%	68.7%
Put IV 25d	81.6%	57.5%	103.9%	83.2%	103.9%
Bid-Ask Spread %	21.70	14.32	39.88	19.77	21.30
Gamma HHI	0.31	0.24	0.48	0.29	0.27
Net GEX	83.5K	21.3K	132.2K	111.1K	88.9K
Net DEX	-1.8M	-4.2M	830.9K	-3.4M	-2.3M
Net VEX	-18.0K	-24.7K	-7.6K	-22.7K	-21.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	3.50	0.22	0.05
Total Volume	2,568.727	309	21,539	789	917
Total OI	122,513.545	113,141	129,984	113,219	129,963

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
2021-08-02	$2.60	$3.00	103.3%	29.6%	65.4%	28.0%	98.1%	-4.9%	-11.1%	111.1K	-3.4M	-22.7K	0.22	19.77	646	143	101,393	11,826
2021-08-03	$2.71	$3.00	105.4%	30.2%	65.9%	28.6%	99.3%	18.8%	-17.2%	132.2K	-4.2M	-24.7K	0.01	19.58	552	3	101,487	11,852
2021-08-04	$2.55	$3.00	100.1%	28.7%	64.2%	27.0%	98.1%	-3.5%	-9.3%	109.7K	-3.1M	-22.2K	0.32	14.32	1,112	353	101,373	11,768
2021-08-05	$2.53	$2.50	92.0%	26.1%	64.2%	24.4%	97.7%	-4.5%	-0.9%	109.7K	-3.0M	-21.9K	0.27	23.03	268	73	101,758	11,780
2021-08-06	$2.61	$2.50	92.0%	23.6%	63.8%	24.4%	77.1%	-20.2%	8.0%	119.8K	-3.2M	-22.3K	0.05	20.86	743	38	102,086	11,982
2021-08-09	$2.58	$2.50	112.8%	24.9%	63.8%	31.0%	96.3%	1.8%	3.1%	109.0K	-2.8M	-19.9K	0.02	39.88	11,502	180	102,142	11,972
2021-08-10	$2.54	$2.50	80.2%	23.2%	63.9%	20.6%	83.2%	-28.9%	8.6%	96.6K	-2.1M	-17.3K	0.84	37.40	1,278	1,070	102,496	12,004
2021-08-11	$2.59	$2.50	85.0%	24.4%	64.2%	22.2%	83.5%	-15.7%	4.5%	127.9K	-3.0M	-19.8K	0.02	16.46	1,205	24	112,777	12,091
2021-08-12	$2.56	$2.50	82.8%	23.8%	63.3%	21.5%	86.2%	-25.6%	6.0%	117.7K	-2.6M	-19.8K	0.83	24.29	470	391	112,840	12,555
2021-08-13	$2.44	$2.50	77.9%	22.3%	61.8%	19.9%	78.1%	-25.8%	2.3%	98.8K	-1.9M	-17.5K	0.07	27.20	522	37	112,484	12,563
2021-08-16	$2.22	$2.50	85.4%	24.5%	69.9%	22.3%	82.7%	21.3%	-14.7%	45.2K	-348.4K	-12.5K	0.27	26.80	541	145	112,586	12,209
2021-08-17	$2.09	$2.50	77.0%	22.1%	68.2%	19.6%	79.0%	-2.4%	3.9%	35.5K	329.6K	-10.0K	0.26	15.00	730	187	112,747	12,222
2021-08-18	$2.09	$2.50	78.2%	22.4%	65.5%	20.0%	77.2%	-10.1%	3.3%	35.2K	332.0K	-9.9K	0.64	18.27	188	121	112,895	12,143
2021-08-19	$1.84	$2.50	82.8%	23.7%	77.1%	21.5%	83.6%	-3.0%	5.8%	21.3K	830.9K	-7.6K	0.02	18.25	21,022	517	113,140	12,199
2021-08-20	$1.96	$2.50	85.8%	24.6%	80.1%	22.4%	87.9%	-34.8%	4.9%	28.8K	540.5K	-9.0K	0.25	16.83	330	84	113,216	12,231
2021-08-23	$2.12	$2.50	78.9%	22.6%	84.2%	20.2%	84.4%	-14.8%	7.0%	61.9K	-887.2K	-16.7K	0.10	17.18	1,939	193	115,346	10,433
2021-08-24	$2.26	$2.50	88.4%	25.4%	87.7%	23.3%	96.3%	19.7%	-13.3%	79.0K	-1.8M	-19.6K	3.50	25.84	1,430	5,002	115,502	10,453
2021-08-25	$2.24	$2.50	81.8%	23.5%	86.9%	21.2%	77.5%	12.7%	0.6%	77.8K	-1.6M	-18.3K	0.00	14.73	1,157	2	116,502	10,575
2021-08-26	$2.20	$2.50	89.6%	25.7%	83.2%	23.6%	83.9%	20.3%	-4.2%	65.9K	-1.3M	-18.8K	0.26	15.63	293	75	116,731	13,077
2021-08-27	$2.34	$2.50	73.7%	21.1%	86.7%	18.6%	81.4%	28.5%	4.6%	82.1K	-2.3M	-22.2K	0.01	24.27	558	7	116,838	13,077
2021-08-30	$2.32	$2.50	88.9%	25.5%	86.4%	23.4%	82.4%	-2.0%	-6.0%	82.5K	-2.2M	-21.3K	0.00	20.54	464	0	116,894	13,090
2021-08-31	$2.39	$2.50	85.3%	24.5%	85.7%	22.3%	79.2%	35.2%	-0.1%	88.9K	-2.3M	-21.5K	0.05	21.30	874	43	116,873	13,090