REI Options History — February 2022

In February 2022, REI traded between $2.59 and $3.18. ATM implied volatility averaged 94.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 28.6% (HV 20d: 66.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.68.

Notable Days

2022-02-04: Highest Volume — 22,963 contracts
2022-02-04: Largest IV spike — 16.9% change
2022-02-24: Highest IV Rank — 33.0%
2022-02-23: Largest Expected Move — 30.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.87	$2.59	$3.18	$2.62	$3.18
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	94.8%	77.3%	105.1%	88.2%	97.7%
Expected Move	27.8%	24.9%	30.1%	25.3%	28.0%
HV 20d	66.2%	56.9%	71.3%	67.7%	60.3%
HV 60d	73.4%	65.4%	78.1%	76.4%	66.2%
IV Rank	20.5%	7.5%	33.0%	11.4%	29.2%
IV Percentile	53.4%	8.3%	77.4%	32.1%	64.3%
Term Structure	-5.7%	-14.5%	11.4%	11.4%	1.5%
VWIV	95.6%	82.9%	102.3%	88.4%	96.6%
Skew 25d	0.4%	-9.0%	15.2%	-5.8%	12.2%
Skew 10d	8.3%	-41.4%	100.3%	1.5%	-9.9%
Call IV 25d	97.0%	83.0%	108.3%	86.3%	102.3%
Put IV 25d	97.4%	80.5%	114.5%	80.5%	114.5%
Bid-Ask Spread %	33.06	17.01	47.57	24.34	19.23
Gamma HHI	0.35	0.30	0.45	0.30	0.45
Net GEX	216.2K	131.6K	432.4K	152.3K	214.0K
Net DEX	-5.8M	-8.4M	-2.8M	-3.7M	-7.2M
Net VEX	-34.7K	-38.4K	-31.2K	-33.4K	-35.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.07	5.59	2.40	0.27
Total Volume	6,580.316	1,318	22,963	9,170	4,014
Total OI	103,935.895	96,068	111,513	103,194	98,788

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
2022-02-01	$2.62	$2.50	88.2%	25.3%	67.7%	11.4%	88.4%	-5.8%	11.4%	152.3K	-3.7M	-33.4K	2.40	24.34	2,696	6,474	84,371	18,823
2022-02-02	$2.59	$2.50	86.8%	24.9%	66.6%	11.4%	82.9%	1.1%	9.1%	142.0K	-2.8M	-31.2K	2.37	44.15	2,717	6,426	84,572	18,873
2022-02-03	$2.65	$2.50	77.3%	28.2%	65.2%	7.5%	96.0%	15.2%	-12.8%	168.3K	-3.5M	-31.9K	4.46	36.12	1,460	6,507	84,639	18,873
2022-02-04	$2.88	$2.50	90.3%	26.9%	67.2%	12.9%	94.1%	2.9%	-1.1%	215.8K	-6.8M	-38.4K	0.39	36.85	16,518	6,445	84,971	18,960
2022-02-07	$2.87	$2.50	92.9%	27.9%	66.9%	13.9%	96.0%	-8.6%	-8.7%	220.7K	-6.3M	-36.4K	3.76	28.68	1,713	6,435	85,457	18,993
2022-02-08	$2.66	$2.50	80.1%	27.3%	71.3%	8.6%	95.9%	-8.3%	-6.4%	180.2K	-4.4M	-33.0K	5.59	34.28	1,154	6,447	85,734	18,992
2022-02-09	$2.79	$2.50	93.0%	26.7%	66.8%	18.2%	88.2%	3.6%	-4.1%	207.1K	-5.3M	-33.8K	4.09	47.17	1,574	6,440	85,995	19,013
2022-02-10	$2.80	$2.50	95.2%	27.3%	66.2%	20.4%	90.8%	1.7%	-12.7%	221.9K	-5.9M	-34.1K	4.39	45.14	1,472	6,459	86,001	19,014
2022-02-11	$3.02	$2.50	98.0%	28.1%	70.0%	22.9%	100.6%	-6.1%	-3.7%	271.6K	-8.4M	-37.2K	0.30	43.04	3,628	1,077	86,385	19,038
2022-02-14	$3.01	$2.50	102.7%	29.4%	69.3%	25.8%	97.4%	-4.8%	-10.1%	309.3K	-8.3M	-36.1K	0.25	33.67	1,355	341	87,411	19,722
2022-02-15	$2.94	$2.50	101.9%	29.2%	69.4%	25.3%	97.1%	3.0%	-14.5%	318.3K	-7.3M	-35.1K	0.44	38.96	916	402	87,605	19,766
2022-02-16	$2.89	$2.50	96.5%	27.7%	69.7%	22.4%	97.7%	2.0%	-10.9%	310.6K	-6.9M	-33.6K	0.09	24.74	5,604	481	87,624	19,786
2022-02-17	$2.91	$2.50	101.5%	29.1%	68.4%	25.4%	96.9%	3.8%	-11.5%	432.4K	-7.2M	-36.2K	0.09	20.96	5,019	457	91,547	19,802
2022-02-18	$2.86	$2.50	95.9%	27.5%	65.8%	22.1%	96.2%	-9.0%	-4.1%	131.6K	-5.2M	-34.5K	0.07	21.03	5,901	434	91,707	19,806
2022-02-22	$2.94	$2.50	98.9%	28.4%	65.8%	23.9%	99.2%	3.4%	-7.9%	154.8K	-5.4M	-34.6K	0.33	17.01	4,387	1,468	76,617	19,451
2022-02-23	$2.94	$2.50	105.1%	30.1%	62.2%	27.6%	102.3%	-0.8%	-8.5%	148.4K	-5.4M	-35.1K	1.46	20.99	949	1,384	78,337	20,492
2022-02-24	$2.99	$2.50	102.6%	29.4%	61.8%	33.0%	101.5%	-2.8%	-11.1%	155.3K	-5.6M	-34.4K	0.49	44.32	2,798	1,369	78,375	20,498
2022-02-25	$2.97	$2.50	96.4%	27.6%	56.9%	28.2%	99.1%	5.8%	-2.7%	152.8K	-5.3M	-34.1K	0.68	47.57	1,255	850	78,243	20,501
2022-02-28	$3.18	$2.50	97.7%	28.0%	60.3%	29.2%	96.6%	12.2%	1.5%	214.0K	-7.2M	-35.3K	0.27	19.23	3,158	856	78,272	20,516