REI Options History — March 2022

In March 2022, REI traded between $3.16 and $3.94. ATM implied volatility averaged 108.3%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 31.6%. IV traded above realized volatility by 35.2% (HV 20d: 73.1%). Max pain ranged from $2.50 to $4.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.91.

Notable Days

2022-03-21: Highest Volume — 56,148 contracts
2022-03-16: Largest IV spike — 9.6% change
2022-03-25: Highest IV Rank — 81.8%
2022-03-09: Largest Expected Move — 40.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.57	$3.16	$3.94	$3.28	$3.83
Max Pain	$3.14	$2.50	$4.00	$2.50	$4.00
ATM IV	108.3%	97.8%	118.6%	102.2%	116.5%
Expected Move	31.6%	18.0%	40.7%	29.3%	33.0%
HV 20d	73.1%	59.6%	83.6%	60.5%	83.3%
HV 60d	71.0%	66.2%	74.4%	66.4%	70.4%
IV Rank	57.0%	29.3%	81.8%	32.6%	78.8%
IV Percentile	83.0%	64.7%	94.4%	73.8%	94.0%
Term Structure	-7.7%	-81.9%	12.4%	-21.1%	0.9%
VWIV	112.5%	93.4%	150.2%	93.4%	122.6%
Skew 25d	-2.1%	-27.9%	14.0%	14.0%	-27.9%
Skew 10d	-4.7%	-73.7%	51.1%	10.0%	42.2%
Call IV 25d	108.7%	85.2%	142.4%	101.8%	142.4%
Put IV 25d	106.6%	85.9%	115.9%	115.8%	114.4%
Bid-Ask Spread %	39.53	16.86	95.84	19.14	50.30
Gamma HHI	0.35	0.24	0.74	0.44	0.32
Net GEX	281.3K	132.3K	674.3K	227.7K	317.6K
Net DEX	-12.7M	-22.9M	-4.7M	-9.0M	-20.1M
Net VEX	-55.8K	-97.4K	-32.7K	-36.9K	-97.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.01	7.12	4.54	0.15
Total Volume	15,255.957	1,891	56,148	13,322	8,259
Total OI	121,387.739	65,223	149,526	99,536	149,526

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
2022-03-01	$3.28	$2.50	102.2%	29.3%	60.5%	32.6%	93.4%	14.0%	-21.1%	227.7K	-9.0M	-36.9K	4.54	19.14	2,406	10,916	79,007	20,529
2022-03-02	$3.36	$3.50	97.8%	28.0%	59.6%	29.3%	99.1%	14.0%	8.0%	207.8K	-7.8M	-39.2K	7.12	26.46	1,536	10,937	79,861	30,654
2022-03-03	$3.25	$3.50	105.3%	30.2%	61.2%	35.0%	102.4%	-5.9%	-2.1%	193.3K	-7.0M	-37.5K	0.30	20.23	1,449	442	80,160	30,671
2022-03-04	$3.59	$3.50	112.4%	32.2%	68.7%	40.4%	112.6%	7.9%	-4.5%	228.9K	-12.0M	-40.7K	0.01	20.77	41,978	352	80,685	30,684
2022-03-07	$3.87	$3.50	113.8%	32.6%	67.7%	41.5%	113.1%	5.3%	-5.6%	286.4K	-15.1M	-41.5K	0.33	21.10	8,529	2,783	82,780	30,713
2022-03-08	$3.79	$3.50	115.6%	39.6%	68.6%	45.6%	137.5%	-3.9%	-20.6%	253.3K	-14.0M	-42.1K	0.02	16.86	13,864	319	85,822	33,171
2022-03-09	$3.68	$3.50	107.9%	40.7%	62.2%	53.1%	132.2%	4.9%	-10.6%	262.5K	-12.5M	-43.0K	0.09	17.02	4,391	377	91,184	33,191
2022-03-10	$3.67	$3.50	106.7%	37.8%	61.4%	51.7%	134.6%	-0.6%	-5.6%	273.1K	-12.5M	-41.7K	0.09	40.53	3,424	293	91,235	33,263
2022-03-11	$3.60	$3.50	107.3%	40.0%	62.4%	52.4%	150.2%	5.8%	-5.9%	268.8K	-11.3M	-40.1K	0.23	31.67	1,721	403	92,646	33,279
2022-03-14	$3.23	$2.50	104.3%	27.7%	71.3%	51.2%	100.2%	-7.2%	-10.0%	169.8K	-4.7M	-32.7K	0.57	31.84	13,705	7,852	93,081	33,406
2022-03-15	$3.16	$2.50	104.6%	27.7%	71.9%	56.0%	98.5%	-11.0%	-8.0%	211.7K	-6.4M	-39.2K	0.85	44.57	3,328	2,827	104,402	28,461
2022-03-16	$3.23	$2.50	114.7%	27.9%	71.5%	68.5%	101.5%	-10.5%	-21.3%	241.8K	-6.9M	-38.9K	0.47	41.42	5,998	2,829	105,251	28,375
2022-03-17	$3.58	$0.00	105.5%	18.0%	78.9%	63.8%	106.0%	-3.7%	-81.9%	460.6K	-12.2M	-42.6K	0.58	95.84	6,935	3,989	108,215	28,476
2022-03-18	$3.46	$3.00	103.0%	30.8%	80.5%	60.3%	108.2%	-11.9%	12.4%	674.3K	-10.3M	-41.8K	0.66	51.80	13,348	8,816	110,074	31,039
2022-03-21	$3.51	$2.50	104.8%	29.3%	80.0%	62.8%	105.1%	-2.5%	-4.6%	132.3K	-8.0M	-43.7K	0.12	54.07	50,295	5,853	54,305	10,918
2022-03-22	$3.47	$2.50	100.5%	28.4%	80.0%	56.8%	100.4%	4.4%	-3.0%	213.8K	-11.4M	-79.5K	0.31	48.27	18,460	5,736	94,594	26,108
2022-03-23	$3.61	$2.50	103.5%	29.3%	80.7%	61.0%	101.8%	-10.7%	-3.8%	261.2K	-14.4M	-76.7K	2.30	58.22	2,509	5,767	96,176	16,173
2022-03-24	$3.65	$3.00	111.8%	32.6%	80.7%	72.4%	113.5%	-7.3%	0.9%	257.1K	-15.9M	-78.6K	0.24	47.93	24,815	5,892	97,565	16,234
2022-03-25	$3.86	$3.00	118.6%	32.8%	82.0%	81.8%	113.7%	1.0%	-5.9%	329.0K	-21.2M	-88.9K	0.27	39.43	5,613	1,505	111,884	16,457
2022-03-28	$3.66	$3.50	111.0%	32.3%	82.5%	71.2%	110.5%	3.4%	4.6%	328.2K	-18.0M	-85.5K	0.56	35.28	4,524	2,555	112,260	17,679
2022-03-29	$3.74	$3.50	106.7%	31.4%	82.2%	65.3%	110.3%	8.0%	8.4%	331.8K	-18.3M	-85.6K	0.36	49.14	4,246	1,519	111,808	18,747
2022-03-30	$3.94	$3.50	116.7%	34.3%	83.6%	79.1%	119.4%	-14.6%	1.7%	338.6K	-22.9M	-89.4K	0.82	47.26	15,140	12,452	112,410	18,759
2022-03-31	$3.83	$4.00	116.5%	33.0%	83.3%	78.8%	122.6%	-27.9%	0.9%	317.6K	-20.1M	-97.4K	0.15	50.30	7,172	1,087	119,137	30,389