REI Options History — October 2022

In October 2022, REI traded between $2.59 and $3.21. ATM implied volatility averaged 90.1%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 19.3% (HV 20d: 70.8%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.28.

Notable Days

2022-10-20: Highest Volume — 31,183 contracts
2022-10-21: Largest IV drop — 15.0% change
2022-10-10: Highest IV Rank — 49.8%
2022-10-18: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.89	$2.59	$3.21	$2.59	$3.21
Max Pain	$2.83	$2.50	$3.00	$2.50	$3.00
ATM IV	90.1%	78.2%	102.7%	78.2%	86.0%
Expected Move	25.7%	22.4%	29.4%	22.4%	24.7%
HV 20d	70.8%	50.1%	78.4%	73.0%	50.1%
HV 60d	70.6%	64.2%	73.7%	72.5%	64.2%
IV Rank	33.2%	17.5%	49.8%	17.5%	27.8%
IV Percentile	38.1%	6.7%	73.0%	6.7%	24.2%
Term Structure	-1.7%	-13.5%	51.6%	51.6%	0.1%
VWIV	88.1%	78.6%	103.7%	90.5%	83.3%
Skew 25d	10.5%	-15.4%	51.6%	51.6%	31.4%
Skew 10d	28.9%	2.6%	96.1%	96.1%	69.0%
Call IV 25d	82.0%	55.8%	99.6%	71.4%	66.5%
Put IV 25d	92.5%	82.4%	122.9%	122.9%	98.0%
Bid-Ask Spread %	46.08	20.37	74.34	37.33	32.09
Gamma HHI	0.27	0.17	0.49	0.23	0.17
Net GEX	142.1K	72.4K	269.1K	100.3K	106.7K
Net DEX	-3.5M	-4.7M	-2.2M	-2.2M	-4.7M
Net VEX	-32.3K	-36.6K	-30.1K	-31.0K	-33.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.02	0.78	0.43	0.02
Total Volume	5,180.524	1,064	31,183	3,477	22,860
Total OI	85,931.143	77,745	92,968	84,140	79,291

Daily Data (21 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
2022-10-03	$2.59	$2.50	78.2%	22.4%	73.0%	17.5%	90.5%	51.6%	51.6%	100.3K	-2.2M	-31.0K	0.43	37.33	2,426	1,051	67,548	16,592
2022-10-04	$2.71	$2.50	87.6%	25.1%	75.3%	29.9%	82.2%	19.8%	-5.2%	101.8K	-2.2M	-30.6K	0.26	40.41	4,127	1,066	67,834	17,187
2022-10-05	$2.90	$2.50	79.6%	22.8%	78.2%	19.3%	78.6%	26.6%	6.6%	143.7K	-4.1M	-35.6K	0.17	56.73	3,602	613	69,028	17,172
2022-10-06	$2.95	$2.50	81.8%	25.6%	78.4%	22.3%	87.7%	8.0%	-2.7%	153.9K	-4.7M	-36.6K	0.23	56.73	2,436	565	69,638	17,413
2022-10-07	$2.87	$2.50	89.9%	25.2%	76.8%	32.9%	88.3%	0.1%	-5.9%	135.6K	-3.9M	-34.7K	0.15	73.73	3,418	525	69,822	17,425
2022-10-10	$2.78	$2.50	102.7%	25.1%	77.4%	49.8%	91.8%	-15.4%	-4.3%	128.6K	-3.2M	-32.1K	0.27	39.96	2,151	589	71,294	17,427
2022-10-11	$2.74	$3.00	91.0%	26.3%	76.5%	34.4%	89.2%	-5.0%	7.7%	136.5K	-2.6M	-30.9K	0.35	43.73	1,852	650	71,377	17,547
2022-10-12	$2.72	$3.00	90.5%	25.9%	74.8%	33.7%	88.1%	13.4%	-2.2%	117.6K	-2.4M	-30.7K	0.33	74.34	2,003	663	71,415	17,770
2022-10-13	$2.86	$3.00	90.9%	26.1%	75.8%	34.2%	89.2%	18.7%	0.1%	163.3K	-3.5M	-32.7K	0.14	63.75	3,099	433	71,451	17,780
2022-10-14	$2.72	$3.00	92.1%	26.4%	77.3%	35.9%	86.6%	1.0%	4.3%	133.7K	-2.6M	-30.9K	0.17	45.30	2,316	400	72,494	17,820
2022-10-17	$2.79	$2.50	92.2%	26.4%	77.9%	36.0%	88.2%	-0.8%	-8.9%	183.6K	-2.8M	-30.2K	0.29	45.52	2,112	618	73,027	17,823
2022-10-18	$2.78	$3.00	102.4%	29.4%	75.5%	49.5%	103.7%	11.3%	-11.2%	173.8K	-2.6M	-30.1K	0.11	47.59	4,049	465	73,065	17,945
2022-10-19	$2.87	$3.00	100.0%	28.7%	75.6%	46.3%	90.0%	15.2%	-8.6%	269.1K	-4.1M	-32.0K	0.18	37.03	2,684	474	74,910	17,996
2022-10-20	$2.89	$3.00	97.8%	28.0%	73.8%	43.4%	96.6%	-7.4%	-12.2%	265.0K	-4.4M	-32.3K	0.02	60.83	30,606	577	74,975	17,993
2022-10-21	$3.00	$3.00	83.2%	23.8%	66.2%	24.0%	83.9%	12.9%	-4.6%	239.0K	-4.6M	-32.6K	0.25	52.19	2,632	654	70,437	18,092
2022-10-24	$2.99	$3.00	92.3%	26.4%	62.3%	36.0%	87.8%	6.2%	-9.4%	72.4K	-3.1M	-31.1K	0.45	23.64	1,126	502	60,776	16,969
2022-10-25	$3.00	$3.00	89.9%	25.8%	62.4%	33.0%	88.1%	10.5%	-5.8%	77.6K	-3.2M	-31.1K	0.78	43.34	597	467	61,254	17,014
2022-10-26	$3.15	$3.00	91.5%	26.2%	59.9%	35.0%	89.3%	2.9%	-12.6%	90.1K	-4.1M	-32.7K	0.47	20.37	1,169	549	61,375	17,108
2022-10-27	$3.14	$3.00	88.5%	25.4%	59.4%	31.0%	84.3%	3.3%	-13.5%	99.9K	-4.6M	-33.7K	0.40	29.36	932	372	61,854	17,321
2022-10-28	$3.09	$3.00	84.7%	24.3%	59.8%	26.1%	83.7%	15.6%	0.1%	91.9K	-4.0M	-33.1K	0.40	43.71	970	391	61,905	17,390
2022-10-31	$3.21	$3.00	86.0%	24.7%	50.1%	27.8%	83.3%	31.4%	0.1%	106.7K	-4.7M	-33.2K	0.02	32.09	22,433	427	61,829	17,462