REI Options History — January 2023

In January 2023, REI traded between $2.21 and $2.50. ATM implied volatility averaged 62.3%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 7.3% (HV 20d: 55.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.22.

Notable Days

2023-01-18: Highest Volume — 13,005 contracts
2023-01-10: Largest IV spike — 70.6% change
2023-01-25: Highest IV Rank — 35.5%
2023-01-25: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.37	$2.21	$2.50	$2.21	$2.35
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	62.3%	38.7%	74.9%	57.4%	69.3%
Expected Move	18.8%	16.2%	21.5%	16.5%	19.9%
HV 20d	55.0%	49.1%	64.0%	64.0%	51.2%
HV 60d	55.9%	54.6%	57.3%	57.3%	55.5%
IV Rank	21.1%	0.0%	35.5%	4.7%	30.1%
IV Percentile	6.0%	0.0%	13.5%	0.8%	11.5%
Term Structure	7.6%	-0.7%	16.1%	13.1%	2.3%
VWIV	66.0%	55.9%	82.9%	56.3%	70.2%
Skew 25d	-2.1%	-53.4%	23.0%	-1.5%	-15.4%
Skew 10d	24.0%	-78.5%	237.9%	9.5%	-15.0%
Call IV 25d	59.4%	37.6%	99.4%	53.9%	65.7%
Put IV 25d	57.3%	46.0%	70.3%	52.4%	50.3%
Bid-Ask Spread %	51.24	23.65	81.14	52.99	35.19
Gamma HHI	0.38	0.25	0.53	0.25	0.45
Net GEX	92.0K	48.6K	125.6K	56.0K	103.2K
Net DEX	-2.3M	-3.8M	-854.1K	-854.1K	-2.7M
Net VEX	-16.7K	-22.1K	-12.3K	-12.8K	-18.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	2.40	2.40	0.08
Total Volume	3,010.6	223	13,005	1,558	970
Total OI	92,615.45	55,442	116,441	103,434	63,202

Daily Data (20 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
2023-01-03	$2.21	$2.50	57.4%	16.5%	64.0%	4.7%	56.3%	-1.5%	13.1%	56.0K	-854.1K	-12.8K	2.40	52.99	458	1,100	95,898	7,536
2023-01-04	$2.25	$2.50	56.5%	16.2%	59.4%	3.7%	55.9%	18.4%	4.4%	56.9K	-1.1M	-13.0K	0.14	42.50	2,460	337	96,197	7,087
2023-01-05	$2.25	$2.50	49.7%	19.3%	57.1%	0.0%	66.7%	9.7%	10.6%	48.6K	-893.7K	-12.3K	0.04	28.91	2,582	98	96,898	7,301
2023-01-06	$2.30	$2.50	41.4%	19.9%	57.4%	0.0%	69.8%	3.5%	-0.7%	53.1K	-1.1M	-13.0K	0.00	63.86	3,079	13	98,962	7,367
2023-01-09	$2.31	$2.50	38.7%	17.3%	56.0%	0.0%	60.3%	23.0%	10.6%	70.2K	-1.4M	-13.7K	0.00	69.14	326	1	101,876	7,378
2023-01-10	$2.29	$2.50	66.0%	19.4%	56.0%	26.8%	67.8%	-13.1%	6.2%	74.1K	-1.5M	-14.4K	0.21	73.37	437	91	102,107	7,377
2023-01-11	$2.30	$2.50	59.9%	17.2%	53.2%	20.8%	61.9%	-53.4%	8.6%	76.4K	-1.5M	-14.3K	0.32	63.39	169	54	102,487	7,466
2023-01-12	$2.40	$2.50	64.5%	18.5%	55.4%	25.3%	66.3%	-20.8%	9.5%	102.8K	-2.6M	-16.7K	0.03	32.77	4,044	116	102,654	7,442
2023-01-13	$2.42	$2.50	65.4%	18.7%	55.3%	26.2%	70.1%	-21.4%	7.8%	117.1K	-2.7M	-16.8K	0.10	53.58	875	90	105,446	7,467
2023-01-17	$2.42	$2.50	64.9%	18.6%	55.1%	25.8%	60.3%	8.2%	5.2%	125.6K	-2.3M	-15.4K	0.14	51.89	1,123	157	106,056	7,499
2023-01-18	$2.34	$2.50	64.7%	18.6%	55.9%	25.5%	64.9%	6.8%	5.7%	99.3K	-1.8M	-14.5K	0.02	81.14	12,716	289	106,846	7,460
2023-01-19	$2.41	$2.50	71.8%	20.6%	56.2%	32.5%	71.9%	6.0%	5.1%	108.0K	-2.1M	-15.2K	0.01	53.30	7,727	44	103,694	7,420
2023-01-20	$2.46	$2.50	73.0%	20.9%	56.5%	33.6%	82.9%	-20.5%	7.7%	84.0K	-2.3M	-17.6K	0.09	63.74	6,656	588	109,016	7,425
2023-01-23	$2.49	$2.50	62.0%	17.8%	55.0%	22.9%	61.8%	20.8%	16.1%	103.4K	-3.6M	-20.1K	0.08	52.36	5,686	481	49,821	5,621
2023-01-24	$2.42	$2.50	63.4%	18.2%	54.9%	24.3%	63.4%	-1.4%	11.6%	112.3K	-3.4M	-20.6K	0.38	50.56	2,105	808	54,132	5,729
2023-01-25	$2.45	$2.50	74.9%	21.5%	50.1%	35.5%	71.0%	1.7%	10.3%	109.5K	-3.7M	-22.1K	0.14	50.31	641	92	55,399	6,134
2023-01-26	$2.50	$2.50	71.7%	20.6%	50.4%	32.4%	68.9%	20.8%	7.8%	115.1K	-3.8M	-21.9K	0.00	46.37	1,422	0	55,606	6,221
2023-01-27	$2.46	$2.50	62.7%	18.0%	49.1%	23.6%	61.5%	8.7%	1.7%	119.3K	-3.6M	-21.0K	0.08	23.65	1,780	143	56,428	6,221
2023-01-30	$2.33	$2.50	67.6%	19.4%	51.2%	28.4%	68.1%	-21.3%	8.1%	104.3K	-2.8M	-19.7K	0.05	35.85	434	20	57,091	6,342
2023-01-31	$2.35	$2.50	69.3%	19.9%	51.2%	30.1%	70.2%	-15.4%	2.3%	103.2K	-2.7M	-18.8K	0.08	35.19	900	70	56,850	6,352