REI Options History — February 2023

In February 2023, REI traded between $1.98 and $2.35. ATM implied volatility averaged 72.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 24.3% (HV 20d: 47.8%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.65.

Notable Days

2023-02-01: Highest Volume — 12,541 contracts
2023-02-16: Largest IV spike — 84.4% change
2023-02-16: Highest IV Rank — 100.0%
2023-02-16: Largest Expected Move — 44.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.20	$1.98	$2.35	$2.33	$2.13
Max Pain	$2.37	$2.00	$2.50	$2.50	$2.00
ATM IV	72.1%	40.8%	154.8%	58.5%	71.4%
Expected Move	22.1%	16.8%	44.4%	16.8%	20.5%
HV 20d	47.8%	36.3%	56.5%	36.3%	53.4%
HV 60d	52.6%	49.3%	55.4%	55.4%	52.2%
IV Rank	30.6%	2.1%	100.0%	19.5%	28.2%
IV Percentile	18.4%	0.4%	100.0%	2.8%	16.3%
Term Structure	2.6%	-16.0%	28.7%	28.7%	6.2%
VWIV	74.5%	46.4%	93.6%	46.4%	72.3%
Skew 25d	19.6%	-25.9%	141.5%	4.2%	63.8%
Skew 10d	33.8%	-40.5%	151.5%	5.4%	147.1%
Call IV 25d	68.0%	39.7%	92.1%	48.1%	49.4%
Put IV 25d	87.5%	52.3%	216.4%	52.3%	113.3%
Bid-Ask Spread %	44.91	13.47	71.33	35.32	46.06
Gamma HHI	0.46	0.37	0.55	0.46	0.41
Net GEX	85.1K	47.6K	123.8K	100.6K	76.3K
Net DEX	-1.9M	-3.0M	-881.1K	-2.7M	-1.6M
Net VEX	-23.9K	-27.0K	-19.5K	-19.5K	-22.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.65	0.00	41.16	0.84	0.27
Total Volume	1,936.211	277	12,541	12,541	283
Total OI	75,119.211	63,853	80,190	63,853	76,505

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
2023-02-01	$2.33	$2.50	58.5%	16.8%	36.3%	19.5%	46.4%	4.2%	28.7%	100.6K	-2.7M	-19.5K	0.84	35.32	6,804	5,737	57,431	6,422
2023-02-02	$2.25	$2.50	40.8%	19.3%	38.2%	2.1%	76.8%	-15.8%	14.9%	95.4K	-2.4M	-26.5K	0.19	59.40	1,613	312	62,275	11,500
2023-02-03	$2.25	$2.50	51.4%	23.5%	38.2%	12.5%	76.8%	-2.8%	-4.1%	103.3K	-2.5M	-26.7K	0.54	65.21	518	278	62,986	11,681
2023-02-06	$2.21	$2.50	52.0%	20.1%	37.8%	13.1%	93.6%	-24.8%	3.0%	89.5K	-2.0M	-25.5K	0.03	51.77	805	28	63,140	11,955
2023-02-07	$2.30	$2.50	55.1%	20.7%	40.6%	16.1%	70.8%	-5.8%	3.3%	107.1K	-2.4M	-26.1K	0.27	36.46	492	134	63,735	11,975
2023-02-08	$2.26	$2.50	77.1%	22.1%	40.9%	37.7%	73.2%	-19.9%	2.6%	102.8K	-2.3M	-25.8K	0.49	44.41	601	294	64,052	12,112
2023-02-09	$2.16	$2.50	65.5%	18.8%	43.8%	26.3%	69.9%	-25.9%	12.3%	85.5K	-1.8M	-23.9K	0.19	50.27	300	57	64,440	12,055
2023-02-10	$2.35	$2.50	77.6%	22.3%	51.4%	38.2%	77.6%	33.2%	2.3%	123.8K	-3.0M	-27.0K	0.14	44.71	1,633	229	64,424	12,097
2023-02-13	$2.29	$2.50	74.4%	21.3%	52.0%	35.0%	72.9%	13.0%	4.9%	115.7K	-2.5M	-25.4K	0.02	17.97	272	5	65,643	12,215
2023-02-14	$2.30	$2.50	80.0%	22.9%	52.1%	40.5%	82.1%	9.0%	-6.7%	81.4K	-2.1M	-24.9K	0.17	36.12	295	50	65,772	12,218
2023-02-15	$2.26	$2.50	84.0%	24.1%	51.1%	44.4%	81.3%	-4.0%	-8.7%	78.9K	-1.9M	-24.5K	41.16	31.86	98	4,034	65,859	12,264
2023-02-16	$2.21	$2.50	154.8%	44.4%	50.2%	100.0%	79.6%	141.5%	-16.0%	66.2K	-1.3M	-24.2K	0.00	66.34	582	2	65,902	14,288
2023-02-17	$2.12	$2.50	79.5%	22.8%	51.0%	35.2%	81.8%	-6.9%	-4.0%	61.7K	-1.2M	-23.0K	0.07	45.69	2,116	151	66,260	13,502
2023-02-21	$2.08	$2.50	73.9%	21.2%	50.6%	30.3%	74.3%	61.4%	-1.7%	62.7K	-1.3M	-21.9K	0.57	49.78	640	363	59,005	11,212
2023-02-22	$1.98	$2.00	75.3%	21.6%	52.2%	31.5%	75.3%	13.0%	-11.9%	47.6K	-881.1K	-19.9K	0.06	48.27	4,555	295	59,264	11,202
2023-02-23	$2.09	$2.00	60.1%	17.2%	56.5%	18.4%	65.1%	42.5%	15.9%	70.5K	-1.5M	-21.9K	0.73	71.33	350	256	62,941	11,454
2023-02-24	$2.09	$2.00	73.9%	21.2%	55.6%	30.3%	80.6%	35.0%	4.5%	72.7K	-1.6M	-22.1K	1.68	38.85	171	287	63,025	11,709
2023-02-27	$2.12	$2.00	64.3%	18.4%	56.1%	22.1%	64.5%	61.2%	4.2%	75.4K	-1.5M	-21.8K	2.82	13.47	562	1,586	63,120	11,625
2023-02-28	$2.13	$2.00	71.4%	20.5%	53.4%	28.2%	72.3%	63.8%	6.2%	76.3K	-1.6M	-22.6K	0.27	46.06	223	60	63,365	13,140