REI Options History — September 2023

In September 2023, REI traded between $1.85 and $2.02. ATM implied volatility averaged 55.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 9.8% (HV 20d: 45.5%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2023-09-25: Highest Volume — 12,224 contracts
2023-09-28: Largest IV spike — 37.4% change
2023-09-05: Highest IV Rank — 33.0%
2023-09-05: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.94	$1.85	$2.02	$1.98	$1.96
Max Pain	$1.60	$1.50	$2.50	$2.50	$1.50
ATM IV	55.2%	41.6%	75.0%	55.8%	45.4%
Expected Move	15.4%	11.9%	18.1%	16.0%	13.0%
HV 20d	45.5%	36.6%	48.1%	46.3%	47.0%
HV 60d	57.1%	55.3%	58.3%	55.9%	56.9%
IV Rank	16.4%	5.0%	33.0%	16.9%	8.1%
IV Percentile	25.2%	3.6%	66.7%	22.6%	7.1%
Term Structure	5.6%	-5.5%	15.4%	-5.5%	14.7%
VWIV	55.1%	45.6%	63.2%	56.4%	45.6%
Skew 25d	12.2%	-5.7%	184.1%	-3.7%	5.8%
Skew 10d	18.2%	-6.1%	267.7%	-6.1%	9.0%
Call IV 25d	48.3%	42.7%	59.5%	59.5%	48.6%
Put IV 25d	60.5%	43.3%	230.6%	55.8%	54.4%
Bid-Ask Spread %	69.59	32.16	79.48	73.07	71.30
Gamma HHI	0.40	0.26	0.79	0.37	0.36
Net GEX	14.6K	-141.5K	81.9K	-6.1K	81.9K
Net DEX	-1.3M	-4.0M	1.2M	-217.6K	-3.6M
Net VEX	-20.9K	-28.6K	-16.8K	-20.3K	-27.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.85	0.01	0.00
Total Volume	1,912.5	124	12,224	649	599
Total OI	81,391	45,994	100,252	98,093	74,063

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
2023-09-01	$1.98	$2.50	55.8%	16.0%	46.3%	16.9%	56.4%	-3.7%	-5.5%	-6.1K	-217.6K	-20.3K	0.01	73.07	642	7	60,022	38,071
2023-09-05	$1.94	$2.00	75.0%	18.1%	45.9%	33.0%	63.2%	5.7%	2.2%	-3.5K	-102.0K	-19.9K	0.13	74.55	529	70	60,517	38,071
2023-09-06	$1.92	$2.00	60.8%	16.9%	45.4%	21.1%	61.4%	10.4%	4.6%	-10.7K	-349.3K	-18.7K	0.59	72.44	343	201	60,808	37,962
2023-09-07	$1.88	$1.50	50.3%	17.0%	45.7%	12.3%	59.6%	11.1%	5.6%	-17.0K	609.4K	-18.1K	0.00	71.90	594	1	61,110	37,831
2023-09-08	$1.94	$1.50	60.0%	17.3%	36.6%	20.4%	60.3%	1.3%	7.1%	-6.9K	-73.9K	-19.7K	0.35	71.67	92	32	61,223	37,832
2023-09-11	$1.85	$1.50	67.9%	15.7%	40.1%	27.0%	55.7%	-2.6%	6.9%	-8.5K	806.1K	-17.8K	0.15	75.74	499	73	61,234	37,890
2023-09-12	$2.00	$1.50	69.0%	16.8%	48.1%	28.0%	58.3%	10.2%	4.1%	-50.3K	-334.8K	-18.7K	0.05	78.80	740	35	61,564	37,923
2023-09-13	$1.98	$1.50	49.4%	14.2%	47.1%	11.5%	50.7%	5.4%	5.9%	-76.5K	-63.5K	-18.8K	0.48	64.52	88	42	61,893	37,914
2023-09-14	$2.00	$1.50	60.1%	17.2%	47.2%	20.5%	61.0%	11.6%	0.6%	-141.5K	-444.0K	-18.5K	0.03	75.08	957	25	61,909	37,905
2023-09-15	$1.94	$1.50	50.5%	14.5%	47.4%	12.4%	51.7%	3.0%	14.7%	43.2K	1.2M	-17.6K	0.22	78.99	454	100	62,338	37,914
2023-09-18	$1.94	$1.50	52.8%	15.1%	46.7%	14.4%	52.8%	3.1%	5.9%	45.0K	-2.3M	-16.8K	0.85	65.95	6,330	5,362	37,901	8,093
2023-09-19	$1.94	$1.50	47.3%	13.5%	46.1%	9.7%	47.1%	184.1%	8.1%	37.3K	-1.9M	-19.9K	0.01	76.95	414	5	43,448	13,452
2023-09-20	$1.88	$1.50	52.8%	15.1%	46.1%	14.4%	52.9%	-1.0%	15.4%	39.1K	-1.9M	-19.7K	0.00	62.30	799	1	43,780	13,452
2023-09-21	$1.87	$1.50	58.2%	16.7%	46.1%	18.9%	60.9%	-4.9%	-3.0%	36.5K	-1.7M	-19.6K	0.01	74.80	271	2	44,450	13,454
2023-09-22	$1.88	$1.50	54.6%	15.7%	44.5%	15.9%	54.7%	-1.0%	6.1%	40.7K	-1.8M	-19.9K	0.08	41.28	5,164	420	44,563	13,455
2023-09-25	$1.94	$1.50	47.4%	13.6%	45.2%	9.9%	47.5%	4.0%	10.8%	53.6K	-2.5M	-22.7K	0.00	71.54	12,219	5	49,606	13,875
2023-09-26	$1.96	$1.50	48.4%	13.9%	45.3%	10.7%	48.4%	-0.8%	10.5%	76.2K	-3.3M	-27.7K	0.00	79.26	416	0	60,255	13,876
2023-09-27	$2.02	$1.50	41.6%	11.9%	46.3%	5.0%	55.8%	-5.7%	-4.5%	78.7K	-3.9M	-28.4K	0.05	79.48	453	24	60,149	13,876
2023-09-28	$2.00	$1.50	57.2%	16.4%	46.3%	18.0%	58.9%	7.9%	0.6%	80.3K	-4.0M	-28.6K	0.00	32.16	242	0	60,285	13,856
2023-09-29	$1.96	$1.50	45.4%	13.0%	47.0%	8.1%	45.6%	5.8%	14.7%	81.9K	-3.6M	-27.4K	0.00	71.30	599	0	60,207	13,856