REI Options History — March 2024

In March 2024, REI traded between $1.40 and $1.96. ATM implied volatility averaged 59.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 14.6% (HV 20d: 45.1%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2024-03-27: Highest Volume — 23,215 contracts
2024-03-05: Largest IV spike — 60.6% change
2024-03-06: Highest IV Rank — 100.0%
2024-03-01: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.72	$1.40	$1.96	$1.46	$1.94
Max Pain	$1.25	$1.00	$1.50	$1.00	$1.50
ATM IV	59.6%	38.6%	105.5%	80.3%	47.9%
Expected Move	16.1%	11.1%	23.0%	23.0%	13.7%
HV 20d	45.1%	41.4%	48.9%	46.0%	48.4%
HV 60d	46.1%	43.7%	47.8%	47.5%	45.7%
IV Rank	39.0%	9.3%	100.0%	76.1%	21.9%
IV Percentile	48.2%	4.0%	100.0%	96.4%	23.8%
Term Structure	0.3%	-26.4%	22.5%	-21.4%	0.6%
VWIV	58.8%	38.1%	84.6%	84.2%	50.7%
Skew 25d	6.3%	-26.1%	46.6%	-9.2%	1.9%
Skew 10d	12.7%	-9.3%	79.0%	-9.3%	5.3%
Call IV 25d	51.7%	27.6%	85.0%	85.0%	51.4%
Put IV 25d	57.9%	38.1%	97.3%	75.8%	53.3%
Bid-Ask Spread %	68.08	36.52	94.19	63.71	74.85
Gamma HHI	0.51	0.27	0.79	0.69	0.27
Net GEX	82.3K	55.8K	137.5K	91.3K	90.0K
Net DEX	-3.1M	-3.8M	-2.1M	-2.6M	-3.8M
Net VEX	-14.4K	-26.7K	-10.0K	-10.5K	-26.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.98	0.04	0.00
Total Volume	4,630.75	191	23,215	258	470
Total OI	66,780.55	53,928	80,059	76,727	76,659

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
2024-03-01	$1.46	$1.00	80.3%	23.0%	46.0%	76.1%	84.2%	-9.2%	-21.4%	91.3K	-2.6M	-10.5K	0.04	63.71	248	10	74,660	2,067
2024-03-04	$1.42	$1.00	47.0%	20.6%	42.8%	24.0%	73.4%	21.2%	-4.7%	137.5K	-2.1M	-10.4K	0.03	53.37	3,443	115	74,719	2,077
2024-03-05	$1.40	$1.00	75.6%	20.8%	41.4%	68.7%	76.7%	10.1%	-5.3%	99.2K	-2.1M	-10.3K	0.47	55.91	130	61	77,736	2,192
2024-03-06	$1.42	$1.00	105.5%	20.6%	41.4%	100.0%	72.4%	1.7%	0.1%	94.4K	-2.6M	-11.0K	0.01	65.28	10,965	94	77,806	2,253
2024-03-07	$1.44	$1.00	89.5%	23.0%	41.4%	78.4%	84.6%	6.8%	-3.6%	68.0K	-2.2M	-10.7K	0.08	58.34	403	33	68,165	2,344
2024-03-08	$1.54	$1.00	65.9%	17.4%	46.8%	46.4%	60.8%	46.6%	0.3%	101.2K	-2.6M	-10.3K	0.21	59.06	629	132	68,288	2,376
2024-03-11	$1.62	$1.00	66.5%	18.7%	48.3%	47.2%	64.8%	42.5%	-26.4%	77.6K	-3.2M	-10.0K	0.07	59.10	646	44	68,450	2,456
2024-03-12	$1.67	$1.00	89.8%	14.1%	47.1%	78.8%	55.4%	9.1%	6.1%	65.0K	-3.5M	-10.4K	0.00	36.52	21,092	4	68,429	2,497
2024-03-13	$1.71	$1.00	57.4%	16.5%	44.8%	34.9%	73.2%	-26.1%	-5.2%	55.8K	-3.4M	-15.3K	0.01	60.15	2,675	24	71,459	2,498
2024-03-14	$1.79	$1.00	38.6%	11.1%	45.9%	9.3%	47.0%	-1.9%	13.4%	63.9K	-3.6M	-15.6K	0.07	72.58	1,467	104	72,341	2,497
2024-03-15	$1.85	$1.50	53.5%	15.3%	44.4%	29.6%	53.1%	-10.8%	5.9%	68.4K	-3.7M	-15.1K	0.03	67.75	1,985	62	72,331	2,596
2024-03-18	$1.88	$1.50	55.5%	15.9%	44.1%	32.3%	51.8%	-4.7%	2.2%	76.9K	-3.3M	-16.1K	0.17	65.72	608	106	51,990	1,938
2024-03-19	$1.83	$1.50	42.2%	12.1%	43.9%	14.2%	48.1%	20.5%	22.5%	73.3K	-3.0M	-15.2K	0.98	94.19	205	201	52,032	1,949
2024-03-20	$1.92	$1.50	48.0%	13.8%	44.4%	22.2%	50.4%	1.4%	12.5%	80.8K	-3.3M	-15.3K	0.00	88.81	716	1	52,129	2,150
2024-03-21	$1.90	$1.50	47.3%	13.6%	42.5%	21.2%	48.1%	0.5%	3.0%	80.3K	-3.4M	-16.8K	0.00	72.36	475	0	52,392	2,151
2024-03-22	$1.85	$1.50	38.9%	11.2%	43.9%	9.8%	38.1%	5.6%	-2.8%	74.7K	-2.9M	-14.2K	0.00	82.94	439	1	52,207	2,151
2024-03-25	$1.96	$1.50	41.6%	11.9%	46.0%	13.4%	41.8%	5.3%	8.0%	92.8K	-3.8M	-16.5K	0.00	83.67	21,428	12	52,427	2,171
2024-03-26	$1.90	$1.50	52.0%	14.9%	48.9%	27.5%	53.4%	0.6%	0.6%	75.8K	-3.4M	-18.4K	0.01	80.63	370	2	54,261	2,162
2024-03-27	$1.92	$1.50	48.9%	14.0%	48.7%	23.3%	49.0%	4.3%	0.7%	79.9K	-3.6M	-18.7K	0.76	66.55	13,201	10,014	54,443	2,162
2024-03-28	$1.94	$1.50	47.9%	13.7%	48.4%	21.9%	50.7%	1.9%	0.6%	90.0K	-3.8M	-26.7K	0.00	74.85	469	1	64,497	12,162