REI Options History — September 2024

In September 2024, REI traded between $1.58 and $1.75. ATM implied volatility averaged 48.6%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 6.4% (HV 20d: 55.0%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2024-09-25: Highest Volume — 20,621 contracts
2024-09-09: Largest IV spike — 59.7% change
2024-09-19: Highest IV Rank — 23.9%
2024-09-19: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.66	$1.58	$1.75	$1.71	$1.60
Max Pain	$1.50	$1.50	$1.50	$1.50	$1.50
ATM IV	48.6%	38.7%	69.6%	54.9%	42.9%
Expected Move	13.5%	11.1%	19.9%	15.7%	12.3%
HV 20d	55.0%	49.2%	59.6%	57.7%	52.7%
HV 60d	58.7%	57.5%	59.8%	57.9%	57.5%
IV Rank	12.7%	7.3%	23.9%	16.0%	9.5%
IV Percentile	36.9%	10.3%	87.7%	55.2%	19.8%
Term Structure	0.7%	-30.3%	55.3%	-25.1%	-15.9%
VWIV	53.0%	35.9%	88.3%	53.9%	51.9%
Skew 25d	1.2%	-21.5%	18.8%	-2.4%	-21.5%
Skew 10d	25.6%	-29.6%	105.4%	3.5%	83.2%
Call IV 25d	43.2%	33.1%	58.7%	50.6%	56.2%
Put IV 25d	44.4%	31.4%	53.6%	48.3%	34.6%
Bid-Ask Spread %	56.20	19.94	81.07	19.94	43.52
Gamma HHI	0.38	0.30	0.46	0.35	0.40
Net GEX	52.2K	-22.9K	90.7K	68.3K	90.7K
Net DEX	-2.6M	-3.7M	-1.3M	-2.4M	-3.7M
Net VEX	-16.4K	-22.9K	-11.8K	-15.9K	-22.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.92	0.39	0.00
Total Volume	1,798.35	14	20,621	133	250
Total OI	91,197.65	58,053	106,307	95,415	81,549

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
2024-09-03	$1.71	$1.50	54.9%	15.7%	57.7%	16.0%	53.9%	-2.4%	-25.1%	68.3K	-2.4M	-15.9K	0.39	19.94	96	37	83,651	11,764
2024-09-04	$1.62	$1.50	44.0%	12.6%	59.6%	10.1%	49.6%	-15.2%	-8.2%	6.1K	-1.7M	-13.6K	0.88	42.83	311	273	83,734	11,777
2024-09-05	$1.63	$1.50	44.6%	13.0%	59.5%	10.5%	0.0%	3.1%	-12.6%	11.6K	-1.8M	-14.1K	0.01	60.01	184	1	84,034	11,916
2024-09-06	$1.58	$1.50	39.2%	13.3%	49.2%	7.6%	0.0%	10.4%	-8.5%	-22.9K	-1.3M	-11.8K	0.42	79.69	120	50	84,091	11,916
2024-09-09	$1.65	$1.50	62.5%	11.4%	51.3%	20.1%	0.0%	4.4%	18.5%	29.9K	-1.9M	-13.9K	0.00	59.50	14	0	84,150	11,916
2024-09-10	$1.58	$1.50	59.3%	12.1%	49.9%	18.4%	0.0%	1.0%	5.8%	-5.8K	-1.4M	-12.8K	0.92	63.51	101	93	84,161	11,916
2024-09-11	$1.67	$1.50	39.8%	11.4%	54.7%	7.9%	35.9%	8.3%	18.5%	33.7K	-2.1M	-13.7K	0.00	59.20	105	0	84,214	12,002
2024-09-12	$1.67	$1.50	47.3%	13.5%	54.7%	11.9%	0.0%	5.8%	8.5%	25.8K	-1.9M	-12.4K	0.00	61.41	33	0	84,315	12,002
2024-09-13	$1.71	$1.50	45.5%	13.0%	54.5%	11.0%	43.1%	11.7%	22.7%	57.4K	-2.4M	-14.5K	0.08	42.35	61	5	84,335	12,002
2024-09-16	$1.75	$1.50	52.3%	15.0%	55.3%	14.6%	51.3%	18.8%	21.7%	54.6K	-2.6M	-14.7K	0.01	43.41	146	1	84,357	11,997
2024-09-17	$1.75	$1.50	45.1%	12.9%	55.3%	10.8%	54.7%	2.3%	-6.3%	75.9K	-3.3M	-18.4K	0.00	45.03	37	0	94,282	11,997
2024-09-18	$1.75	$1.50	54.0%	15.5%	55.3%	15.5%	0.0%	15.4%	-6.9%	76.7K	-3.2M	-17.6K	0.00	41.73	55	0	94,310	11,997
2024-09-19	$1.69	$1.50	69.6%	19.9%	56.4%	23.9%	88.3%	10.4%	55.3%	69.5K	-2.8M	-16.4K	0.00	41.85	178	0	94,207	11,997
2024-09-20	$1.69	$1.50	51.9%	14.9%	56.3%	14.4%	0.0%	10.8%	-4.4%	69.6K	-2.7M	-15.5K	0.33	81.07	39	13	94,270	11,997
2024-09-23	$1.65	$1.50	41.4%	11.9%	54.6%	8.8%	49.1%	-8.8%	-18.7%	65.2K	-2.5M	-14.9K	0.00	61.86	10,423	1	56,233	1,820
2024-09-24	$1.69	$1.50	39.0%	11.2%	55.3%	7.5%	40.0%	0.1%	-0.7%	84.6K	-3.5M	-20.8K	0.05	63.01	1,440	70	66,526	1,821
2024-09-25	$1.60	$1.50	46.5%	13.3%	57.6%	11.5%	46.4%	-0.2%	0.7%	74.3K	-3.0M	-18.5K	0.00	78.39	20,580	41	68,043	1,821
2024-09-26	$1.60	$1.50	38.7%	11.1%	57.4%	7.3%	46.8%	-19.3%	0.1%	88.2K	-3.4M	-22.2K	0.04	60.44	1,082	40	77,596	1,792
2024-09-27	$1.60	$1.50	54.5%	15.6%	53.7%	15.8%	77.8%	-11.5%	-30.3%	90.0K	-3.6M	-22.9K	0.06	75.17	82	5	79,613	1,832
2024-09-30	$1.60	$1.50	42.9%	12.3%	52.7%	9.5%	51.9%	-21.5%	-15.9%	90.7K	-3.7M	-22.6K	0.00	43.52	250	0	79,712	1,837