Opt extension denied; H1 denied; Options

[salzburry]

Some background: 

I came on H-4 in May 2015. I applied into an university and applied for I-539 change of status (H-4 to F-1). Graduated in Oct 2016. 
My OPT period was valid till Oct 10, 2017 and I filed my OPT extension application on Sep 25, 2017. 
I changed my employers on Nov 1,2017 and sent an updated I-765 to USCIS. 
At the same time, my new employer filed an cap exempt H-1b petition in premium processing on Nov 28, 2017 and got the receipt notice. 
I got an email on Dec 4, 2017 stating my OPT extension has been denied. 
On Jan 19, 2018, my H-1b application got denied. 

1. What options do I have ? 

2. My spouse is on H-1b visa. Can I apply for change of status I-539 (change of status) or do I have to leave the country and renter on H-4. 

3. Since my OPT extension got denied, my Sevis is in completed status. Can I take an admission into a university, get a new I-20, Sevis and cross border into Mexico for Sevis reinstatement. Or do I have to go back, visit a consulate and get it stamped. 

Please advise.

[The Other Guy]

What is the reason for denial ?

[sagi85]

How can they file cap exempt H1 do you've previously approved H1?

As you're out of status, fast and easy thing is to go out of the country canada/mexico (preferably home country)  and get H4 stamping and can come back with legal status, then your employer can file for H1 or if your spouse have approved i140 you can file for H4-EAD.