REI Options History — August 2014

Name: REI Options Analytics - August 2014
Creator: Options Analysis Suite

In August 2014, REI traded between $16.81 and $18.20. ATM implied volatility averaged 90.7%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 56.4% (HV 20d: 34.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.33.

Notable Days

2014-08-04: Highest Volume — 50 contracts
2014-08-05: Largest IV spike — 293.5% change
2014-08-13: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.57	$16.81	$18.20	$16.81	$17.17
Max Pain	$17.65	$15.00	$20.00	$17.50	$20.00
ATM IV	90.7%	38.9%	197.0%	183.9%	56.7%
Expected Move	12.7%	9.2%	14.8%	13.4%	11.4%
HV 20d	34.3%	31.1%	37.3%	37.3%	31.1%
Term Structure	-26.2%	-89.2%	26.2%	-89.2%	-19.0%
VWIV	46.6%	36.0%	53.8%	43.7%	36.0%
Skew 25d	7.3%	-2.4%	17.8%	10.5%	-1.0%
Skew 10d	22.2%	5.9%	53.6%	41.2%	53.6%
Call IV 25d	56.5%	29.5%	115.2%	115.2%	59.6%
Put IV 25d	63.8%	38.5%	125.6%	125.6%	58.7%
Bid-Ask Spread %	144.52	53.71	177.98	177.98	148.49
Gamma HHI	0.77	0.35	1.00	1.00	0.35
Net GEX	1.0K	0	1.6K	0	1.1K
Net DEX	-34.2K	-46.7K	0	0	-26.8K
Net VEX	-260	-470	0	0	-451
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.33	0.00	20.00	0.00	10.00
Total Volume	5.429	0	50	0	1
Total OI	62.19	0	112	0	112

Daily Data (21 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
2014-08-01	$16.81	$0.00	183.9%	13.4%	0.0%	0.0%	0.0%	0.0%	-89.2%	0	0	0	0.00	177.98	0	0	0	0
2014-08-04	$17.66	$0.00	50.1%	12.2%	0.0%	0.0%	0.0%	0.0%	7.2%	0	0	0	0.00	151.97	50	0	0	0
2014-08-05	$17.20	$0.00	197.0%	12.0%	0.0%	0.0%	0.0%	0.0%	-44.2%	1.0K	-32.9K	-203	0.00	174.36	0	0	50	0
2014-08-06	$17.64	$0.00	105.9%	12.7%	0.0%	0.0%	43.7%	0.0%	-54.6%	1.1K	-36.2K	-213	0.00	177.54	3	0	50	0
2014-08-07	$18.20	$17.50	72.8%	14.2%	0.0%	0.0%	0.0%	0.0%	-40.1%	1.0K	-46.5K	-237	0.00	164.91	0	0	53	0
2014-08-08	$18.12	$17.50	102.3%	13.7%	0.0%	0.0%	0.0%	0.0%	-41.4%	1.0K	-45.3K	-236	0.00	167.82	0	0	53	0
2014-08-11	$18.05	$17.50	104.1%	14.2%	0.0%	0.0%	0.0%	0.0%	-43.8%	1.1K	-44.5K	-233	0.00	155.71	0	0	53	0
2014-08-12	$17.93	$17.50	105.8%	12.8%	0.0%	0.0%	0.0%	0.0%	-45.6%	1.0K	-43.6K	-225	0.00	175.12	0	0	53	0
2014-08-13	$17.70	$17.50	110.4%	14.8%	0.0%	0.0%	51.6%	0.0%	-49.4%	988	-42.4K	-222	0.00	152.71	1	0	53	0
2014-08-14	$17.77	$17.50	111.6%	14.5%	0.0%	0.0%	0.0%	0.0%	-50.1%	1.0K	-43.9K	-227	0.00	159.31	0	0	54	0
2014-08-15	$17.43	$17.50	74.3%	13.9%	0.0%	0.0%	52.3%	0.0%	26.2%	977	-41.7K	-224	0.00	163.64	1	0	54	0
2014-08-18	$18.00	$15.00	117.3%	13.6%	0.0%	0.0%	0.0%	10.5%	-29.4%	1.1K	-46.7K	-236	0.00	169.38	0	0	55	0
2014-08-19	$17.75	$15.00	43.0%	11.3%	0.0%	0.0%	0.0%	2.8%	-2.4%	1.6K	-36.5K	-215	0.00	53.71	0	0	55	0
2014-08-20	$17.59	$15.00	108.4%	13.6%	0.0%	0.0%	48.7%	10.7%	-7.6%	1.1K	-43.0K	-226	0.00	152.82	5	0	55	0
2014-08-21	$17.33	$15.00	58.2%	11.2%	37.3%	0.0%	40.8%	17.8%	-11.0%	1.3K	-41.4K	-233	20.00	101.30	1	20	60	0
2014-08-22	$17.49	$20.00	73.6%	9.2%	36.2%	0.0%	46.2%	-2.4%	-13.7%	935	-18.7K	-340	0.00	126.40	11	0	60	20
2014-08-25	$17.41	$20.00	66.0%	10.7%	35.1%	0.0%	53.8%	10.8%	-16.5%	1.1K	-35.8K	-389	0.00	130.61	10	0	71	20
2014-08-26	$17.28	$17.50	41.5%	13.3%	34.2%	0.0%	36.0%	8.7%	-9.1%	1.5K	-39.2K	-418	10.00	105.57	1	10	81	20
2014-08-27	$17.30	$20.00	38.9%	11.8%	33.3%	0.0%	0.0%	9.0%	3.5%	1.3K	-24.0K	-470	0.00	76.64	0	0	82	30
2014-08-28	$17.05	$20.00	82.0%	12.4%	32.8%	0.0%	0.0%	5.5%	-21.0%	1.1K	-29.2K	-465	0.00	148.88	0	0	82	30
2014-08-29	$17.17	$20.00	56.7%	11.4%	31.1%	0.0%	0.0%	-1.0%	-19.0%	1.1K	-26.8K	-451	0.00	148.49	0	1	82	30