REI Options History — September 2014 In September 2014, REI traded between $14.54 and $16.81. ATM implied volatility averaged 76.6%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 52.7% (HV 20d: 23.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 7.63.
Notable Days 2014-09-02 : Highest Volume — 31 contracts2014-09-26 : Largest IV spike — 220.1% change2014-09-17 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.47 $14.54 $16.81 $16.80 $14.74 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 76.6% 38.1% 155.8% 67.8% 134.8% Expected Move 13.0% 8.9% 19.0% 12.0% 18.3% HV 20d 23.9% 21.3% 27.1% 26.4% 27.1% Term Structure -19.0% -114.0% 31.7% -14.9% -38.3% VWIV 40.7% 29.9% 58.2% 30.8% 45.6% Skew 25d 9.9% -53.6% 102.2% 102.2% 82.9% Skew 10d 17.3% -112.3% 102.2% 102.2% 94.3% Call IV 25d 52.7% 29.7% 120.9% 56.6% 66.2% Put IV 25d 62.6% 36.4% 158.8% 158.8% 149.2% Bid-Ask Spread % 111.23 39.38 172.71 141.11 167.43 Gamma HHI 0.41 0.34 0.72 0.47 0.34 Net GEX 113 -442 1.1K 1.1K 107 Net DEX 41.0K -23.3K 71.7K -23.3K 27.2K Net VEX -511 -689 -396 -451 -689 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.63 0.00 30.00 30.00 0.50 Total Volume 4.762 0 31 31 0 Total OI 168.952 113 212 113 212
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 2014-09-02 $16.80 $20.00 67.8% 12.0% 26.4% 0.0% 30.8% 102.2% -14.9% 1.1K -23.3K -451 30.00 141.11 1 30 82 31 2014-09-03 $16.81 $20.00 85.1% 8.9% 24.9% 0.0% 0.0% 7.5% -11.1% 523 16.3K -564 0.00 172.71 0 0 83 61 2014-09-04 $16.15 $20.00 95.3% 12.9% 26.4% 0.0% 40.0% 25.0% -114.0% 394 27.0K -499 0.00 138.08 0 10 83 61 2014-09-05 $15.85 $20.00 39.8% 12.4% 23.2% 0.0% 0.0% 11.4% -1.9% 88 40.8K -503 0.00 67.82 0 1 83 71 2014-09-08 $15.88 $20.00 38.1% 11.9% 23.4% 0.0% 0.0% 11.0% -0.0% 94 45.1K -500 0.00 54.59 0 0 83 72 2014-09-09 $15.82 $20.00 107.6% 14.7% 23.4% 0.0% 0.0% 13.7% -32.5% 134 35.2K -524 0.00 167.80 0 0 83 72 2014-09-10 $15.96 $20.00 128.0% 12.8% 24.1% 0.0% 0.0% 33.1% -14.1% 127 39.9K -524 0.00 82.94 0 0 83 72 2014-09-11 $16.12 $20.00 40.7% 11.8% 24.5% 0.0% 0.0% 3.3% 1.5% 68 41.1K -522 0.00 87.91 0 0 83 72 2014-09-12 $15.71 $20.00 70.0% 12.2% 25.4% 0.0% 0.0% -8.5% -56.1% 23 45.1K -488 0.00 75.63 0 0 83 72 2014-09-15 $15.35 $20.00 96.8% 14.0% 25.7% 0.0% 0.0% -5.0% -50.7% 240 27.8K -523 0.00 169.39 0 10 83 72 2014-09-16 $15.15 $20.00 40.8% 11.3% 21.4% 0.0% 39.4% 1.8% -0.4% -442 71.7K -396 0.00 63.25 1 0 83 82 2014-09-17 $15.04 $20.00 77.3% 19.0% 21.3% 0.0% 58.2% -25.9% -27.5% -125 37.9K -533 0.00 144.53 12 0 84 81 2014-09-18 $14.90 $20.00 71.3% 12.2% 21.3% 0.0% 29.9% -17.3% -8.9% 93 36.9K -549 0.50 74.03 10 5 96 81 2014-09-19 $15.12 $20.00 52.9% 14.9% 22.6% 0.0% 0.0% 5.5% 10.2% -313 43.1K -546 0.00 122.25 0 0 106 86 2014-09-22 $15.05 $20.00 60.3% 13.8% 21.8% 0.0% 0.0% -1.6% 31.7% 53 71.4K -424 0.00 103.48 0 0 106 86 2014-09-23 $14.95 $20.00 43.9% 11.3% 21.8% 0.0% 0.0% -31.1% 10.6% -42 57.3K -495 0.00 83.64 0 0 106 86 2014-09-24 $14.97 $20.00 38.3% 11.5% 22.0% 0.0% 0.0% 2.9% 2.8% -54 56.2K -519 0.00 39.38 0 0 106 86 2014-09-25 $14.54 $20.00 48.7% 12.0% 23.1% 0.0% 0.0% -5.8% 5.6% -15 53.2K -487 0.00 143.34 0 0 106 86 2014-09-26 $14.85 $20.00 155.8% 12.6% 25.3% 0.0% 0.0% -53.6% -53.9% 207 61.5K -471 0.00 78.66 0 0 106 86 2014-09-29 $15.15 $20.00 114.2% 13.5% 26.6% 0.0% 45.6% 56.6% -36.2% 134 50.1K -532 0.00 157.86 0 20 106 86 2014-09-30 $14.74 $20.00 134.8% 18.3% 27.1% 0.0% 0.0% 82.9% -38.3% 107 27.2K -689 0.00 167.43 0 0 106 106
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