REI Options History — October 2014 In October 2014, REI traded between $13.12 and $17.29. ATM implied volatility averaged 59.2%. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 20.7% (HV 20d: 38.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 2.40.
Notable Days 2014-10-31 : Highest Volume — 333 contracts2014-10-24 : Largest IV spike — 94.0% change2014-10-10 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $14.65 $13.12 $17.29 $14.98 $17.29 Max Pain $18.26 $15.00 $20.00 $20.00 $15.00 ATM IV 59.2% 34.3% 123.5% 123.5% 56.9% Expected Move 13.2% 10.6% 15.8% 14.9% 13.5% HV 20d 38.5% 24.3% 53.9% 28.2% 53.9% HV 60d 33.4% 28.3% 37.3% 29.2% 37.3% Term Structure -11.1% -112.5% 16.4% -45.9% 16.4% VWIV 47.0% 38.0% 53.8% 38.1% 41.2% Skew 25d 11.4% -9.4% 51.7% 30.8% 42.8% Skew 10d 16.1% -5.3% 80.2% 21.4% 15.9% Call IV 25d 50.9% 31.0% 120.8% 120.8% 32.3% Put IV 25d 62.2% 31.0% 151.6% 151.6% 75.1% Bid-Ask Spread % 110.45 62.91 187.59 187.59 91.10 Gamma HHI 0.35 0.26 0.56 0.33 0.26 Net GEX -521 -1.4K 490 -170 303 Net DEX 57.5K -41.8K 123.4K 39.3K -41.8K Net VEX -609 -894 -301 -634 -787 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.40 0.00 6.14 0.00 2.08 Total Volume 68.087 0 333 0 333 Total OI 253.87 172 302 212 302
Daily Data (23 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 2014-10-01 $14.98 $20.00 123.5% 14.9% 28.2% 0.0% 0.0% 30.8% -45.9% -170 39.3K -634 0.00 187.59 0 0 106 106 2014-10-02 $15.01 $20.00 36.8% 10.9% 25.2% 0.0% 38.1% 3.2% 0.0% -763 69.3K -510 0.00 65.63 1 0 106 106 2014-10-03 $14.96 $20.00 36.0% 10.6% 24.6% 0.0% 0.0% 3.1% -0.1% -158 49.2K -301 0.00 72.05 0 0 96 76 2014-10-06 $14.81 $20.00 55.6% 13.7% 24.6% 0.0% 0.0% -1.6% -8.7% 53 36.5K -400 0.00 140.07 0 0 96 76 2014-10-07 $14.85 $20.00 34.3% 10.7% 24.7% 0.0% 0.0% 0.8% -0.2% -590 79.0K -436 0.00 82.41 0 0 106 106 2014-10-08 $14.76 $20.00 36.1% 10.7% 24.3% 0.0% 41.1% -9.4% 9.1% -316 67.7K -514 4.00 97.88 14 56 106 106 2014-10-09 $13.74 $20.00 70.0% 13.1% 33.6% 0.0% 44.9% -5.6% -19.1% -580 84.6K -397 0.00 103.26 0 50 106 106 2014-10-10 $13.34 $20.00 91.2% 15.8% 33.9% 0.0% 0.0% 6.9% 1.6% -948 103.2K -573 0.00 109.71 0 0 106 155 2014-10-13 $13.12 $20.00 61.1% 12.1% 33.6% 0.0% 0.0% 9.3% -7.9% -1.4K 123.4K -434 0.00 103.37 0 0 106 155 2014-10-14 $13.13 $20.00 49.7% 13.7% 33.7% 0.0% 42.0% 13.8% -13.2% -1.1K 116.1K -469 6.14 106.03 14 86 106 155 2014-10-15 $14.04 $20.00 80.4% 13.2% 42.7% 0.0% 49.0% 20.2% -6.8% -850 96.2K -632 2.61 122.37 33 86 106 155 2014-10-16 $14.62 $17.50 52.6% 13.9% 45.4% 0.0% 50.2% 13.8% -3.7% -1.0K 80.6K -706 0.00 109.39 0 10 126 155 2014-10-17 $14.33 $17.50 40.4% 11.3% 45.5% 0.0% 0.0% -0.5% -2.3% -823 71.0K -606 0.00 62.91 0 0 126 145 2014-10-20 $14.24 $17.50 39.7% 14.5% 45.5% 0.0% 53.6% -9.2% -10.5% -942 60.1K -687 2.50 121.91 34 85 126 145 2014-10-21 $14.55 $17.50 65.0% 12.1% 46.3% 0.0% 38.0% 11.0% -7.4% -850 74.3K -625 2.50 84.19 34 85 127 145 2014-10-22 $14.34 $17.50 55.0% 13.3% 46.5% 0.0% 51.8% 9.6% -6.9% -604 55.9K -693 2.50 132.16 34 85 127 145 2014-10-23 $14.66 $17.50 53.1% 13.5% 46.1% 0.0% 50.9% 10.1% -9.9% -463 58.7K -697 2.50 140.07 34 85 127 145 2014-10-24 $14.78 $17.50 102.9% 11.4% 45.6% 0.0% 52.2% 6.6% -112.5% -641 42.1K -703 2.50 130.49 34 85 127 145 2014-10-27 $14.74 $17.50 51.3% 14.5% 44.9% 0.0% 47.1% 12.0% -9.9% -772 66.1K -651 0.00 117.45 30 0 127 145 2014-10-28 $15.02 $15.00 35.3% 15.8% 44.4% 0.0% 0.0% 51.7% 5.1% 354 -10.4K -894 0.00 125.76 0 0 157 145 2014-10-29 $15.64 $15.00 61.9% 15.3% 46.3% 0.0% 53.8% 25.8% -4.1% -221 6.5K -804 1.93 118.77 44 85 157 145 2014-10-30 $15.97 $15.00 73.1% 15.3% 46.7% 0.0% 51.1% 16.0% -19.4% 490 -5.8K -851 1.93 115.70 44 85 157 145 2014-10-31 $17.29 $15.00 56.9% 13.5% 53.9% 0.0% 41.2% 42.8% 16.4% 303 -41.8K -787 2.08 91.10 108 225 157 145
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