REI Options History — November 2014 In November 2014, REI traded between $9.56 and $16.56. ATM implied volatility averaged 66.0%. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 3.6% (HV 20d: 62.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.05.
Notable Days 2014-11-04 : Highest Volume — 456 contracts2014-11-07 : Largest IV spike — 146.7% change2014-11-28 : Largest Expected Move — 21.8%Monthly Statistics Metric Avg Min Max Open Close Price $13.46 $9.56 $16.56 $16.56 $9.56 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 66.0% 36.0% 151.1% 39.8% 76.9% Expected Move 14.1% 11.5% 21.8% 11.5% 21.8% HV 20d 62.4% 54.2% 82.8% 56.5% 82.8% HV 60d 45.1% 38.3% 59.2% 38.3% 59.2% Term Structure -12.4% -96.1% 13.6% 0.7% -23.1% VWIV 47.2% 37.6% 57.2% 47.4% 57.2% Skew 25d -4.2% -61.5% 28.4% 28.4% -34.9% Skew 10d 14.1% -51.2% 89.5% 38.0% -51.2% Call IV 25d 60.1% 28.5% 136.0% 36.1% 103.9% Put IV 25d 56.0% 37.4% 105.8% 64.5% 69.1% Bid-Ask Spread % 104.34 69.37 138.82 126.30 109.00 Gamma HHI 0.45 0.24 0.68 0.62 0.25 Net GEX -2.0K -9.1K 1.2K -4.1K 208 Net DEX 118.8K -4.5K 205.4K -4.5K 151.1K Net VEX -1.1K -1.4K -754 -951 -919 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.05 0.69 15.00 2.08 15.00 Total Volume 223.895 0 456 333 0 Total OI 563.526 406 624 406 624
Daily Data (19 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 2014-11-03 $16.56 $15.00 39.8% 11.5% 56.5% 0.0% 47.4% 28.4% 0.7% -4.1K -4.5K -951 2.08 126.30 108 225 121 285 2014-11-04 $15.87 $15.00 47.3% 12.4% 59.1% 0.0% 42.1% 0.4% -12.6% -5.8K 43.0K -917 0.98 75.87 230 226 121 285 2014-11-05 $15.88 $15.00 37.9% 11.8% 59.0% 0.0% 45.3% 8.9% 5.5% -7.9K -4.1K -1.4K 0.98 90.83 230 226 246 286 2014-11-06 $14.66 $15.00 36.0% 12.4% 60.4% 0.0% 44.5% 4.3% -3.5% -9.1K 85.5K -1.4K 0.69 69.37 250 173 246 286 2014-11-07 $14.61 $15.00 88.8% 12.9% 59.3% 0.0% 45.8% -3.3% -12.1% -2.1K 83.5K -1.4K 1.43 123.72 121 173 276 287 2014-11-10 $14.36 $15.00 42.5% 12.0% 59.3% 0.0% 44.4% 0.5% -22.0% -5.7K 68.7K -1.4K 0.84 81.47 134 113 303 287 2014-11-11 $14.36 $15.00 101.8% 15.3% 59.3% 0.0% 45.8% -61.5% 13.6% -771 50.0K -1.3K 0.84 120.56 134 113 295 246 2014-11-12 $13.83 $15.00 114.9% 12.7% 56.2% 0.0% 44.3% -30.2% -12.6% -528 104.3K -1.1K 0.84 138.82 134 113 316 287 2014-11-13 $13.60 $15.00 38.8% 13.0% 54.3% 0.0% 46.1% -4.6% 10.7% -895 191.4K -1.1K 0.90 86.83 125 113 316 287 2014-11-14 $13.76 $15.00 66.3% 12.6% 54.2% 0.0% 0.0% -7.0% -13.2% -2.9K 183.1K -965 0.00 103.10 0 0 316 287 2014-11-17 $13.21 $15.00 151.1% 13.5% 55.9% 0.0% 55.3% 17.4% -96.1% 1.2K 156.3K -1.2K 0.90 99.43 125 113 316 287 2014-11-18 $12.82 $15.00 63.5% 17.5% 55.8% 0.0% 48.1% 9.7% -4.5% -79 191.1K -1.0K 1.07 102.16 106 113 316 287 2014-11-19 $12.10 $15.00 57.7% 14.5% 58.7% 0.0% 0.0% -6.7% -22.1% 223 199.7K -914 0.00 126.04 0 0 317 287 2014-11-20 $12.88 $15.00 59.9% 14.7% 63.1% 0.0% 52.7% 17.5% -6.4% -203 205.4K -945 1.05 124.39 106 111 317 287 2014-11-21 $13.47 $15.00 55.1% 15.2% 65.5% 0.0% 52.0% -4.9% -22.9% 109 137.1K -1.2K 0.86 121.28 106 91 317 271 2014-11-24 $12.14 $15.00 49.1% 13.9% 74.3% 0.0% 37.6% 0.9% -1.3% 436 110.5K -791 2.90 80.54 31 90 304 196 2014-11-25 $11.20 $15.00 82.5% 16.7% 77.6% 0.0% 57.2% -14.1% -18.9% 271 105.9K -1.1K 1.46 114.43 124 181 335 256 2014-11-26 $10.86 $15.00 44.0% 14.3% 75.0% 0.0% 0.0% 0.3% 5.7% 312 199.5K -754 15.00 88.41 1 15 335 276 2014-11-28 $9.56 $15.00 76.9% 21.8% 82.8% 0.0% 0.0% -34.9% -23.1% 208 151.1K -919 0.00 109.00 0 0 336 288
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