REI Options History — December 2014 In December 2014, REI traded between $7.81 and $10.95. ATM implied volatility averaged 72.7%. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 56.4% (HV 20d: 129.1%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.03.
Notable Days 2014-12-17 : Highest Volume — 756 contracts2014-12-26 : Largest IV spike — 45.9% change2014-12-02 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.45 $7.81 $10.95 $7.81 $10.50 Max Pain $14.50 $10.00 $15.00 $15.00 $10.00 ATM IV 72.7% 48.2% 110.3% 93.5% 64.6% Expected Move 19.6% 16.4% 24.9% 20.2% 19.5% HV 20d 129.1% 94.8% 150.7% 94.8% 105.5% HV 60d 88.2% 71.2% 98.2% 71.2% 98.2% Term Structure -0.6% -42.0% 33.0% -28.1% 4.2% VWIV 65.2% 53.6% 91.0% 91.0% 67.0% Skew 25d 8.3% -27.6% 44.0% -27.6% 4.3% Skew 10d 25.2% -37.8% 74.7% -36.1% 63.5% Call IV 25d 68.6% 38.1% 132.6% 120.3% 66.8% Put IV 25d 76.8% 48.8% 122.2% 92.8% 71.1% Bid-Ask Spread % 99.23 83.26 142.57 99.05 99.68 Gamma HHI 0.40 0.24 0.77 0.24 0.24 Net GEX 666 -4.1K 4.8K -239 1.8K Net DEX 12.8K -246.3K 171.1K 170.3K -180.7K Net VEX -1.4K -2.3K -484 -484 -2.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.03 0.00 16.67 1.76 0.00 Total Volume 433.091 0 756 477 0 Total OI 1,107.909 624 1,428 624 1,216
Daily Data (22 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 2014-12-01 $7.81 $15.00 93.5% 20.2% 94.8% 0.0% 91.0% -27.6% -28.1% -239 170.3K -484 1.76 99.05 173 304 336 288 2014-12-02 $9.01 $15.00 110.3% 24.9% 114.8% 0.0% 78.4% -14.2% -42.0% -1.1K 140.2K -1.1K 1.21 111.56 282 341 384 467 2014-12-03 $9.02 $15.00 72.1% 20.1% 115.3% 0.0% 60.2% 33.9% -21.8% -659 144.5K -1.0K 1.25 96.66 282 353 494 473 2014-12-04 $9.34 $15.00 74.4% 20.1% 117.0% 0.0% 0.0% 17.1% -7.2% -543 122.8K -1.2K 16.67 102.36 3 50 494 485 2014-12-05 $9.09 $15.00 65.7% 17.8% 115.3% 0.0% 53.6% -2.9% 5.8% -511 137.9K -1.0K 1.24 86.69 285 353 497 485 2014-12-08 $8.06 $15.00 92.6% 16.5% 120.0% 0.0% 54.4% 5.2% 20.9% -2.5K 163.7K -866 0.79 83.26 295 232 497 485 2014-12-09 $8.86 $15.00 88.8% 19.0% 127.8% 0.0% 58.2% 27.8% 15.9% -909 156.9K -1.1K 0.85 87.00 274 232 510 545 2014-12-10 $8.39 $15.00 93.8% 16.4% 127.9% 0.0% 58.1% -11.8% -11.5% -3.2K 145.0K -970 0.89 93.80 262 232 513 545 2014-12-11 $8.46 $15.00 73.3% 20.0% 128.4% 0.0% 65.9% -20.1% -20.0% -2.6K 147.8K -828 0.90 95.02 257 232 531 545 2014-12-12 $8.61 $15.00 72.0% 17.1% 129.3% 0.0% 53.7% -13.2% -18.8% -1.9K 153.4K -803 0.90 104.59 257 232 530 545 2014-12-15 $8.15 $15.00 71.5% 18.2% 129.1% 0.0% 63.9% 17.2% -12.2% -4.1K 171.1K -635 0.96 90.93 257 247 530 545 2014-12-16 $8.31 $15.00 71.3% 18.6% 130.0% 0.0% 65.6% 10.9% -7.8% -3.5K 164.3K -755 0.98 99.16 257 253 530 580 2014-12-17 $10.07 $15.00 62.3% 19.6% 150.7% 0.0% 72.3% 23.7% 8.4% 953 72.6K -1.4K 0.50 88.56 503 253 530 596 2014-12-18 $10.46 $12.50 66.8% 20.2% 150.7% 0.0% 69.8% 28.1% 5.1% 3.7K -56.1K -1.9K 0.51 89.02 494 253 782 596 2014-12-19 $10.83 $10.00 54.0% 22.0% 149.3% 0.0% 67.0% 14.5% 33.0% 4.8K -203.5K -2.2K 9.33 93.32 3 28 882 546 2014-12-22 $10.31 $0.00 67.8% 21.0% 148.5% 0.0% 0.0% 3.6% 6.0% 4.1K -175.5K -2.2K 0.47 142.57 358 167 857 338 2014-12-23 $10.74 $0.00 54.3% 19.5% 145.7% 0.0% 0.0% 4.6% 17.1% 4.8K -234.4K -2.3K 0.49 108.61 339 167 886 338 2014-12-24 $10.95 $0.00 48.2% 19.8% 143.2% 0.0% 0.0% 15.3% 25.6% 4.6K -246.3K -2.3K 0.88 103.35 189 167 895 358 2014-12-26 $10.73 $0.00 70.3% 20.4% 143.0% 0.0% 0.0% 23.6% -0.1% 4.5K -232.1K -2.3K 0.88 103.67 189 167 895 358 2014-12-29 $9.91 $0.00 71.7% 19.9% 138.3% 0.0% 0.0% -2.4% -7.5% 4.3K -146.6K -2.0K 1.22 101.68 137 167 895 358 2014-12-30 $10.36 $0.00 59.2% 20.1% 115.9% 0.0% 0.0% 44.0% 21.5% 2.9K -132.8K -2.0K 0.00 102.44 2 0 856 358 2014-12-31 $10.50 $0.00 64.6% 19.5% 105.5% 0.0% 0.0% 4.3% 4.2% 1.8K -180.7K -2.1K 0.00 99.68 0 0 858 358
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