REI Options History — February 2015

In February 2015, REI traded between $9.05 and $10.66. ATM implied volatility averaged 67.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 1.8% (HV 20d: 69.3%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.27.

Notable Days

2015-02-06: Highest Volume — 413 contracts
2015-02-06: Largest IV spike — 31.5% change
2015-02-10: Highest IV Rank — 33.5%
2015-02-27: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.65	$9.05	$10.66	$9.59	$9.51
Max Pain	$9.21	$5.00	$10.00	$5.00	$10.00
ATM IV	67.5%	50.4%	88.7%	68.2%	78.3%
Expected Move	19.0%	14.4%	22.4%	19.6%	22.4%
HV 20d	69.3%	64.3%	77.1%	65.0%	64.3%
HV 60d	99.8%	84.4%	102.7%	99.0%	84.4%
IV Rank	20.4%	9.9%	33.5%	20.9%	27.0%
IV Percentile	50.6%	20.0%	75.9%	52.8%	74.5%
Term Structure	1.5%	-8.0%	18.6%	2.3%	-6.3%
VWIV	67.6%	43.7%	80.6%	71.2%	75.7%
Skew 25d	6.9%	-5.9%	23.5%	6.5%	3.2%
Skew 10d	10.0%	-9.2%	26.1%	22.5%	4.9%
Call IV 25d	62.9%	53.6%	77.1%	73.9%	77.1%
Put IV 25d	69.8%	58.1%	88.7%	80.4%	80.3%
Bid-Ask Spread %	100.30	55.00	112.20	112.00	108.76
Gamma HHI	0.47	0.44	0.62	0.47	0.45
Net GEX	7.0K	5.1K	8.4K	5.1K	6.3K
Net DEX	-110.9K	-181.9K	-11.9K	-93.7K	-57.9K
Net VEX	-1.5K	-1.8K	-1.3K	-1.5K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.22	7.50	1.05	1.52
Total Volume	279.263	0	413	0	267
Total OI	1,305.158	1,171	1,356	1,171	1,316

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
2015-02-02	$9.59	$5.00	68.2%	19.6%	65.0%	20.9%	0.0%	6.5%	2.3%	5.1K	-93.7K	-1.5K	0.00	112.00	0	0	864	307
2015-02-03	$10.66	$5.00	59.7%	17.1%	74.3%	15.6%	71.2%	17.3%	18.6%	8.4K	-176.2K	-1.5K	1.05	105.35	134	141	864	307
2015-02-04	$9.90	$5.00	63.0%	18.1%	77.1%	17.7%	80.6%	0.8%	-0.2%	5.8K	-145.5K	-1.6K	0.57	106.30	257	146	865	317
2015-02-05	$9.90	$10.00	58.5%	19.2%	74.9%	14.9%	66.8%	9.5%	4.8%	6.9K	-171.8K	-1.8K	0.55	104.24	266	146	997	317
2015-02-06	$9.92	$10.00	77.0%	19.1%	73.8%	26.2%	64.2%	6.4%	2.7%	7.2K	-174.3K	-1.8K	0.55	103.46	266	147	1,007	317
2015-02-09	$9.50	$10.00	74.4%	21.2%	75.0%	24.7%	67.5%	4.4%	-8.0%	6.5K	-126.7K	-1.6K	0.55	103.43	266	147	1,007	318
2015-02-10	$9.05	$10.00	88.7%	19.7%	69.9%	33.5%	65.1%	1.0%	-2.7%	5.6K	-52.6K	-1.4K	0.79	105.54	186	147	1,007	318
2015-02-11	$9.21	$10.00	67.4%	19.3%	69.0%	20.4%	66.8%	14.3%	3.8%	6.3K	-77.4K	-1.5K	0.82	55.00	180	147	1,031	318
2015-02-12	$9.70	$10.00	72.1%	20.7%	71.1%	23.2%	74.3%	23.5%	-1.7%	6.9K	-140.2K	-1.6K	0.79	104.43	185	147	1,034	318
2015-02-13	$9.99	$10.00	68.8%	19.7%	68.8%	21.2%	67.2%	9.0%	2.9%	7.9K	-168.6K	-1.7K	0.83	109.14	178	147	1,027	318
2015-02-17	$9.91	$10.00	71.4%	20.5%	68.1%	22.8%	71.4%	9.9%	0.2%	8.1K	-174.6K	-1.6K	0.83	109.45	178	147	1,026	318
2015-02-18	$9.62	$10.00	70.4%	20.2%	65.9%	22.2%	69.7%	5.1%	1.0%	8.2K	-181.9K	-1.6K	0.83	107.74	178	147	1,026	318
2015-02-19	$9.81	$10.00	68.6%	19.7%	65.0%	21.1%	74.6%	2.4%	-3.5%	8.1K	-106.3K	-1.4K	7.50	85.53	2	15	1,026	318
2015-02-20	$9.33	$10.00	50.4%	14.4%	67.9%	9.9%	43.7%	12.9%	7.9%	7.0K	-98.8K	-1.4K	0.22	91.61	9	2	1,028	328
2015-02-23	$9.26	$10.00	54.9%	15.7%	68.0%	12.7%	63.4%	5.3%	8.7%	6.3K	-11.9K	-1.3K	1.25	105.30	129	161	974	328
2015-02-24	$9.48	$10.00	56.3%	16.2%	67.0%	13.6%	64.6%	4.3%	0.9%	7.1K	-26.2K	-1.3K	1.13	112.20	143	161	974	328
2015-02-25	$9.60	$10.00	66.5%	19.1%	66.2%	19.8%	63.6%	0.9%	-0.8%	7.3K	-67.7K	-1.4K	1.52	69.41	106	161	988	328
2015-02-26	$9.46	$10.00	67.7%	19.4%	64.4%	20.5%	66.4%	-5.9%	-2.4%	7.1K	-54.0K	-1.4K	1.52	106.86	106	161	988	328
2015-02-27	$9.51	$10.00	78.3%	22.4%	64.3%	27.0%	75.7%	3.2%	-6.3%	6.3K	-57.9K	-1.4K	1.52	108.76	106	161	988	328