REI Options History — March 2015

In March 2015, REI traded between $9.05 and $10.65. ATM implied volatility averaged 62.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 21.0% (HV 20d: 41.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2015-03-05: Highest Volume — 322 contracts
  • 2015-03-03: Largest IV drop — 26.3% change
  • 2015-03-02: Highest IV Rank — 29.1%
  • 2015-03-02: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$9.05$10.65$9.51$10.65
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV62.9%51.1%81.6%81.6%54.1%
Expected Move18.2%14.7%23.4%23.4%15.5%
HV 20d41.9%32.1%64.2%64.2%36.5%
HV 60d66.6%56.3%79.6%79.2%56.4%
IV Rank17.6%10.4%29.1%29.1%12.2%
IV Percentile40.4%17.6%75.3%75.3%21.6%
Term Structure5.2%-14.2%21.8%-14.2%14.0%
VWIV61.0%46.4%80.3%80.3%50.4%
Skew 25d4.1%-20.0%30.0%6.5%8.6%
Skew 10d18.4%-6.5%72.8%11.3%12.4%
Call IV 25d61.2%46.1%78.6%78.6%62.8%
Put IV 25d65.3%45.5%90.7%85.0%71.3%
Bid-Ask Spread %107.8073.70120.36107.62114.66
Gamma HHI0.500.450.610.460.52
Net GEX9.4K3.5K18.5K6.7K13.4K
Net DEX-129.1K-394.8K-7.6K-66.2K-362.1K
Net VEX-1.4K-1.6K-1.2K-1.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.003.501.520.32
Total Volume119.2270322267281
Total OI1,274.0919401,4451,3161,222

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$9.51$10.0081.6%23.4%64.2%29.1%80.3%6.5%-14.2%6.7K-66.2K-1.4K1.52107.62106161988328
2015-03-03$9.17$10.0060.2%17.3%63.9%15.9%63.1%-9.3%-4.1%7.0K-18.6K-1.2K1.5273.70106161988328
2015-03-04$9.41$10.0065.0%18.6%51.0%18.9%73.2%-2.3%-7.0%7.0K-30.5K-1.2K1.52106.59106161988328
2015-03-05$9.25$10.0067.2%18.7%44.6%20.2%65.4%0.0%9.0%6.9K-54.1K-1.3K1.00103.90161161988328
2015-03-06$9.25$10.0058.2%18.6%44.6%14.7%65.3%-1.5%5.1%8.1K-48.1K-1.4K1.00105.031611611,043328
2015-03-09$9.40$10.0066.6%20.8%45.1%19.9%72.2%2.9%-0.8%8.2K-53.6K-1.3K0.00106.11201,043322
2015-03-10$9.26$10.0068.9%19.5%42.8%21.3%0.0%-20.0%7.2%7.7K-38.6K-1.3K0.00111.36001,045322
2015-03-11$9.34$10.0065.8%18.9%39.1%19.4%0.0%1.5%6.5%9.2K-48.5K-1.3K0.00113.67001,045322
2015-03-12$9.36$10.0069.0%19.8%38.6%21.3%0.0%5.7%4.7%9.6K-49.4K-1.3K0.00104.87001,045322
2015-03-13$9.20$10.0065.4%18.7%34.0%19.1%0.0%19.0%7.5%7.8K-38.9K-1.2K0.00107.75001,045322
2015-03-16$9.05$10.0057.9%16.6%32.1%14.5%0.0%25.1%21.8%3.5K-7.6K-1.2K0.00120.36061,045322
2015-03-17$9.48$10.0066.4%19.0%36.9%19.8%0.0%2.2%0.2%9.9K-52.8K-1.2K0.00116.59001,045316
2015-03-18$10.01$10.0071.1%20.4%40.5%22.7%0.0%-10.1%-7.5%15.5K-115.9K-1.2K0.00108.3711601,045316
2015-03-19$9.72$10.0070.5%20.2%41.4%22.3%0.0%5.5%-2.4%13.4K-134.6K-1.4K0.00108.91001,129316
2015-03-20$9.74$10.0065.2%18.7%37.0%19.0%0.0%11.3%2.3%5.7K-81.9K-1.4K3.50106.318281,129316
2015-03-23$9.85$10.0051.2%14.7%36.9%10.4%51.3%3.1%19.5%6.1K-179.7K-1.4K0.00106.63100792148
2015-03-24$10.16$10.0059.1%16.9%37.6%15.3%59.0%-4.6%9.9%6.6K-171.8K-1.3K0.50104.1821802148
2015-03-25$10.43$10.0058.1%16.7%38.3%14.7%46.4%17.5%15.3%7.4K-196.6K-1.4K0.00105.791420804149
2015-03-26$10.65$10.0054.4%15.6%38.1%12.4%53.9%0.4%5.1%11.3K-341.8K-1.6K0.29110.2023268924149
2015-03-27$10.41$10.0051.1%14.7%39.4%10.4%0.0%-2.2%10.2%16.8K-394.8K-1.6K0.00112.50101,074149
2015-03-30$10.45$10.0056.2%16.1%39.4%13.5%52.2%30.0%11.8%18.5K-354.6K-1.5K0.32116.58213681,073149
2015-03-31$10.65$10.0054.1%15.5%36.5%12.2%50.4%8.6%14.0%13.4K-362.1K-1.5K0.32114.66213681,073149