REI Options History — April 2015

In April 2015, REI traded between $10.80 and $12.49. ATM implied volatility averaged 56.6%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 15.7% (HV 20d: 40.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-04-14: Highest Volume — 334 contracts
  • 2015-04-29: Largest IV spike — 27.7% change
  • 2015-04-22: Highest IV Rank — 18.0%
  • 2015-04-02: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.60$10.80$12.49$10.93$12.18
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV56.6%47.9%63.6%58.5%54.5%
Expected Move16.4%13.7%18.5%16.8%15.6%
HV 20d40.9%36.1%47.0%36.5%47.0%
HV 60d51.0%45.5%55.9%55.9%45.5%
IV Rank13.7%8.4%18.0%14.9%12.4%
IV Percentile29.2%12.4%45.6%33.3%23.9%
Term Structure-2.6%-14.2%9.2%8.9%-5.7%
VWIV53.7%41.0%76.0%53.9%65.6%
Skew 25d2.0%-13.2%16.0%16.0%-1.5%
Skew 10d16.7%-16.0%31.6%31.6%2.7%
Call IV 25d58.0%47.1%65.0%47.1%58.4%
Put IV 25d60.0%47.6%69.3%63.1%56.9%
Bid-Ask Spread %108.7396.66113.31110.59109.43
Gamma HHI0.530.480.620.530.61
Net GEX10.9K7.1K17.3K16.2K8.5K
Net DEX-482.6K-763.6K-284.5K-468.4K-386.0K
Net VEX-1.4K-1.6K-1.3K-1.5K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.291.830.321.83
Total Volume203.5240334281133
Total OI1,100.199241,2551,222931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$10.93$10.0058.5%16.8%36.5%14.9%53.9%16.0%8.9%16.2K-468.4K-1.5K0.32110.59213681,073149
2015-04-02$10.80$0.0059.6%18.5%36.1%15.6%0.0%3.8%-2.4%17.3K-458.0K-1.5K0.32112.17213681,073149
2015-04-06$11.20$0.0063.3%17.9%37.4%17.9%0.0%4.4%1.9%14.3K-554.6K-1.5K0.34107.63213721,073149
2015-04-07$11.64$0.0048.1%17.1%38.7%8.5%42.8%7.8%-7.5%12.6K-594.0K-1.6K0.3396.66219721,073149
2015-04-08$11.37$10.0058.2%16.7%39.6%14.7%0.0%-0.7%-5.3%14.0K-567.8K-1.6K0.00111.92001,079149
2015-04-09$11.37$10.0054.1%15.5%39.7%12.2%41.0%12.6%-0.4%14.1K-592.2K-1.5K0.3297.97228731,079149
2015-04-10$11.25$10.0058.3%16.7%40.3%14.8%50.5%8.7%9.2%13.5K-584.2K-1.6K0.33106.28230751,091160
2015-04-13$11.32$10.0055.7%16.0%39.1%13.2%49.1%0.5%-9.7%14.1K-576.1K-1.5K0.33112.16230751,093162
2015-04-14$11.31$10.0056.1%16.1%38.1%13.4%49.2%-1.0%-14.2%9.4K-622.9K-1.4K0.29109.55259751,093162
2015-04-15$11.88$10.0057.9%16.6%38.4%14.5%48.8%-2.3%-6.3%13.5K-643.2K-1.4K0.35107.09213751,046162
2015-04-16$12.49$10.0058.6%16.8%37.8%15.0%59.6%4.1%-8.8%11.0K-763.6K-1.4K0.36105.84211751,046162
2015-04-17$11.84$10.0062.0%17.8%42.0%17.0%45.7%-2.0%-5.4%7.5K-669.6K-1.4K1.42108.3453751,045162
2015-04-20$11.81$10.0057.8%16.6%42.1%14.5%46.0%2.3%-1.5%7.6K-322.4K-1.4K1.45110.975174768161
2015-04-21$11.47$10.0055.4%15.9%44.3%13.0%50.0%-1.7%-5.1%7.2K-319.0K-1.4K1.45110.825174768156
2015-04-22$11.46$10.0063.6%18.2%43.5%18.0%48.3%-13.2%-6.7%7.1K-291.3K-1.4K1.45107.965174768156
2015-04-23$11.44$10.0049.0%14.1%42.9%9.1%76.0%-0.6%-2.1%7.9K-307.3K-1.3K1.69112.075186768156
2015-04-24$11.51$10.0057.9%16.6%42.5%14.5%46.9%3.6%6.0%7.2K-284.5K-1.4K1.69113.315186768168
2015-04-27$11.57$10.0051.1%14.6%41.3%10.3%66.3%2.2%-0.7%7.6K-321.4K-1.3K1.69112.555186768168
2015-04-28$12.33$10.0047.9%13.7%46.2%8.4%0.0%-8.3%7.4%9.2K-379.4K-1.3K1.69112.615186768168
2015-04-29$12.49$10.0061.1%17.5%46.0%16.5%73.5%7.6%-5.3%8.6K-428.0K-1.3K1.83107.404786768168
2015-04-30$12.18$10.0054.5%15.6%47.0%12.4%65.6%-1.5%-5.7%8.5K-386.0K-1.3K1.83109.434786763168