REI Options History — May 2015

In May 2015, REI traded between $11.00 and $12.07. ATM implied volatility averaged 57.5%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 13.9% (HV 20d: 43.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2015-05-20: Highest Volume — 380 contracts
2015-05-05: Largest IV spike — 38.9% change
2015-05-05: Highest IV Rank — 25.1%
2015-05-01: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.53	$11.00	$12.07	$11.81	$11.56
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	57.5%	39.0%	75.0%	67.9%	56.6%
Expected Move	15.1%	11.2%	19.5%	19.5%	16.2%
HV 20d	43.6%	37.4%	48.3%	48.3%	41.1%
HV 60d	41.4%	39.2%	43.8%	43.2%	41.6%
IV Rank	14.3%	2.9%	25.1%	20.7%	13.8%
IV Percentile	34.5%	5.4%	77.0%	60.3%	32.7%
Term Structure	-2.2%	-16.5%	20.0%	-15.3%	-6.4%
VWIV	55.0%	48.9%	70.3%	53.8%	52.8%
Skew 25d	1.0%	-24.4%	15.9%	-6.0%	-0.6%
Skew 10d	18.5%	4.3%	27.9%	20.4%	18.8%
Call IV 25d	56.0%	48.7%	72.1%	66.6%	60.6%
Put IV 25d	57.0%	40.6%	66.4%	60.6%	60.0%
Bid-Ask Spread %	105.06	93.56	113.19	104.85	113.19
Gamma HHI	0.60	0.55	0.68	0.58	0.62
Net GEX	11.5K	7.8K	18.7K	8.2K	18.1K
Net DEX	-342.5K	-532.6K	-133.7K	-322.2K	-520.5K
Net VEX	-1.2K	-1.4K	-916	-1.3K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	1.83	1.83	0.30
Total Volume	206.25	0	380	133	376
Total OI	1,039.35	927	1,288	931	1,288

Daily Data (20 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
2015-05-01	$11.81	$10.00	67.9%	19.5%	48.3%	20.7%	53.8%	-6.0%	-15.3%	8.2K	-322.2K	-1.3K	1.83	104.85	47	86	763	168
2015-05-04	$11.70	$10.00	54.0%	15.2%	47.0%	12.1%	0.0%	8.0%	4.9%	8.2K	-309.1K	-1.2K	0.00	93.56	0	0	761	166
2015-05-05	$11.35	$10.00	75.0%	13.8%	46.3%	25.1%	55.4%	10.8%	2.8%	8.1K	-292.1K	-1.2K	1.76	107.42	49	86	763	168
2015-05-06	$11.23	$10.00	71.7%	15.0%	45.7%	23.0%	53.2%	6.8%	20.0%	8.8K	-258.2K	-1.1K	1.76	109.27	49	86	766	168
2015-05-07	$11.57	$10.00	59.5%	16.6%	47.0%	15.5%	59.5%	9.9%	-5.2%	7.8K	-293.3K	-1.2K	0.80	105.71	107	86	766	168
2015-05-08	$11.78	$10.00	55.5%	14.5%	47.2%	13.0%	0.0%	-1.5%	1.4%	10.0K	-361.4K	-1.4K	0.00	109.90	0	0	824	166
2015-05-11	$11.81	$10.00	73.8%	15.0%	47.1%	24.3%	0.0%	14.1%	-0.9%	9.9K	-341.5K	-1.3K	0.00	105.44	0	0	824	166
2015-05-12	$12.07	$10.00	70.5%	14.7%	47.6%	22.3%	56.1%	15.9%	-0.1%	10.6K	-381.4K	-1.3K	0.80	105.22	107	86	826	168
2015-05-13	$11.76	$10.00	51.3%	14.7%	45.5%	10.5%	55.8%	6.9%	-1.4%	10.1K	-348.0K	-1.3K	0.80	106.85	108	86	826	168
2015-05-14	$11.67	$10.00	54.5%	15.6%	41.4%	12.5%	56.3%	-0.1%	-1.6%	9.7K	-347.6K	-1.3K	0.80	109.04	108	86	822	168
2015-05-15	$11.87	$10.00	48.4%	13.9%	37.4%	8.7%	55.7%	12.1%	-2.7%	9.9K	-359.4K	-1.3K	0.80	101.32	108	86	822	168
2015-05-18	$11.60	$10.00	52.4%	15.0%	38.3%	11.2%	49.0%	-6.5%	-0.9%	10.2K	-295.9K	-1.2K	0.00	107.07	200	0	816	166
2015-05-19	$11.00	$10.00	49.6%	14.2%	41.5%	9.4%	0.0%	-16.5%	-12.4%	9.4K	-133.7K	-916	0.00	107.61	0	0	762	166
2015-05-20	$11.25	$10.00	39.0%	11.2%	42.4%	2.9%	51.0%	-9.0%	7.4%	7.8K	-213.4K	-1.1K	0.29	95.40	294	86	762	168
2015-05-21	$11.36	$10.00	47.4%	13.6%	42.5%	8.1%	54.4%	9.2%	-1.4%	16.5K	-325.4K	-1.2K	0.41	104.55	208	86	950	138
2015-05-22	$11.28	$10.00	52.5%	15.0%	42.5%	11.2%	55.2%	3.3%	-7.8%	14.0K	-348.8K	-1.2K	0.30	102.53	290	86	964	138
2015-05-26	$11.11	$10.00	60.2%	17.3%	42.8%	16.0%	70.3%	-24.4%	-16.5%	18.1K	-390.7K	-1.3K	0.30	101.34	290	86	1,150	138
2015-05-27	$11.64	$10.00	55.3%	15.8%	39.6%	12.9%	48.9%	-5.1%	-5.4%	18.7K	-532.6K	-1.4K	0.30	104.97	290	86	1,150	138
2015-05-28	$11.27	$10.00	54.0%	15.5%	40.5%	12.1%	53.1%	-7.6%	-2.2%	16.5K	-473.8K	-1.4K	0.30	105.89	290	86	1,150	138
2015-05-29	$11.56	$10.00	56.6%	16.2%	41.1%	13.8%	52.8%	-0.6%	-6.4%	18.1K	-520.5K	-1.4K	0.30	113.19	290	86	1,150	138