REI Options History — June 2015

In June 2015, REI traded between $11.19 and $13.17. ATM implied volatility averaged 47.9%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 0.6% (HV 20d: 47.3%). 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 14 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-06-01: Highest Volume — 390 contracts
  • 2015-06-19: Largest IV drop — 32.7% change
  • 2015-06-01: Highest IV Rank — 16.0%
  • 2015-06-01: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.16$11.19$13.17$11.39$11.19
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV47.9%40.4%60.3%60.3%48.0%
Expected Move13.6%11.6%17.3%17.3%13.8%
HV 20d47.3%35.9%56.4%40.0%49.1%
HV 60d44.1%40.2%47.3%41.6%46.7%
IV Rank8.4%3.8%16.0%16.0%8.4%
IV Percentile17.1%6.7%46.4%44.5%17.4%
Term Structure-0.5%-17.1%12.1%-10.2%0.2%
VWIV54.5%39.2%80.5%62.1%44.5%
Skew 25d3.6%-7.1%23.9%-3.7%-7.1%
Skew 10d13.4%-3.8%36.0%27.5%8.0%
Call IV 25d48.8%41.2%67.1%67.1%52.8%
Put IV 25d52.4%41.8%69.0%63.4%45.7%
Bid-Ask Spread %112.28101.48117.62109.39113.67
Gamma HHI0.750.520.950.630.53
Net GEX15.5K1.8K29.4K17.4K2.0K
Net DEX-428.3K-798.7K-34.5K-543.1K-34.5K
Net VEX-803-1.3K-514-1.3K-514
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.001.260.281.26
Total Volume251.545100390390104
Total OI8522611,2881,288266

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$11.39$10.0060.3%17.3%40.0%16.0%62.1%-3.7%-10.2%17.4K-543.1K-1.3K0.28109.39304861,150138
2015-06-02$12.10$10.0046.9%13.4%45.6%7.8%52.9%9.7%2.7%26.3K-562.1K-1.1K0.00110.7510001,099141
2015-06-03$12.34$10.0044.1%12.6%44.4%6.1%48.9%5.3%12.1%27.9K-627.0K-1.2K0.29105.49299861,055143
2015-06-04$12.19$0.0049.7%13.6%44.4%9.5%0.0%1.6%-4.9%23.2K-578.1K-1.2K0.29112.57299861,037143
2015-06-05$12.35$0.0048.8%13.8%43.5%8.9%80.5%23.9%-1.8%26.0K-644.6K-1.1K0.43101.482461061,037143
2015-06-08$12.38$10.0045.6%13.6%43.2%6.9%51.0%4.8%3.2%25.6K-571.7K-9670.43112.86246106983163
2015-06-09$12.63$10.0056.8%13.5%43.6%13.8%52.5%3.8%2.0%24.4K-660.8K-9760.40113.07266106983163
2015-06-10$12.80$10.0046.9%13.4%43.3%7.8%39.2%-1.5%1.0%21.6K-644.5K-8590.52112.31204106890163
2015-06-11$12.78$10.0046.3%13.3%41.9%7.4%55.5%7.3%3.4%29.4K-639.0K-8480.52116.06204106898163
2015-06-12$12.86$10.0042.7%12.2%41.7%5.2%56.6%5.3%3.5%19.5K-657.6K-8370.52116.40204106898163
2015-06-15$12.75$10.0045.4%13.0%41.7%6.8%55.6%5.0%0.5%24.5K-633.3K-7680.52115.36204106898163
2015-06-16$13.17$10.0043.5%12.5%41.7%5.7%0.0%7.8%9.9%19.7K-798.7K-6690.52115.06203106898163
2015-06-17$13.04$10.0048.5%13.9%35.9%8.8%60.2%7.5%-2.7%23.9K-764.1K-6620.52112.26203106898163
2015-06-18$11.62$10.0060.1%17.2%56.3%15.9%52.5%-2.4%-17.1%12.7K-435.6K-6120.59103.92192114898163
2015-06-19$11.71$10.0040.4%11.6%56.3%3.8%51.0%5.8%0.4%2.5K-261.7K-5690.59117.62192114907183
2015-06-22$11.90$10.0042.8%12.3%56.4%5.3%53.7%3.8%4.7%2.2K-59.9K-5961.26114.98465818180
2015-06-23$12.03$10.0046.1%13.2%56.1%7.3%57.4%1.6%-2.8%2.5K-68.8K-6151.26115.67465818680
2015-06-24$12.03$10.0047.6%13.7%53.8%8.2%60.6%2.7%0.9%2.3K-84.1K-6191.26114.29465818680
2015-06-25$11.80$10.0047.2%13.5%52.9%7.9%61.0%1.7%-4.1%2.3K-70.1K-6041.26110.84465818680
2015-06-26$11.32$10.0044.0%12.6%54.3%6.0%41.6%-3.5%0.0%2.5K-44.2K-5451.26110.32465818680
2015-06-29$11.23$10.0052.2%15.0%54.1%11.1%53.2%-0.4%-12.3%1.8K-39.0K-5351.26115.75465818680
2015-06-30$11.19$10.0048.0%13.8%49.1%8.4%44.5%-7.1%0.2%2.0K-34.5K-5141.26113.67465818680