REI Options History — July 2015

In July 2015, REI traded between $8.19 and $11.15. ATM implied volatility averaged 65.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 9.8% (HV 20d: 56.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.23.

Notable Days

2015-07-01: Highest Volume — 314 contracts
2015-07-06: Largest IV spike — 51.3% change
2015-07-15: Highest IV Rank — 72.5%
2015-07-15: Largest Expected Move — 43.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.85	$8.19	$11.15	$11.00	$8.19
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	65.8%	42.6%	152.3%	42.6%	55.4%
Expected Move	18.1%	12.2%	43.7%	12.2%	15.9%
HV 20d	56.0%	48.5%	68.3%	48.5%	68.3%
HV 60d	49.5%	45.8%	55.1%	46.1%	55.1%
IV Rank	19.4%	5.1%	72.5%	5.1%	13.0%
IV Percentile	45.2%	9.1%	98.8%	9.1%	35.3%
Term Structure	1.7%	-22.4%	63.8%	6.1%	-10.7%
VWIV	58.3%	40.2%	121.6%	42.6%	72.5%
Skew 25d	3.8%	-24.0%	25.4%	-10.1%	-13.3%
Skew 10d	18.6%	-14.5%	51.2%	-14.5%	19.6%
Call IV 25d	58.9%	44.0%	92.6%	54.3%	68.0%
Put IV 25d	62.7%	41.7%	86.4%	44.3%	54.7%
Bid-Ask Spread %	118.36	107.40	152.50	113.89	111.87
Gamma HHI	0.53	0.43	0.76	0.55	0.45
Net GEX	2.5K	-85	5.8K	2.1K	-85
Net DEX	-30.6K	-165.0K	46.8K	-9.7K	46.8K
Net VEX	-406	-728	-85	-434	-85
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.17	0.28	0.28	0.17
Total Volume	303	290	314	314	300
Total OI	357	266	476	266	346

Daily Data (22 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
2015-07-01	$11.00	$10.00	42.6%	12.2%	48.5%	5.1%	42.6%	-10.1%	6.1%	2.1K	-9.7K	-434	0.28	113.89	246	68	186	80
2015-07-02	$10.80	$10.00	45.1%	12.9%	48.6%	6.7%	40.2%	-16.6%	6.2%	5.8K	-157.5K	-728	0.28	113.66	246	68	386	90
2015-07-06	$10.34	$10.00	68.3%	16.8%	49.8%	20.9%	58.8%	12.3%	-3.1%	2.8K	-47.4K	-547	0.28	107.40	246	68	275	90
2015-07-07	$10.65	$10.00	51.4%	16.2%	51.5%	10.6%	55.4%	25.4%	-5.9%	3.5K	-50.9K	-522	0.28	108.06	246	68	275	90
2015-07-08	$10.35	$10.00	57.8%	15.6%	51.0%	14.5%	54.5%	8.6%	-4.8%	2.8K	-46.5K	-542	0.28	110.96	246	68	275	90
2015-07-09	$10.47	$10.00	66.5%	15.3%	50.8%	19.8%	53.9%	8.8%	-5.1%	2.9K	-47.1K	-499	0.28	114.46	246	68	275	90
2015-07-10	$10.81	$10.00	65.8%	13.8%	52.9%	19.4%	41.5%	21.3%	-4.7%	3.8K	-51.6K	-470	0.28	110.40	246	68	275	90
2015-07-13	$10.58	$10.00	86.0%	16.1%	52.8%	31.8%	56.5%	10.4%	-9.4%	3.1K	-47.7K	-486	0.28	114.39	246	68	275	90
2015-07-14	$11.15	$10.00	115.5%	36.8%	57.3%	49.9%	0.0%	-24.0%	46.5%	1.2K	-165.0K	-533	0.28	148.73	246	68	275	90
2015-07-15	$10.13	$10.00	152.3%	43.7%	63.4%	72.5%	121.6%	11.8%	14.6%	1.5K	-111.2K	-579	0.26	151.12	246	64	275	90
2015-07-16	$10.06	$10.00	103.2%	29.6%	63.5%	42.4%	88.4%	-11.6%	63.8%	2.4K	-52.5K	-568	0.26	152.50	246	64	275	91
2015-07-17	$9.77	$10.00	58.0%	16.6%	51.2%	14.6%	58.1%	4.4%	-10.1%	2.9K	64	-388	0.26	113.69	246	64	275	91
2015-07-20	$9.28	$10.00	59.8%	17.1%	53.0%	15.7%	65.5%	1.8%	-16.8%	2.2K	-7.4K	-331	0.18	110.34	246	44	275	71
2015-07-21	$9.62	$10.00	47.9%	13.7%	54.8%	8.4%	47.4%	6.7%	2.7%	3.0K	-10.5K	-363	0.18	118.22	246	44	275	71
2015-07-22	$9.24	$10.00	47.0%	13.5%	55.2%	7.8%	47.2%	8.1%	5.0%	2.6K	-130	-328	0.18	114.80	246	44	275	71
2015-07-23	$9.26	$10.00	50.2%	14.4%	55.2%	9.8%	47.6%	9.2%	4.6%	2.4K	1.8K	-326	0.18	116.17	246	44	275	71
2015-07-24	$8.78	$10.00	55.6%	15.9%	57.0%	13.1%	56.1%	2.8%	-10.9%	1.5K	24.2K	-213	0.18	114.26	246	44	275	71
2015-07-27	$8.72	$10.00	64.9%	18.6%	56.2%	18.9%	57.9%	5.8%	-22.4%	1.4K	32.4K	-173	0.18	115.77	246	44	275	71
2015-07-28	$9.31	$10.00	48.8%	14.0%	62.7%	8.9%	45.8%	12.6%	2.3%	2.4K	10.1K	-261	0.18	116.44	246	44	275	71
2015-07-29	$9.29	$10.00	52.4%	15.0%	62.8%	11.2%	55.4%	4.6%	-6.9%	2.5K	3.7K	-281	0.18	115.24	246	44	275	71
2015-07-30	$8.82	$10.00	52.3%	15.0%	64.5%	11.1%	56.3%	5.3%	-4.0%	2.3K	12.5K	-277	0.18	111.62	246	44	275	71
2015-07-31	$8.19	$10.00	55.4%	15.9%	68.3%	13.0%	72.5%	-13.3%	-10.7%	-85	46.8K	-85	0.17	111.87	256	44	275	71