REI Options History — August 2015

In August 2015, REI traded between $7.94 and $10.26. ATM implied volatility averaged 59.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 16.9% (HV 20d: 76.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.28.

Notable Days

2015-08-12: Highest Volume — 301 contracts
2015-08-31: Largest IV spike — 48.8% change
2015-08-07: Highest IV Rank — 30.7%
2015-08-14: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.86	$7.94	$10.26	$7.94	$10.26
Max Pain	$12.14	$10.00	$12.50	$10.00	$12.50
ATM IV	59.4%	45.3%	71.6%	62.8%	68.5%
Expected Move	16.3%	11.3%	20.5%	18.0%	19.7%
HV 20d	76.3%	67.7%	85.8%	67.7%	85.8%
HV 60d	61.7%	54.9%	70.5%	54.9%	70.5%
IV Rank	19.9%	9.1%	30.7%	17.5%	28.2%
IV Percentile	47.3%	12.3%	77.0%	54.4%	72.2%
Term Structure	-4.1%	-19.6%	10.0%	-1.6%	3.7%
VWIV	58.4%	43.9%	77.3%	72.9%	74.3%
Skew 25d	7.6%	-31.4%	42.7%	-10.4%	19.7%
Skew 10d	21.5%	-1.8%	33.6%	30.9%	21.1%
Call IV 25d	59.5%	42.8%	77.3%	77.3%	64.1%
Put IV 25d	67.1%	37.4%	98.4%	66.9%	83.8%
Bid-Ask Spread %	112.09	89.86	119.85	115.26	110.62
Gamma HHI	0.47	0.28	0.66	0.42	0.44
Net GEX	803	-511	3.4K	43	-511
Net DEX	36.3K	5.2K	57.0K	44.2K	54.1K
Net VEX	-174	-296	-76	-92	-296
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.13	1.11	0.13	0.38
Total Volume	202.19	0	301	10	178
Total OI	344.667	284	373	354	342

Daily Data (21 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
2015-08-03	$7.94	$10.00	62.8%	18.0%	67.7%	17.5%	0.0%	-10.4%	-1.6%	43	44.2K	-92	0.00	115.26	0	10	285	69
2015-08-04	$8.34	$10.00	57.1%	16.4%	69.7%	14.1%	72.9%	1.9%	-1.9%	-27	44.6K	-76	0.13	113.05	256	34	285	65
2015-08-05	$8.26	$10.00	58.3%	16.7%	69.4%	14.8%	77.3%	-6.2%	-12.1%	3	42.1K	-91	0.13	113.89	256	34	285	65
2015-08-06	$8.68	$12.50	69.3%	15.3%	72.3%	28.8%	48.3%	23.5%	-1.1%	923	36.7K	-131	0.13	113.28	256	34	285	65
2015-08-07	$8.36	$12.50	71.6%	16.8%	71.3%	30.7%	48.6%	14.4%	-14.0%	138	38.4K	-109	0.14	113.28	256	35	285	65
2015-08-10	$8.60	$12.50	61.4%	17.0%	72.6%	22.3%	57.5%	11.1%	0.4%	173	42.4K	-139	0.14	89.86	257	35	285	76
2015-08-11	$9.21	$12.50	60.0%	11.3%	74.7%	21.2%	60.3%	12.9%	10.0%	2.2K	15.9K	-206	0.00	115.63	0	20	286	74
2015-08-12	$9.86	$12.50	45.3%	13.0%	72.2%	9.1%	43.9%	30.1%	3.4%	2.9K	5.2K	-249	0.17	114.57	257	44	286	86
2015-08-13	$9.44	$12.50	49.6%	14.2%	73.7%	12.6%	48.7%	42.7%	2.1%	3.4K	15.6K	-275	0.17	108.56	257	44	286	86
2015-08-14	$9.01	$12.50	71.3%	20.5%	74.8%	30.5%	60.1%	-1.7%	-17.5%	2.2K	18.5K	-251	0.17	117.60	257	44	286	86
2015-08-17	$9.46	$12.50	57.7%	16.5%	74.8%	19.3%	61.7%	0.1%	-10.2%	2.8K	10.8K	-246	0.17	107.66	257	44	286	86
2015-08-18	$9.62	$12.50	51.4%	14.7%	73.9%	14.1%	55.4%	4.0%	-5.7%	3.1K	8.3K	-240	0.17	112.30	257	44	286	86
2015-08-19	$8.79	$12.50	67.6%	19.4%	79.5%	27.5%	0.0%	-31.4%	-10.3%	566	30.8K	-231	0.00	94.87	0	0	286	84
2015-08-20	$9.12	$12.50	53.9%	15.5%	80.7%	16.2%	61.0%	-4.0%	-16.2%	418	40.7K	-203	0.14	108.72	257	36	286	86
2015-08-21	$8.76	$12.50	45.9%	13.2%	79.7%	9.6%	46.8%	17.3%	6.0%	-220	50.6K	-153	0.14	114.81	257	36	286	87
2015-08-24	$8.08	$12.50	60.7%	17.4%	84.7%	21.8%	58.8%	5.6%	3.8%	-339	54.7K	-94	0.47	115.59	57	27	197	87
2015-08-25	$8.05	$12.50	59.9%	17.2%	80.6%	21.1%	64.2%	2.7%	-3.7%	-342	57.0K	-85	0.47	119.48	57	27	197	88
2015-08-26	$8.36	$12.50	61.0%	17.5%	82.2%	22.0%	64.1%	1.4%	-8.5%	-324	54.6K	-120	0.41	118.50	66	27	197	88
2015-08-27	$8.65	$12.50	66.8%	19.2%	81.4%	26.8%	57.3%	5.3%	-19.6%	-218	48.9K	-162	0.42	119.85	66	28	207	88
2015-08-28	$9.25	$12.50	46.1%	13.2%	80.0%	9.7%	47.8%	20.5%	6.7%	-22	48.0K	-195	1.11	116.42	66	73	207	90
2015-08-31	$10.26	$12.50	68.5%	19.7%	85.8%	28.2%	74.3%	19.7%	3.7%	-511	54.1K	-296	0.38	110.62	129	49	207	135