REI Options History — September 2015

In September 2015, REI traded between $9.50 and $10.49. ATM implied volatility averaged 64.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 3.2% (HV 20d: 67.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2015-09-11: Highest Volume — 294 contracts
2015-09-03: Largest IV drop — 18.2% change
2015-09-02: Highest IV Rank — 30.0%
2015-09-02: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.94	$9.50	$10.49	$10.02	$9.94
Max Pain	$10.24	$10.00	$12.50	$12.50	$10.00
ATM IV	64.0%	56.1%	70.8%	66.7%	63.1%
Expected Move	18.4%	16.1%	20.3%	19.1%	18.1%
HV 20d	67.2%	31.6%	85.7%	85.6%	35.2%
HV 60d	68.7%	66.8%	71.5%	70.7%	67.2%
IV Rank	24.5%	18.0%	30.0%	26.7%	24.5%
IV Percentile	60.0%	36.5%	78.2%	67.1%	57.5%
Term Structure	-4.2%	-11.8%	2.2%	-2.2%	-2.1%
VWIV	64.7%	56.2%	75.0%	68.5%	63.2%
Skew 25d	9.2%	1.2%	49.8%	11.6%	10.9%
Skew 10d	20.2%	5.7%	87.7%	18.1%	16.2%
Call IV 25d	59.4%	46.2%	72.4%	70.3%	69.4%
Put IV 25d	68.6%	50.5%	117.3%	81.9%	80.3%
Bid-Ask Spread %	108.86	78.19	116.75	116.67	116.75
Gamma HHI	0.41	0.33	0.52	0.44	0.37
Net GEX	98	-1.2K	1.6K	-250	459
Net DEX	23.4K	-27.8K	50.7K	46.2K	12.4K
Net VEX	-395	-469	-317	-428	-327
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.28	0.80	0.38	0.80
Total Volume	183.952	0	294	178	133
Total OI	395.048	241	551	428	251

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
2015-09-01	$10.02	$12.50	66.7%	19.1%	85.6%	26.7%	68.5%	11.6%	-2.2%	-250	46.2K	-428	0.38	116.67	129	49	270	158
2015-09-02	$10.37	$12.50	70.8%	20.3%	85.7%	30.0%	75.0%	49.8%	-7.5%	-6	38.4K	-421	0.38	111.60	129	49	270	158
2015-09-03	$10.29	$10.00	57.9%	17.5%	84.7%	19.4%	61.1%	6.3%	-4.3%	-825	35.5K	-414	0.28	107.21	175	49	270	158
2015-09-04	$10.21	$10.00	62.2%	19.8%	83.2%	22.9%	69.2%	14.1%	-8.0%	-1.2K	40.4K	-429	0.33	104.68	175	58	280	158
2015-09-08	$10.49	$10.00	67.0%	18.4%	83.2%	26.9%	0.0%	11.4%	-1.6%	-564	37.3K	-452	0.00	105.72	0	13	280	178
2015-09-09	$10.07	$10.00	61.9%	17.7%	82.0%	22.7%	63.0%	2.1%	-2.3%	-1.2K	43.5K	-469	0.41	108.75	175	71	280	191
2015-09-10	$9.91	$10.00	67.2%	19.3%	78.7%	27.1%	68.4%	12.6%	-11.8%	-794	50.7K	-444	0.35	107.55	203	71	280	191
2015-09-11	$9.78	$10.00	66.1%	19.0%	77.2%	26.2%	66.1%	2.9%	-4.7%	550	35.1K	-450	0.32	113.11	223	71	330	191
2015-09-14	$9.70	$10.00	65.1%	18.7%	75.2%	25.4%	65.1%	4.1%	-6.7%	241	38.4K	-421	0.35	78.19	203	71	330	191
2015-09-15	$9.80	$10.00	64.8%	18.6%	73.4%	25.1%	0.0%	4.8%	-3.4%	1.3K	26.7K	-430	0.00	111.04	0	0	360	191
2015-09-16	$9.96	$10.00	66.0%	18.9%	73.3%	26.1%	66.7%	10.1%	-4.5%	1.6K	7.9K	-429	0.33	107.38	218	71	360	191
2015-09-17	$10.03	$10.00	64.0%	18.4%	64.8%	24.5%	64.1%	8.7%	-1.9%	349	23.5K	-405	0.33	112.89	218	71	335	191
2015-09-18	$10.26	$10.00	59.8%	17.2%	64.1%	21.0%	59.7%	9.3%	2.2%	308	-27.8K	-361	0.33	112.02	218	71	335	191
2015-09-21	$9.98	$10.00	65.8%	18.9%	63.1%	26.0%	65.8%	6.7%	-3.9%	360	5.5K	-371	0.71	107.66	83	59	129	112
2015-09-22	$9.78	$10.00	56.1%	16.1%	55.1%	18.0%	56.2%	3.9%	1.1%	231	9.6K	-361	0.71	107.99	83	59	129	112
2015-09-23	$9.86	$10.00	59.7%	17.1%	54.9%	20.9%	59.7%	4.3%	-1.6%	206	11.9K	-343	0.80	108.22	74	59	129	112
2015-09-24	$9.60	$10.00	61.5%	17.6%	55.3%	22.4%	61.0%	5.1%	-9.0%	362	10.8K	-344	0.80	109.90	74	59	139	112
2015-09-25	$9.66	$10.00	69.5%	19.9%	54.4%	29.0%	69.5%	5.8%	-9.7%	324	12.3K	-348	0.80	109.87	74	59	139	112
2015-09-28	$9.56	$10.00	63.9%	18.3%	49.5%	24.4%	63.4%	1.2%	-0.6%	356	14.6K	-334	0.80	116.36	74	59	139	112
2015-09-29	$9.50	$10.00	64.1%	18.4%	31.6%	25.3%	63.8%	7.5%	-6.8%	300	19.5K	-317	0.80	112.46	74	59	139	112
2015-09-30	$9.94	$10.00	63.1%	18.1%	35.2%	24.5%	63.2%	10.9%	-2.1%	459	12.4K	-327	0.80	116.75	74	59	139	112