REI Options History — October 2015

In October 2015, REI traded between $9.74 and $11.15. ATM implied volatility averaged 60.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 14.8% (HV 20d: 46.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2015-10-01: Highest Volume — 143 contracts
2015-10-06: Largest IV spike — 55.5% change
2015-10-13: Highest IV Rank — 43.1%
2015-10-06: Largest Expected Move — 19.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.52	$9.74	$11.15	$9.91	$10.28
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	60.8%	37.2%	85.7%	61.4%	67.3%
Expected Move	17.6%	12.0%	19.7%	17.6%	19.3%
HV 20d	46.0%	32.7%	60.2%	32.7%	60.2%
HV 60d	64.3%	61.7%	68.8%	67.0%	62.2%
IV Rank	21.9%	2.5%	43.1%	23.0%	27.0%
IV Percentile	50.8%	2.0%	93.3%	53.6%	73.8%
Term Structure	-1.5%	-17.0%	19.4%	-3.7%	-6.8%
VWIV	57.5%	51.8%	63.2%	63.2%	51.8%
Skew 25d	7.5%	-20.0%	30.8%	6.7%	12.1%
Skew 10d	18.5%	-30.2%	107.6%	10.8%	21.9%
Call IV 25d	58.7%	44.4%	73.3%	58.6%	64.0%
Put IV 25d	66.3%	46.9%	78.0%	65.3%	76.2%
Bid-Ask Spread %	111.27	90.86	139.68	112.59	109.56
Gamma HHI	0.40	0.33	0.55	0.36	0.36
Net GEX	482	-9	1.1K	589	-9
Net DEX	-9.7K	-44.3K	20.1K	10.0K	12.2K
Net VEX	-285	-351	-236	-329	-246
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	1.24	0.70	1.24
Total Volume	113.364	10	143	143	83
Total OI	237.727	209	261	251	212

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
2015-10-01	$9.91	$10.00	61.4%	17.6%	32.7%	23.0%	63.2%	6.7%	-3.7%	589	10.0K	-329	0.70	112.59	84	59	139	112
2015-10-02	$9.95	$10.00	50.8%	14.6%	32.7%	14.0%	51.8%	-5.8%	1.9%	777	-7.0K	-351	0.70	118.89	84	59	149	112
2015-10-05	$10.78	$0.00	37.2%	18.3%	43.6%	2.5%	0.0%	30.8%	-4.5%	494	-29.2K	-282	0.00	103.26	10	0	149	112
2015-10-06	$11.11	$0.00	57.9%	19.7%	43.8%	20.0%	0.0%	12.8%	-10.7%	813	-44.3K	-343	0.70	101.67	84	59	149	112
2015-10-07	$10.97	$0.00	52.9%	16.7%	41.2%	15.8%	0.0%	-2.0%	3.5%	754	-40.0K	-328	0.70	107.52	84	59	149	112
2015-10-08	$10.91	$0.00	66.3%	16.8%	40.6%	26.5%	0.0%	4.2%	-4.2%	916	-41.9K	-338	0.70	106.04	84	59	149	112
2015-10-09	$10.86	$0.00	62.2%	17.1%	40.2%	23.0%	0.0%	2.7%	0.0%	832	-43.9K	-339	0.70	110.56	84	59	149	112
2015-10-12	$10.46	$0.00	66.7%	18.9%	42.8%	26.9%	0.0%	0.9%	-6.0%	1.1K	-20.0K	-289	0.70	106.55	84	59	149	112
2015-10-13	$10.29	$0.00	85.7%	18.3%	43.3%	43.1%	0.0%	13.2%	-2.7%	1.1K	-15.8K	-287	0.70	111.01	84	59	149	112
2015-10-14	$10.39	$0.00	62.4%	17.9%	43.1%	23.2%	0.0%	10.2%	-1.5%	1.1K	-17.8K	-291	0.70	113.24	84	59	149	112
2015-10-15	$10.80	$0.00	62.7%	18.0%	45.0%	23.5%	0.0%	14.2%	2.6%	-3	-31.0K	-262	0.70	111.21	84	59	149	112
2015-10-16	$10.63	$0.00	60.7%	17.4%	44.9%	21.7%	0.0%	10.5%	-1.2%	244	-32.0K	-283	0.70	113.84	84	59	149	112
2015-10-19	$10.49	$0.00	41.9%	12.0%	44.0%	5.7%	0.0%	-20.0%	19.4%	247	9.6K	-275	0.72	139.68	64	46	110	99
2015-10-20	$10.58	$0.00	61.8%	17.7%	43.2%	22.7%	0.0%	10.9%	-3.1%	253	4.5K	-263	0.72	115.13	64	46	110	99
2015-10-21	$10.86	$0.00	64.2%	18.4%	43.9%	24.7%	0.0%	30.4%	-1.6%	374	7.1K	-265	0.72	90.86	64	46	110	99
2015-10-22	$11.15	$0.00	68.3%	19.6%	42.8%	28.2%	0.0%	21.2%	-17.0%	487	-2.0K	-302	1.24	108.44	37	46	110	99
2015-10-23	$10.25	$0.00	56.1%	16.1%	53.8%	17.8%	0.0%	-13.1%	-1.6%	169	7.6K	-241	1.24	111.91	37	46	113	99
2015-10-26	$10.05	$0.00	65.7%	18.8%	54.2%	26.0%	0.0%	7.8%	-0.7%	153	15.0K	-241	1.24	113.79	37	46	113	99
2015-10-27	$9.74	$0.00	63.8%	18.3%	55.5%	24.4%	0.0%	5.3%	-4.2%	24	20.1K	-236	1.24	116.69	37	46	113	99
2015-10-28	$10.52	$0.00	55.8%	16.0%	59.8%	17.5%	0.0%	2.2%	14.1%	44	14.0K	-239	1.24	112.37	37	46	113	99
2015-10-29	$10.39	$0.00	65.0%	18.6%	60.0%	24.9%	0.0%	10.3%	-4.8%	120	11.3K	-243	1.24	113.06	37	46	113	99
2015-10-30	$10.28	$0.00	67.3%	19.3%	60.2%	27.0%	0.0%	12.1%	-6.8%	-9	12.2K	-246	1.24	109.56	37	46	113	99