REI Options History — December 2015

In December 2015, REI traded between $6.74 and $10.08. ATM implied volatility averaged 60.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 0.6% (HV 20d: 60.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2015-12-18: Highest Volume — 209 contracts
2015-12-31: Largest IV drop — 25.2% change
2015-12-07: Highest IV Rank — 41.1%
2015-12-30: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.95	$6.74	$10.08	$10.08	$7.12
Max Pain	$10.50	$10.00	$12.50	$12.50	$10.00
ATM IV	60.6%	50.3%	84.6%	63.5%	53.5%
Expected Move	16.4%	13.9%	20.5%	18.2%	15.3%
HV 20d	60.0%	52.4%	67.9%	56.9%	67.9%
HV 60d	57.5%	51.4%	62.4%	52.2%	60.5%
IV Rank	20.3%	11.3%	41.1%	22.9%	14.1%
IV Percentile	48.0%	15.5%	95.6%	57.9%	23.8%
Term Structure	4.1%	-9.5%	22.6%	-8.3%	3.6%
VWIV	64.8%	54.1%	88.4%	54.1%	72.3%
Skew 25d	10.4%	-4.9%	29.4%	10.4%	13.3%
Skew 10d	20.5%	-4.3%	42.7%	18.5%	12.5%
Call IV 25d	57.9%	35.8%	71.1%	66.7%	59.1%
Put IV 25d	68.2%	52.7%	91.5%	77.1%	72.4%
Bid-Ask Spread %	96.29	62.89	119.23	118.34	64.16
Gamma HHI	0.61	0.36	0.90	0.47	0.52
Net GEX	-201	-910	383	-578	248
Net DEX	27.0K	-3.4K	54.8K	18.6K	-935
Net VEX	-74	-144	-40	-144	-58
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.14	1.25	1.17	0.14
Total Volume	120.5	0	209	0	168
Total OI	205.273	170	225	205	188

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
2015-12-01	$10.08	$12.50	63.5%	18.2%	56.9%	22.9%	0.0%	10.4%	-8.3%	-578	18.6K	-144	0.00	118.34	0	0	113	92
2015-12-02	$9.95	$12.50	52.0%	14.9%	56.4%	12.8%	54.1%	6.5%	-3.8%	-910	29.4K	-128	1.17	115.21	42	49	113	102
2015-12-03	$9.78	$0.00	64.6%	16.4%	56.1%	23.8%	0.0%	7.3%	1.5%	-522	30.5K	-136	1.17	113.71	42	49	113	102
2015-12-04	$9.26	$0.00	70.3%	13.9%	58.8%	28.7%	0.0%	11.6%	-0.2%	-486	39.3K	-111	1.17	113.66	42	49	113	102
2015-12-07	$8.42	$0.00	84.6%	16.2%	66.0%	41.1%	0.0%	3.0%	-5.6%	-339	44.3K	-61	0.00	118.52	0	0	113	92
2015-12-08	$8.44	$0.00	68.5%	15.4%	64.5%	27.2%	0.0%	22.0%	7.1%	-199	53.7K	-44	1.17	62.89	42	49	113	102
2015-12-09	$8.07	$0.00	63.7%	18.3%	63.8%	23.0%	0.0%	14.1%	22.6%	-483	52.1K	-71	0.94	111.86	52	49	113	102
2015-12-10	$8.25	$0.00	52.7%	15.1%	63.5%	13.5%	0.0%	7.3%	19.4%	-279	45.0K	-60	0.94	113.22	52	49	123	102
2015-12-11	$7.99	$0.00	55.8%	16.0%	53.4%	16.2%	0.0%	10.6%	5.1%	-567	46.6K	-55	0.94	110.29	52	49	123	102
2015-12-14	$7.82	$0.00	62.5%	17.9%	52.4%	22.0%	0.0%	14.8%	13.7%	-643	43.9K	-85	1.25	119.23	52	65	123	102
2015-12-15	$8.05	$0.00	60.9%	17.5%	54.1%	20.6%	0.0%	4.3%	16.3%	-478	42.8K	-80	1.25	108.86	52	65	123	102
2015-12-16	$7.83	$0.00	59.0%	16.9%	54.3%	18.9%	0.0%	13.5%	19.3%	-853	43.3K	-79	1.25	114.39	52	65	123	102
2015-12-17	$7.33	$0.00	53.9%	15.5%	57.4%	14.5%	0.0%	18.0%	-4.7%	-334	49.8K	-43	1.10	92.45	52	57	123	102
2015-12-18	$7.03	$0.00	50.3%	14.4%	56.1%	11.3%	88.4%	-4.9%	3.9%	40	54.8K	-40	0.38	97.18	152	57	123	100
2015-12-21	$6.74	$10.00	55.6%	16.0%	56.8%	16.0%	60.7%	-0.1%	-3.5%	188	4.5K	-49	0.15	91.28	130	20	141	30
2015-12-22	$6.85	$10.00	62.5%	17.9%	55.0%	22.0%	60.3%	29.4%	2.5%	235	3.5K	-54	0.14	74.88	140	20	141	29
2015-12-23	$7.49	$10.00	52.1%	14.9%	66.5%	12.9%	58.2%	8.7%	4.2%	201	947	-52	0.14	81.34	145	20	151	29
2015-12-24	$7.35	$10.00	57.2%	16.4%	65.4%	17.3%	55.9%	10.8%	3.4%	303	-1.5K	-64	0.14	76.78	148	20	156	29
2015-12-28	$7.11	$10.00	53.8%	15.4%	65.8%	14.4%	65.9%	5.8%	2.8%	321	-1.7K	-65	0.14	75.51	148	20	159	29
2015-12-29	$7.21	$10.00	64.8%	18.6%	63.8%	23.9%	66.2%	10.2%	-0.5%	328	-2.6K	-69	0.14	67.90	148	20	159	29
2015-12-30	$6.83	$10.00	71.5%	20.5%	64.3%	29.8%	66.3%	11.3%	-9.5%	383	-3.4K	-72	0.14	76.80	148	20	159	29
2015-12-31	$7.12	$10.00	53.5%	15.3%	67.9%	14.1%	72.3%	13.3%	3.6%	248	-935	-58	0.14	64.16	148	20	159	29