REI Options History — January 2016

In January 2016, REI traded between $4.53 and $6.85. ATM implied volatility averaged 82.3%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 10.7% (HV 20d: 93.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.06.

Notable Days

2016-01-14: Highest Volume — 494 contracts
2016-01-12: Largest IV spike — 51.6% change
2016-01-12: Highest IV Rank — 85.5%
2016-01-28: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.24	$4.53	$6.85	$6.85	$5.53
Max Pain	$6.18	$5.00	$7.50	$7.50	$5.00
ATM IV	82.3%	62.7%	135.6%	62.7%	63.3%
Expected Move	20.8%	15.7%	26.8%	17.9%	18.1%
HV 20d	93.0%	66.9%	102.8%	68.3%	102.3%
HV 60d	73.6%	60.8%	77.7%	60.8%	76.5%
IV Rank	39.2%	22.1%	85.5%	22.1%	22.7%
IV Percentile	89.5%	59.5%	99.6%	59.5%	59.5%
Term Structure	-1.5%	-26.5%	19.7%	0.0%	15.2%
VWIV	72.1%	50.8%	95.6%	84.9%	80.6%
Skew 25d	11.3%	-16.0%	41.5%	-16.0%	27.1%
Skew 10d	24.6%	-12.9%	67.1%	-9.7%	37.1%
Call IV 25d	69.6%	47.9%	96.4%	75.5%	47.9%
Put IV 25d	80.9%	46.1%	126.1%	59.5%	75.1%
Bid-Ask Spread %	79.83	43.48	117.27	74.58	112.53
Gamma HHI	0.48	0.32	0.73	0.47	0.35
Net GEX	152	-385	933	224	216
Net DEX	3.7K	-12.8K	15.5K	-735	-3.8K
Net VEX	-69	-128	-31	-62	-71
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.05	0.12	0.06	0.05
Total Volume	363.053	0	494	368	0
Total OI	420.474	188	526	188	408

Daily Data (19 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
2016-01-04	$6.85	$7.50	62.7%	17.9%	68.3%	22.1%	84.9%	-16.0%	0.0%	224	-735	-62	0.06	74.58	348	20	159	29
2016-01-05	$6.72	$7.50	83.0%	15.7%	66.9%	39.7%	50.8%	-11.6%	1.8%	933	-8.4K	-109	0.05	60.88	396	20	359	29
2016-01-06	$5.58	$7.50	99.9%	20.2%	86.2%	54.4%	95.6%	-5.2%	-20.1%	668	-12.8K	-128	0.05	115.70	417	20	407	29
2016-01-07	$5.01	$7.50	93.0%	20.6%	91.0%	48.5%	51.3%	3.9%	-7.9%	81	5.5K	-35	0.05	44.99	417	20	428	29
2016-01-08	$5.10	$7.50	75.9%	19.4%	92.0%	33.6%	53.0%	15.5%	2.0%	59	6.5K	-36	0.05	43.48	417	20	428	29
2016-01-11	$5.28	$7.50	89.4%	17.2%	92.9%	45.3%	55.6%	15.3%	15.2%	24	7.0K	-31	0.08	49.56	417	35	428	29
2016-01-12	$5.15	$7.50	135.6%	19.1%	92.9%	85.5%	87.7%	-1.1%	13.1%	-236	8.6K	-38	0.08	88.08	417	35	428	44
2016-01-13	$4.91	$7.50	84.6%	24.3%	93.3%	41.2%	86.9%	-12.5%	-15.1%	-151	9.4K	-39	0.12	71.29	417	50	428	44
2016-01-14	$4.94	$7.50	85.9%	24.6%	92.0%	42.3%	87.3%	41.5%	-15.8%	-385	15.5K	-63	0.11	109.08	444	50	428	71
2016-01-15	$4.53	$5.00	78.8%	22.6%	94.6%	36.1%	73.9%	15.5%	-2.8%	123	12.8K	-72	0.06	85.05	442	25	455	71
2016-01-19	$4.55	$5.00	83.8%	24.0%	94.1%	40.5%	77.7%	16.1%	-10.9%	118	4.2K	-76	0.07	69.77	294	21	332	56
2016-01-20	$4.99	$5.00	68.2%	19.5%	102.4%	26.9%	62.5%	22.8%	19.7%	240	5.9K	-81	0.05	90.35	292	16	332	67
2016-01-21	$5.10	$5.00	69.4%	19.9%	102.8%	27.9%	66.2%	21.2%	5.9%	186	3.1K	-84	0.05	52.66	292	16	333	73
2016-01-22	$5.13	$5.00	68.5%	19.7%	102.5%	27.2%	67.5%	36.0%	1.4%	187	3.7K	-82	0.05	97.79	292	16	333	73
2016-01-25	$4.84	$5.00	70.7%	20.3%	95.8%	29.1%	70.2%	11.2%	1.6%	150	4.0K	-77	0.05	63.03	292	16	333	73
2016-01-26	$5.07	$5.00	76.8%	22.0%	98.8%	34.4%	69.9%	25.3%	2.3%	163	4.4K	-79	0.05	117.27	292	16	333	75
2016-01-27	$5.10	$5.00	81.1%	23.2%	99.0%	38.1%	76.6%	0.7%	-8.1%	148	3.4K	-78	0.05	107.65	292	16	333	75
2016-01-28	$5.17	$5.00	93.4%	26.8%	99.0%	48.8%	80.6%	9.9%	-26.5%	135	2.1K	-78	0.05	63.04	292	16	333	75
2016-01-29	$5.53	$5.00	63.3%	18.1%	102.3%	22.7%	0.0%	27.1%	15.2%	216	-3.8K	-71	0.00	112.53	0	0	333	75