REI Options History — February 2016

In February 2016, REI traded between $4.03 and $5.47. ATM implied volatility averaged 89.1%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded below realized volatility by 1.4% (HV 20d: 90.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2016-02-16: Highest Volume — 328 contracts
2016-02-29: Largest IV spike — 41.0% change
2016-02-25: Highest IV Rank — 69.3%
2016-02-25: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.71	$4.03	$5.47	$5.04	$4.12
Max Pain	$7.13	$5.00	$7.50	$5.00	$7.50
ATM IV	89.1%	70.7%	117.0%	92.0%	114.8%
Expected Move	24.3%	18.0%	33.5%	26.4%	32.9%
HV 20d	90.5%	83.0%	110.6%	104.3%	83.0%
HV 60d	81.8%	78.0%	83.9%	78.0%	83.4%
IV Rank	45.1%	29.1%	69.3%	47.6%	67.4%
IV Percentile	93.2%	82.5%	99.2%	97.2%	98.4%
Term Structure	-11.8%	-33.3%	10.1%	-16.4%	-29.8%
VWIV	92.6%	65.9%	135.5%	109.0%	135.5%
Skew 25d	31.0%	10.4%	57.9%	22.2%	10.4%
Skew 10d	47.5%	14.6%	83.9%	42.3%	14.6%
Call IV 25d	83.6%	57.4%	127.2%	82.0%	74.6%
Put IV 25d	114.5%	83.3%	152.2%	104.2%	85.1%
Bid-Ask Spread %	100.23	34.78	114.68	114.68	112.25
Gamma HHI	0.39	0.27	0.68	0.34	0.36
Net GEX	5	-314	215	181	-71
Net DEX	9.9K	-7.5K	18.5K	3.5K	12.1K
Net VEX	-78	-100	-37	-75	-81
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.05	0.41	0.05	0.37
Total Volume	262.15	115	328	308	125
Total OI	352.5	188	428	408	200

Daily Data (20 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
2016-02-01	$5.04	$5.00	92.0%	26.4%	104.3%	47.6%	109.0%	22.2%	-16.4%	181	3.5K	-75	0.05	114.68	292	16	333	75
2016-02-02	$4.75	$5.00	81.6%	23.4%	105.1%	38.6%	101.0%	45.1%	-26.2%	55	7.6K	-69	0.06	110.99	292	18	333	75
2016-02-03	$5.14	$5.00	78.3%	22.5%	110.6%	35.7%	68.6%	35.8%	-4.5%	-42	5.3K	-66	0.06	69.37	292	18	333	76
2016-02-04	$5.47	$7.50	79.5%	18.0%	92.9%	36.7%	65.9%	17.5%	10.1%	68	-7.5K	-37	0.12	108.67	292	34	333	76
2016-02-05	$5.09	$7.50	95.9%	23.4%	88.2%	51.0%	79.7%	22.6%	-17.6%	161	4.4K	-94	0.12	108.98	292	34	333	92
2016-02-08	$5.09	$7.50	103.9%	20.3%	88.0%	58.0%	68.2%	20.4%	-0.3%	41	8.6K	-91	0.12	50.44	292	34	333	92
2016-02-09	$4.84	$7.50	110.6%	26.0%	88.7%	63.8%	95.5%	31.5%	-12.4%	144	7.9K	-100	0.12	108.03	292	34	333	92
2016-02-10	$4.82	$7.50	83.4%	23.9%	88.4%	40.1%	73.7%	51.3%	-16.7%	186	8.4K	-91	0.12	104.82	292	34	333	92
2016-02-11	$4.91	$7.50	82.5%	23.6%	87.1%	39.3%	80.6%	25.3%	-12.1%	159	10.0K	-91	0.12	104.62	292	34	333	92
2016-02-12	$5.10	$7.50	75.9%	21.8%	88.1%	33.6%	67.8%	22.3%	-1.6%	80	6.0K	-89	0.12	34.78	292	34	333	92
2016-02-16	$4.70	$7.50	80.8%	23.2%	87.5%	37.9%	91.7%	32.3%	-11.9%	153	8.2K	-80	0.12	108.56	294	34	333	92
2016-02-17	$4.96	$7.50	79.3%	22.7%	89.4%	36.6%	80.8%	44.3%	-9.8%	215	7.4K	-83	0.12	110.79	294	34	335	93
2016-02-18	$4.66	$7.50	83.8%	24.0%	86.0%	40.5%	94.9%	21.0%	-18.8%	-182	15.1K	-77	0.12	110.91	294	34	335	93
2016-02-19	$4.45	$7.50	72.2%	20.7%	86.7%	30.4%	93.2%	44.4%	-2.8%	-230	18.3K	-72	0.11	112.47	294	32	335	93
2016-02-22	$4.34	$7.50	70.7%	20.3%	86.8%	29.1%	82.7%	57.9%	8.9%	-314	18.5K	-72	0.39	111.04	83	32	94	94
2016-02-23	$4.03	$7.50	86.5%	24.8%	88.2%	42.8%	117.1%	35.9%	-10.5%	-153	16.7K	-69	0.40	103.04	83	33	96	94
2016-02-24	$4.10	$7.50	112.3%	32.2%	86.4%	65.3%	133.7%	24.9%	-23.7%	-101	15.8K	-70	0.41	112.45	83	34	96	93
2016-02-25	$4.22	$7.50	117.0%	33.5%	87.3%	69.3%	124.8%	39.6%	-33.3%	-116	16.6K	-72	0.37	100.93	91	34	96	94
2016-02-26	$4.28	$7.50	81.4%	23.3%	87.3%	38.4%	88.6%	14.4%	-6.5%	-132	16.1K	-79	0.37	106.87	91	34	106	94
2016-02-29	$4.12	$7.50	114.8%	32.9%	83.0%	67.4%	135.5%	10.4%	-29.8%	-71	12.1K	-81	0.37	112.25	91	34	106	94