REI Options History — March 2016

In March 2016, REI traded between $4.24 and $5.25. ATM implied volatility averaged 83.6%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 6.5% (HV 20d: 77.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2016-03-01: Highest Volume — 134 contracts
2016-03-09: Largest IV drop — 40.4% change
2016-03-07: Highest IV Rank — 65.4%
2016-03-02: Largest Expected Move — 29.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.97	$4.24	$5.25	$4.24	$5.08
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	83.6%	63.3%	112.5%	97.1%	69.2%
Expected Move	22.7%	18.1%	29.9%	27.8%	19.8%
HV 20d	77.1%	69.6%	83.7%	78.9%	70.0%
HV 60d	87.3%	83.9%	89.5%	83.9%	86.7%
IV Rank	40.3%	22.6%	65.4%	52.0%	27.8%
IV Percentile	85.4%	56.3%	98.0%	96.0%	70.6%
Term Structure	-7.5%	-29.5%	8.5%	-16.3%	3.5%
VWIV	127.4%	123.9%	130.9%	123.9%	130.9%
Skew 25d	7.7%	-6.3%	24.3%	7.8%	-1.1%
Skew 10d	14.2%	-11.3%	45.5%	14.7%	2.0%
Call IV 25d	70.5%	53.2%	87.0%	75.2%	62.6%
Put IV 25d	78.2%	61.5%	93.4%	83.0%	61.5%
Bid-Ask Spread %	107.11	50.18	132.26	113.53	71.92
Gamma HHI	0.44	0.28	0.71	0.41	0.37
Net GEX	-103	-356	24	-111	20
Net DEX	8.1K	156	24.7K	15.1K	1.5K
Net VEX	-60	-81	-45	-76	-48
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.47	0.91	0.47	0.91
Total Volume	100.273	65	134	134	65
Total OI	160.818	93	202	200	95

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
2016-03-01	$4.24	$7.50	97.1%	27.8%	78.9%	52.0%	123.9%	7.8%	-16.3%	-111	15.1K	-76	0.47	113.53	91	43	106	94
2016-03-02	$4.56	$7.50	104.3%	29.9%	81.6%	58.3%	130.9%	6.6%	-29.4%	-107	14.4K	-81	0.47	110.92	91	43	106	94
2016-03-03	$4.99	$0.00	74.4%	20.0%	83.1%	32.3%	0.0%	17.8%	8.5%	-356	13.7K	-78	0.47	123.28	91	43	106	94
2016-03-04	$5.06	$0.00	95.3%	21.2%	79.9%	50.5%	0.0%	15.6%	-7.9%	-286	12.6K	-73	0.47	120.73	91	43	106	93
2016-03-07	$5.25	$0.00	112.5%	22.7%	76.9%	65.4%	0.0%	1.6%	-8.1%	-253	10.2K	-71	0.63	113.23	68	43	106	93
2016-03-08	$4.79	$0.00	106.1%	20.0%	83.7%	59.9%	0.0%	14.4%	-6.7%	-135	12.3K	-66	0.63	127.32	68	43	107	93
2016-03-09	$4.79	$0.00	63.3%	18.1%	81.8%	22.6%	0.0%	-1.4%	5.6%	-163	12.6K	-68	0.63	50.18	68	43	107	93
2016-03-10	$4.85	$0.00	78.3%	22.4%	81.9%	35.7%	0.0%	8.9%	-3.0%	-235	12.9K	-71	0.63	128.11	68	43	107	93
2016-03-11	$4.99	$0.00	77.3%	22.2%	82.3%	34.9%	0.0%	-1.4%	-3.6%	-318	12.9K	-68	0.63	111.95	68	43	107	93
2016-03-14	$4.87	$0.00	84.9%	24.3%	81.5%	41.4%	0.0%	7.9%	-19.5%	-202	12.1K	-62	0.63	122.49	68	43	107	93
2016-03-15	$4.71	$0.00	82.6%	23.7%	77.0%	39.4%	0.0%	-6.3%	-6.4%	-160	12.3K	-62	0.74	132.26	68	50	107	94
2016-03-16	$4.75	$0.00	74.3%	21.3%	74.4%	32.2%	0.0%	24.3%	5.1%	-53	24.7K	-55	0.69	129.51	68	47	107	95
2016-03-17	$5.25	$0.00	72.6%	20.8%	79.2%	30.8%	0.0%	17.0%	-3.9%	11	1.8K	-49	0.63	97.38	68	43	107	88
2016-03-18	$5.19	$0.00	73.9%	21.2%	77.1%	31.9%	0.0%	-1.5%	-13.8%	24	1.2K	-49	0.68	107.01	68	46	107	85
2016-03-21	$5.21	$0.00	74.8%	21.4%	76.1%	32.7%	0.0%	21.4%	-15.5%	18	1.1K	-53	0.74	132.04	42	31	42	51
2016-03-22	$5.23	$0.00	69.5%	19.9%	69.6%	28.0%	0.0%	2.4%	0.2%	11	674	-47	0.74	88.20	42	31	42	51
2016-03-23	$5.09	$0.00	83.7%	24.0%	71.0%	40.4%	0.0%	2.0%	-8.0%	12	1.7K	-51	0.74	74.40	42	31	42	51
2016-03-24	$5.18	$0.00	72.2%	20.7%	70.7%	30.4%	0.0%	15.8%	-1.2%	-10	2.0K	-45	0.86	88.08	36	31	42	51
2016-03-28	$4.98	$0.00	90.7%	26.0%	72.9%	46.5%	0.0%	11.9%	7.1%	4	1.3K	-54	0.91	123.53	34	31	42	51
2016-03-29	$5.20	$0.00	94.0%	27.0%	71.8%	49.4%	0.0%	3.0%	-21.7%	1	1.1K	-48	0.91	110.37	34	31	44	51
2016-03-30	$4.99	$0.00	87.2%	25.0%	73.9%	43.4%	0.0%	2.6%	-29.5%	19	156	-47	0.91	79.99	34	31	44	51
2016-03-31	$5.08	$0.00	69.2%	19.8%	70.0%	27.8%	0.0%	-1.1%	3.5%	20	1.5K	-48	0.91	71.92	34	31	44	51