REI Options History — April 2016

In April 2016, REI traded between $4.92 and $7.51. ATM implied volatility averaged 80.7%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 16.1% (HV 20d: 64.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2016-04-27: Highest Volume — 338 contracts
2016-04-13: Largest IV drop — 65.0% change
2016-04-12: Highest IV Rank — 88.2%
2016-04-01: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.13	$4.92	$7.51	$4.92	$7.36
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	80.7%	48.5%	138.7%	96.4%	80.7%
Expected Move	19.8%	13.9%	27.6%	27.6%	23.1%
HV 20d	64.6%	50.5%	78.5%	63.5%	76.1%
HV 60d	76.7%	72.7%	86.9%	86.9%	75.1%
IV Rank	37.8%	9.8%	88.2%	51.5%	37.8%
IV Percentile	70.2%	11.5%	99.6%	94.4%	80.6%
Term Structure	-1.3%	-31.6%	23.9%	-15.0%	-13.1%
VWIV	69.8%	31.3%	117.0%	63.3%	93.7%
Skew 25d	13.6%	-12.6%	36.3%	2.4%	-12.6%
Skew 10d	34.6%	-20.4%	63.3%	11.1%	-20.4%
Call IV 25d	62.5%	37.3%	85.6%	71.1%	83.7%
Put IV 25d	76.1%	61.9%	99.2%	73.5%	71.1%
Bid-Ask Spread %	93.45	48.30	125.90	125.90	114.27
Gamma HHI	0.55	0.29	0.93	0.29	0.42
Net GEX	756	-76	1.7K	10	1.7K
Net DEX	-63.5K	-142.9K	5.5K	1.4K	-137.1K
Net VEX	-162	-283	-48	-55	-272
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.15	1.03	0.91	0.18
Total Volume	223	65	338	65	298
Total OI	258.524	95	422	95	422

Daily Data (21 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
2016-04-01	$4.92	$0.00	96.4%	27.6%	63.5%	51.5%	0.0%	2.4%	-15.0%	10	1.4K	-55	0.91	125.90	34	31	44	51
2016-04-04	$4.97	$0.00	75.3%	18.9%	63.4%	33.1%	0.0%	13.9%	10.1%	8	1.1K	-48	1.03	82.52	34	35	44	51
2016-04-05	$5.00	$0.00	106.4%	21.6%	61.9%	60.2%	0.0%	17.7%	1.9%	-76	5.5K	-78	1.03	109.51	34	35	44	71
2016-04-06	$5.36	$0.00	108.3%	21.5%	57.3%	61.8%	0.0%	36.3%	-10.8%	-51	4.3K	-77	1.03	116.56	34	35	44	71
2016-04-07	$5.36	$0.00	108.2%	20.7%	57.3%	61.7%	63.3%	25.4%	17.1%	-53	4.4K	-75	0.21	122.34	169	35	44	71
2016-04-08	$5.59	$5.00	84.3%	18.6%	58.7%	40.9%	57.3%	3.0%	7.3%	1.1K	-52.9K	-152	0.25	48.30	169	42	179	71
2016-04-11	$5.95	$5.00	105.5%	18.1%	61.5%	59.4%	54.4%	3.1%	-7.4%	696	-58.5K	-168	0.24	61.38	177	42	179	78
2016-04-12	$6.19	$5.00	138.7%	18.4%	61.1%	88.2%	53.6%	5.9%	15.9%	734	-68.9K	-121	0.25	88.75	171	42	171	78
2016-04-13	$6.34	$5.00	48.5%	13.9%	58.8%	9.8%	42.5%	9.3%	19.0%	659	-71.7K	-124	0.25	89.50	171	42	169	78
2016-04-14	$6.23	$5.00	58.9%	16.9%	59.9%	18.8%	77.3%	3.6%	-29.9%	505	-58.6K	-160	0.25	51.40	167	42	169	78
2016-04-15	$6.27	$5.00	73.6%	21.1%	50.5%	31.6%	31.3%	16.4%	-1.3%	510	-63.7K	-157	0.25	116.15	167	42	169	78
2016-04-18	$6.03	$5.00	65.8%	18.9%	52.8%	24.8%	51.0%	30.3%	-7.1%	776	-64.2K	-108	0.25	64.55	167	42	169	78
2016-04-19	$6.21	$5.00	55.4%	15.9%	53.4%	15.8%	62.3%	8.3%	-15.3%	546	-73.8K	-96	0.34	118.34	167	56	169	78
2016-04-20	$6.80	$5.00	57.3%	16.4%	60.7%	17.4%	94.3%	33.8%	12.0%	534	-76.7K	-137	0.22	124.56	260	56	169	88
2016-04-21	$6.03	$5.00	87.4%	25.1%	76.0%	43.6%	99.5%	22.8%	-31.6%	1.2K	-72.4K	-264	0.21	116.14	265	56	263	88
2016-04-22	$6.19	$5.00	66.5%	19.1%	76.2%	25.4%	71.8%	17.9%	-6.2%	1.4K	-92.1K	-233	0.17	107.39	265	45	272	88
2016-04-25	$6.30	$5.00	61.5%	17.6%	74.0%	21.1%	72.4%	3.8%	23.9%	1.1K	-84.9K	-283	0.17	65.47	265	45	272	95
2016-04-26	$6.90	$5.00	70.0%	20.1%	78.5%	28.5%	74.7%	18.6%	21.0%	1.3K	-102.4K	-279	0.17	76.64	265	45	272	95
2016-04-27	$7.29	$5.00	72.3%	20.7%	76.9%	30.5%	0.0%	13.6%	-12.7%	1.5K	-130.2K	-259	0.15	110.08	293	45	272	95
2016-04-28	$7.51	$5.00	73.3%	21.0%	77.0%	31.3%	117.0%	12.3%	-4.2%	1.7K	-142.9K	-266	0.18	52.72	253	45	317	95
2016-04-29	$7.36	$5.00	80.7%	23.1%	76.1%	37.8%	93.7%	-12.6%	-13.1%	1.7K	-137.1K	-272	0.18	114.27	253	45	327	95