REI Options History — May 2016 In May 2016, REI traded between $6.40 and $8.11. ATM implied volatility averaged 65.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 7.3% (HV 20d: 72.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2016-05-02 : Highest Volume — 298 contracts2016-05-27 : Largest IV spike — 43.4% change2016-05-04 : Highest IV Rank — 52.4%2016-05-04 : Largest Expected Move — 28.0%Monthly Statistics Metric Avg Min Max Open Close Price $7.26 $6.40 $8.11 $7.04 $8.10 Max Pain $7.14 $5.00 $7.50 $5.00 $7.50 ATM IV 65.5% 41.1% 97.5% 73.4% 55.8% Expected Move 17.8% 11.8% 28.0% 21.0% 16.0% HV 20d 72.9% 51.4% 84.9% 79.4% 51.4% HV 60d 71.1% 65.7% 75.0% 74.9% 65.7% IV Rank 24.6% 3.4% 52.4% 31.4% 16.2% IV Percentile 47.5% 0.8% 92.9% 73.0% 24.2% Term Structure -3.4% -32.6% 20.9% -14.6% -11.5% VWIV 67.6% 45.7% 115.8% 113.7% 57.4% Skew 25d 10.6% -17.0% 71.1% 9.0% -9.0% Skew 10d 27.8% -13.5% 87.8% 19.2% -13.5% Call IV 25d 61.4% 41.8% 107.3% 64.3% 68.0% Put IV 25d 72.1% 47.1% 178.4% 73.3% 59.0% Bid-Ask Spread % 64.69 39.26 110.93 52.17 57.87 Gamma HHI 0.66 0.37 0.96 0.42 0.92 Net GEX 2.5K 277 5.6K 1.8K 3.7K Net DEX -134.6K -185.5K -84.1K -116.0K -139.2K Net VEX -284 -350 -153 -265 -247 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.18 1.76 0.18 1.52 Total Volume 210.857 90 298 298 101 Total OI 475.667 422 587 422 454
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 2016-05-02 $7.04 $5.00 73.4% 21.0% 79.4% 31.4% 113.7% 9.0% -14.6% 1.8K -116.0K -265 0.18 52.17 253 45 327 95 2016-05-03 $6.58 $5.00 76.8% 22.0% 84.9% 34.4% 115.8% -10.0% -8.2% 1.6K -105.4K -271 0.18 59.09 253 45 327 95 2016-05-04 $6.62 $5.00 97.5% 28.0% 82.4% 52.4% 113.2% 4.8% -32.6% 1.6K -105.9K -310 0.22 85.65 209 45 357 95 2016-05-05 $6.70 $7.50 78.9% 18.0% 82.3% 36.3% 68.3% 6.5% -0.1% 1.8K -111.9K -292 0.22 79.86 209 45 357 95 2016-05-06 $6.49 $7.50 91.5% 18.6% 82.8% 47.2% 65.8% -6.8% -3.0% 1.7K -101.9K -275 0.23 78.40 199 45 357 95 2016-05-09 $6.40 $7.50 71.7% 17.3% 80.5% 30.0% 63.1% -17.0% -4.9% 1.9K -105.1K -276 0.23 53.36 199 45 372 95 2016-05-10 $6.84 $7.50 88.3% 19.7% 82.6% 44.4% 77.2% 5.8% -10.0% 2.0K -129.9K -314 0.23 110.93 199 45 372 95 2016-05-11 $6.85 $7.50 56.4% 16.2% 82.3% 16.7% 60.2% -4.6% -1.1% 2.0K -129.3K -263 0.23 93.51 199 45 372 95 2016-05-12 $7.24 $7.50 55.7% 16.0% 83.8% 16.0% 56.7% 3.5% 5.5% 2.2K -149.3K -260 0.23 57.61 199 45 372 95 2016-05-13 $7.26 $7.50 50.3% 14.4% 83.8% 11.3% 52.1% 14.5% 2.2% 2.3K -144.7K -253 0.31 73.38 209 65 372 95 2016-05-16 $7.53 $7.50 59.2% 17.0% 82.6% 19.1% 60.5% 28.1% 1.5% 1.9K -160.1K -281 0.34 60.81 194 65 382 115 2016-05-17 $7.72 $7.50 57.0% 16.3% 82.5% 17.2% 56.7% 9.7% 3.2% 1.8K -163.5K -254 0.34 54.65 194 65 367 115 2016-05-18 $7.42 $7.50 73.4% 21.0% 78.6% 31.4% 71.1% 27.3% -10.0% 3.1K -185.5K -350 0.36 56.34 182 65 457 115 2016-05-19 $7.39 $7.50 56.9% 16.3% 63.6% 17.1% 57.9% 4.6% 0.3% 3.5K -178.4K -327 0.38 58.05 173 65 469 115 2016-05-20 $7.41 $7.50 59.8% 17.1% 63.4% 19.6% 60.2% 26.7% -6.2% 3.2K -184.8K -343 0.38 73.26 173 65 472 115 2016-05-23 $7.42 $7.50 60.4% 17.3% 63.3% 20.1% 61.2% 5.7% 2.6% 3.4K -86.1K -327 1.71 51.04 38 65 337 115 2016-05-24 $7.43 $7.50 61.4% 17.6% 55.3% 21.0% 60.5% 6.2% 4.2% 3.4K -84.1K -324 1.76 55.18 37 65 337 115 2016-05-25 $7.81 $7.50 41.1% 11.8% 54.7% 3.4% 45.7% 39.3% 20.9% 5.6K -119.2K -301 1.65 40.56 34 56 339 115 2016-05-26 $8.11 $7.50 45.5% 13.0% 55.2% 7.1% 46.7% 7.5% 7.0% 3.7K -148.3K -286 1.56 39.26 36 56 339 126 2016-05-27 $8.10 $7.50 65.2% 18.7% 54.5% 24.3% 55.0% 71.1% -15.4% 277 -177.9K -153 1.52 67.53 40 61 329 126 2016-05-31 $8.10 $7.50 55.8% 16.0% 51.4% 16.2% 57.4% -9.0% -11.5% 3.7K -139.2K -247 1.52 57.87 40 61 327 127
« Apr 2016 | All History | Jun 2016 » Home REI History May 2016