REI Options History — June 2016

In June 2016, REI traded between $8.24 and $9.82. ATM implied volatility averaged 56.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 9.2% (HV 20d: 47.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2016-06-07: Highest Volume — 242 contracts
2016-06-17: Largest IV drop — 24.5% change
2016-06-15: Highest IV Rank — 32.6%
2016-06-15: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.98	$8.24	$9.82	$8.24	$8.77
Max Pain	$9.86	$7.50	$10.00	$7.50	$10.00
ATM IV	56.5%	42.7%	74.7%	54.0%	51.1%
Expected Move	16.3%	12.4%	21.4%	15.5%	14.6%
HV 20d	47.3%	36.6%	59.1%	43.3%	59.1%
HV 60d	62.5%	60.6%	65.5%	65.5%	63.0%
IV Rank	16.7%	4.8%	32.6%	14.6%	12.1%
IV Percentile	28.8%	2.0%	73.4%	21.4%	11.1%
Term Structure	4.5%	-12.6%	15.6%	13.7%	15.6%
VWIV	53.9%	39.0%	71.5%	63.5%	47.3%
Skew 25d	5.5%	-16.5%	20.3%	13.5%	1.1%
Skew 10d	8.6%	-16.3%	49.1%	18.8%	21.5%
Call IV 25d	57.6%	44.0%	81.1%	61.4%	52.1%
Put IV 25d	63.0%	53.2%	76.0%	75.0%	53.2%
Bid-Ask Spread %	91.09	61.19	134.94	61.19	117.90
Gamma HHI	0.53	0.40	0.79	0.79	0.51
Net GEX	2.4K	1.4K	4.5K	3.4K	2.1K
Net DEX	-134.1K	-194.2K	-81.8K	-144.5K	-81.8K
Net VEX	-327	-428	-169	-251	-329
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.34	0.76	0.76	0.37
Total Volume	149.682	96	242	141	112
Total OI	397	265	506	454	292

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
2016-06-01	$8.24	$7.50	54.0%	15.5%	43.3%	14.6%	63.5%	13.5%	13.7%	3.4K	-144.5K	-251	0.76	61.19	80	61	327	127
2016-06-02	$8.42	$0.00	48.1%	17.1%	43.4%	9.4%	0.0%	18.3%	13.1%	2.6K	-182.7K	-228	0.35	85.55	175	61	367	127
2016-06-03	$8.52	$0.00	49.7%	14.2%	43.4%	10.8%	0.0%	0.7%	15.1%	1.5K	-120.4K	-169	0.40	88.75	151	61	281	127
2016-06-06	$8.90	$0.00	54.8%	13.8%	41.5%	15.3%	0.0%	7.5%	1.0%	2.9K	-142.5K	-281	0.40	72.60	153	61	305	127
2016-06-07	$9.24	$0.00	42.7%	12.4%	40.6%	4.8%	39.0%	14.5%	6.9%	4.0K	-173.4K	-321	0.34	81.92	180	62	317	127
2016-06-08	$9.28	$10.00	45.0%	12.9%	36.6%	6.7%	41.0%	4.2%	9.1%	4.5K	-194.2K	-428	0.76	92.50	82	62	351	128
2016-06-09	$8.84	$10.00	51.2%	14.7%	42.9%	12.2%	51.2%	-3.9%	2.9%	2.6K	-158.8K	-368	0.58	89.34	107	62	353	128
2016-06-10	$8.52	$10.00	61.9%	17.7%	43.2%	21.4%	71.5%	-16.5%	6.0%	2.3K	-144.6K	-363	0.58	90.97	107	62	378	128
2016-06-13	$8.50	$10.00	67.4%	19.3%	43.4%	26.2%	39.3%	-1.2%	4.2%	2.1K	-145.5K	-340	0.56	67.44	103	58	378	128
2016-06-14	$8.50	$10.00	72.6%	20.8%	42.1%	30.7%	58.7%	3.0%	-1.2%	1.4K	-146.8K	-337	0.56	101.02	103	58	370	128
2016-06-15	$8.69	$10.00	74.7%	21.4%	41.9%	32.6%	56.3%	6.1%	-12.6%	1.5K	-153.9K	-353	0.56	117.39	103	58	370	128
2016-06-16	$8.50	$10.00	66.2%	19.0%	39.8%	25.2%	61.4%	1.6%	6.1%	1.5K	-141.2K	-309	0.56	94.63	103	58	370	128
2016-06-17	$9.35	$10.00	50.0%	14.3%	50.4%	11.1%	39.9%	9.6%	15.5%	1.7K	-177.4K	-337	0.56	73.21	103	58	370	128
2016-06-20	$9.73	$10.00	47.0%	13.5%	51.3%	8.5%	47.0%	6.3%	8.2%	2.2K	-106.2K	-346	0.45	93.21	66	30	191	74
2016-06-21	$9.82	$10.00	47.3%	13.6%	51.1%	8.7%	46.6%	-0.1%	8.9%	2.6K	-112.6K	-302	0.40	94.77	75	30	195	74
2016-06-22	$9.52	$10.00	52.9%	15.2%	53.4%	13.7%	57.1%	4.5%	-4.2%	2.3K	-115.1K	-364	0.41	110.91	74	30	208	74
2016-06-23	$9.57	$10.00	65.4%	18.7%	51.5%	24.5%	65.7%	2.3%	-3.3%	2.4K	-109.1K	-355	0.41	108.73	74	30	208	74
2016-06-24	$9.44	$10.00	60.3%	17.3%	51.1%	20.0%	53.3%	20.3%	1.2%	2.0K	-102.2K	-371	0.41	134.94	74	30	208	74
2016-06-27	$8.91	$10.00	58.0%	16.6%	56.1%	18.1%	60.5%	5.7%	-1.6%	2.1K	-89.6K	-336	0.37	72.72	82	30	208	74
2016-06-28	$9.23	$10.00	67.4%	19.3%	57.1%	26.3%	70.0%	17.3%	-8.5%	2.3K	-105.7K	-359	0.37	80.51	82	30	218	74
2016-06-29	$9.13	$10.00	54.2%	15.5%	57.3%	14.8%	55.3%	0.0%	2.1%	2.6K	-102.1K	-347	0.37	73.84	82	30	218	74
2016-06-30	$8.77	$10.00	51.1%	14.6%	59.1%	12.1%	47.3%	1.1%	15.6%	2.1K	-81.8K	-329	0.37	117.90	82	30	218	74