REI Options History — July 2016

In July 2016, REI traded between $7.66 and $9.09. ATM implied volatility averaged 69.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 15.8% (HV 20d: 53.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2016-07-25: Highest Volume — 148 contracts
2016-07-26: Largest IV spike — 47.2% change
2016-07-12: Highest IV Rank — 63.5%
2016-07-26: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.26	$7.66	$9.09	$9.09	$7.90
Max Pain	$9.50	$7.50	$10.00	$10.00	$7.50
ATM IV	69.1%	45.4%	110.3%	45.4%	72.7%
Expected Move	17.5%	13.0%	23.9%	13.0%	20.8%
HV 20d	53.3%	43.5%	62.2%	60.2%	44.6%
HV 60d	57.9%	49.7%	63.9%	63.2%	50.0%
IV Rank	29.5%	7.1%	63.5%	7.1%	34.9%
IV Percentile	51.2%	2.8%	96.4%	2.8%	69.0%
Term Structure	-5.2%	-27.6%	19.4%	19.4%	0.5%
VWIV	59.6%	37.8%	93.0%	38.1%	93.0%
Skew 25d	8.5%	-2.4%	30.6%	4.8%	3.7%
Skew 10d	19.3%	-0.6%	74.6%	7.6%	21.7%
Call IV 25d	57.1%	51.8%	67.7%	55.6%	61.0%
Put IV 25d	65.5%	50.6%	84.2%	60.4%	64.7%
Bid-Ask Spread %	101.51	65.48	145.68	80.83	145.68
Gamma HHI	0.45	0.39	0.53	0.53	0.41
Net GEX	1.6K	926	2.4K	2.4K	1.2K
Net DEX	-67.8K	-93.9K	-53.7K	-93.9K	-54.0K
Net VEX	-285	-344	-238	-344	-266
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.33	0.55	0.37	0.55
Total Volume	126.7	112	148	112	146
Total OI	306.15	292	326	292	323

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
2016-07-01	$9.09	$10.00	45.4%	13.0%	60.2%	7.1%	38.1%	4.8%	19.4%	2.4K	-93.9K	-344	0.37	80.83	82	30	218	74
2016-07-05	$8.88	$10.00	61.8%	14.6%	59.0%	21.3%	56.8%	15.3%	-1.2%	1.9K	-80.5K	-335	0.37	88.74	82	30	218	74
2016-07-06	$8.92	$10.00	61.0%	15.1%	57.3%	20.7%	56.0%	13.2%	0.4%	2.2K	-85.1K	-340	0.37	81.75	82	30	218	74
2016-07-07	$8.55	$10.00	73.5%	18.1%	59.0%	31.6%	57.8%	15.9%	-5.8%	1.6K	-74.8K	-285	0.37	79.27	82	30	218	74
2016-07-08	$8.40	$10.00	97.0%	18.4%	56.9%	51.9%	61.2%	10.6%	-23.5%	1.5K	-66.3K	-265	0.37	108.63	82	30	218	74
2016-07-11	$8.32	$10.00	88.0%	14.8%	55.5%	44.1%	59.4%	-0.7%	10.9%	1.5K	-62.6K	-245	0.39	81.74	82	32	218	74
2016-07-12	$8.80	$10.00	110.3%	13.4%	59.1%	63.5%	51.7%	0.0%	3.7%	1.7K	-81.5K	-307	0.37	106.63	89	33	228	76
2016-07-13	$8.36	$10.00	64.7%	18.5%	62.1%	23.8%	67.4%	3.8%	-26.2%	1.8K	-69.9K	-293	0.37	102.13	89	33	238	79
2016-07-14	$8.13	$10.00	64.6%	18.5%	62.2%	23.8%	61.7%	4.3%	-27.6%	1.6K	-60.7K	-272	0.35	119.06	94	33	238	79
2016-07-15	$8.16	$10.00	73.2%	21.0%	61.8%	35.5%	61.1%	4.1%	-17.2%	1.6K	-68.2K	-289	0.35	91.37	94	33	248	78
2016-07-18	$8.24	$10.00	60.1%	17.2%	50.3%	22.5%	46.3%	8.3%	-8.4%	1.7K	-72.2K	-281	0.37	120.61	86	32	221	78
2016-07-19	$7.93	$10.00	67.3%	19.3%	48.4%	29.6%	67.7%	1.8%	-10.2%	1.5K	-64.0K	-256	0.33	117.58	96	32	221	78
2016-07-20	$8.11	$10.00	56.0%	16.0%	49.3%	18.5%	46.8%	30.6%	-2.4%	1.6K	-62.7K	-249	0.33	119.32	96	32	226	78
2016-07-21	$8.00	$10.00	73.2%	21.0%	48.7%	35.4%	65.3%	8.1%	-27.5%	1.7K	-70.6K	-279	0.33	115.62	96	32	226	78
2016-07-22	$8.08	$10.00	59.5%	17.1%	48.9%	22.0%	37.8%	24.7%	1.9%	1.6K	-60.4K	-238	0.33	94.11	96	32	226	78
2016-07-25	$7.86	$10.00	56.5%	16.2%	49.4%	19.0%	57.5%	-2.4%	1.9%	1.5K	-61.6K	-267	0.54	65.48	96	52	226	78
2016-07-26	$7.90	$7.50	83.2%	23.9%	46.1%	45.3%	82.8%	11.0%	-10.6%	1.1K	-57.5K	-323	0.55	100.81	94	52	226	98
2016-07-27	$7.88	$7.50	54.9%	15.7%	43.5%	17.4%	60.4%	-1.7%	5.8%	926	-53.7K	-276	0.55	102.22	94	52	225	98
2016-07-28	$7.66	$7.50	59.4%	17.0%	44.1%	21.8%	63.6%	5.8%	12.9%	982	-55.2K	-280	0.55	108.55	94	52	225	98
2016-07-29	$7.90	$7.50	72.7%	20.8%	44.6%	34.9%	93.0%	3.7%	0.5%	1.2K	-54.0K	-266	0.55	145.68	94	52	225	98