REI Options History — August 2016

In August 2016, REI traded between $7.60 and $10.52. ATM implied volatility averaged 54.4%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 0.5% (HV 20d: 53.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.49.

Notable Days

2016-08-04: Highest Volume — 650 contracts
2016-08-03: Largest IV spike — 49.3% change
2016-08-09: Highest IV Rank — 41.7%
2016-08-03: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.48	$7.60	$10.52	$7.60	$9.90
Max Pain	$6.09	$5.00	$7.50	$7.50	$7.50
ATM IV	54.4%	43.5%	79.5%	62.2%	54.7%
Expected Move	14.7%	12.5%	22.0%	17.8%	15.7%
HV 20d	53.9%	43.3%	59.6%	43.3%	54.0%
HV 60d	52.9%	50.0%	55.0%	50.7%	53.3%
IV Rank	16.9%	6.2%	41.7%	24.6%	17.2%
IV Percentile	20.5%	1.6%	79.0%	39.3%	19.8%
Term Structure	4.3%	-10.9%	16.2%	0.4%	-5.1%
VWIV	54.0%	43.3%	93.0%	63.3%	53.0%
Skew 25d	6.4%	-13.1%	34.9%	25.0%	-13.1%
Skew 10d	12.3%	-8.2%	61.9%	41.8%	-8.2%
Call IV 25d	52.5%	37.4%	67.8%	48.3%	57.0%
Put IV 25d	58.9%	43.9%	80.8%	73.3%	43.9%
Bid-Ask Spread %	90.56	40.98	119.09	117.39	103.74
Gamma HHI	0.50	0.41	0.83	0.47	0.44
Net GEX	6.6K	892	7.7K	892	7.4K
Net DEX	-504.2K	-650.2K	-47.2K	-47.2K	-579.2K
Net VEX	-1.1K	-1.3K	-256	-256	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.00	0.89	0.09	0.81
Total Volume	240.043	0	650	636	134
Total OI	845.609	323	898	323	889

Daily Data (23 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
2016-08-01	$7.60	$7.50	62.2%	17.8%	43.3%	24.6%	63.3%	25.0%	0.4%	892	-47.2K	-256	0.09	117.39	584	52	225	98
2016-08-02	$7.78	$7.50	51.3%	14.7%	44.4%	13.9%	63.0%	34.9%	15.0%	5.1K	-275.3K	-1.1K	0.09	40.98	584	52	725	98
2016-08-03	$8.14	$7.50	76.6%	22.0%	48.0%	38.8%	93.0%	-0.7%	-10.9%	5.7K	-314.0K	-1.1K	0.09	58.09	584	52	725	98
2016-08-04	$8.67	$5.00	79.3%	16.7%	51.4%	41.5%	43.3%	11.6%	9.8%	6.0K	-370.0K	-1.1K	0.09	91.32	598	52	725	98
2016-08-05	$9.01	$5.00	51.9%	13.2%	52.6%	14.5%	49.7%	6.1%	3.0%	6.7K	-436.5K	-1.2K	0.09	95.04	598	52	749	98
2016-08-08	$8.99	$5.00	65.3%	13.3%	52.4%	27.7%	55.1%	2.4%	3.7%	6.2K	-472.1K	-1.1K	0.50	73.18	104	52	749	98
2016-08-09	$8.77	$5.00	79.5%	15.4%	49.5%	41.7%	68.3%	-0.4%	-6.7%	5.9K	-413.0K	-1.2K	0.58	103.21	106	62	752	98
2016-08-10	$8.74	$5.00	53.3%	15.3%	45.7%	15.8%	50.2%	11.3%	8.5%	6.4K	-409.9K	-1.2K	0.59	83.00	105	62	754	98
2016-08-11	$9.70	$5.00	49.5%	14.2%	56.9%	12.0%	50.5%	12.5%	1.8%	7.7K	-524.8K	-1.1K	0.57	107.95	109	62	757	98
2016-08-12	$9.47	$5.00	53.1%	15.2%	58.1%	15.6%	54.3%	3.8%	0.9%	7.1K	-518.5K	-1.2K	0.58	108.55	107	62	776	98
2016-08-15	$9.66	$5.00	49.5%	14.2%	58.2%	12.1%	53.8%	8.0%	14.0%	6.1K	-532.4K	-1.3K	0.65	119.09	95	62	778	98
2016-08-16	$9.94	$5.00	52.7%	15.1%	56.0%	15.3%	55.3%	6.8%	8.4%	7.6K	-574.7K	-1.2K	0.68	86.94	97	66	790	98
2016-08-17	$9.92	$5.00	44.6%	12.8%	56.0%	7.3%	0.0%	10.7%	12.7%	7.4K	-570.1K	-1.3K	0.00	112.68	0	0	800	78
2016-08-18	$10.52	$5.00	50.1%	14.4%	57.8%	12.7%	0.0%	6.6%	16.2%	7.5K	-650.2K	-1.2K	0.00	101.69	5	0	800	78
2016-08-19	$10.24	$5.00	48.9%	14.0%	59.6%	11.6%	47.1%	-1.7%	10.2%	7.2K	-648.5K	-1.1K	0.68	67.46	97	66	800	98
2016-08-22	$10.12	$5.00	43.5%	12.5%	58.4%	6.2%	44.4%	8.2%	7.7%	7.7K	-620.3K	-1.1K	0.72	96.24	92	66	795	78
2016-08-23	$10.08	$7.50	44.9%	12.9%	58.7%	7.5%	45.9%	0.9%	-0.8%	7.5K	-594.0K	-1.1K	0.72	52.39	92	66	795	98
2016-08-24	$10.06	$7.50	52.0%	14.9%	58.7%	14.6%	0.0%	7.2%	-1.8%	7.3K	-595.0K	-1.1K	0.00	102.56	2	0	795	98
2016-08-25	$10.12	$7.50	44.0%	12.6%	56.7%	6.7%	44.1%	16.4%	3.6%	7.2K	-596.8K	-1.2K	0.89	97.21	74	66	795	98
2016-08-26	$10.16	$7.50	52.6%	15.1%	56.5%	15.2%	52.6%	-2.0%	-6.6%	7.1K	-609.8K	-1.1K	0.81	99.68	74	60	797	98
2016-08-29	$10.26	$7.50	47.8%	13.7%	53.2%	10.5%	48.3%	-2.9%	5.4%	7.3K	-641.2K	-1.0K	0.81	61.53	74	60	797	92
2016-08-30	$10.13	$7.50	44.1%	12.6%	54.0%	6.8%	45.3%	-5.2%	9.0%	7.4K	-602.5K	-1.1K	0.81	102.92	74	60	797	92
2016-08-31	$9.90	$7.50	54.7%	15.7%	54.0%	17.2%	53.0%	-13.1%	-5.1%	7.4K	-579.2K	-1.1K	0.81	103.74	74	60	797	92