REI Options History — September 2016

In September 2016, REI traded between $9.44 and $10.98. ATM implied volatility averaged 54.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 8.9% (HV 20d: 45.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2016-09-16: Highest Volume — 225 contracts
2016-09-12: Largest IV spike — 72.2% change
2016-09-12: Highest IV Rank — 53.7%
2016-09-13: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.26	$9.44	$10.98	$10.00	$10.98
Max Pain	$9.58	$7.50	$10.00	$7.50	$10.00
ATM IV	54.4%	33.7%	91.7%	53.6%	52.7%
Expected Move	14.5%	9.6%	17.6%	15.4%	15.1%
HV 20d	45.5%	39.7%	52.3%	50.2%	47.6%
HV 60d	51.3%	49.1%	53.7%	53.3%	49.1%
IV Rank	18.6%	0.0%	53.7%	16.2%	18.1%
IV Percentile	23.1%	0.0%	89.7%	18.3%	20.2%
Term Structure	5.4%	-11.7%	19.3%	-10.1%	5.9%
VWIV	51.7%	46.9%	59.9%	53.5%	53.1%
Skew 25d	2.8%	-22.3%	18.9%	13.3%	1.2%
Skew 10d	6.4%	-21.7%	31.9%	21.4%	1.7%
Call IV 25d	49.7%	38.5%	71.5%	39.2%	51.7%
Put IV 25d	52.5%	37.5%	67.1%	52.5%	52.9%
Bid-Ask Spread %	93.50	66.54	118.50	102.07	97.14
Gamma HHI	0.44	0.36	0.60	0.43	0.36
Net GEX	6.6K	5.5K	9.5K	7.4K	5.5K
Net DEX	-603.4K	-718.2K	-464.1K	-556.6K	-702.1K
Net VEX	-953	-1.2K	-756	-1.2K	-756
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.46	1.24	0.80	1.10
Total Volume	142.524	94	225	135	103
Total OI	859.762	786	918	889	836

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
2016-09-01	$10.00	$7.50	53.6%	15.4%	50.2%	16.2%	53.5%	13.3%	-10.1%	7.4K	-556.6K	-1.2K	0.80	102.07	75	60	797	92
2016-09-02	$10.38	$7.50	48.0%	13.8%	50.1%	10.7%	48.5%	0.5%	-1.4%	7.6K	-634.8K	-1.1K	0.80	118.50	75	60	800	92
2016-09-06	$10.29	$0.00	49.5%	14.9%	50.3%	12.1%	0.0%	-11.9%	4.0%	9.5K	-644.0K	-967	0.75	88.34	80	60	800	92
2016-09-07	$10.32	$0.00	64.1%	14.5%	49.0%	26.5%	0.0%	9.3%	7.5%	7.3K	-645.2K	-921	0.75	79.55	80	60	790	92
2016-09-08	$10.98	$0.00	71.7%	11.8%	52.3%	34.0%	0.0%	-0.5%	15.8%	6.7K	-718.2K	-800	0.81	111.78	74	60	790	112
2016-09-09	$10.71	$0.00	53.3%	14.2%	40.7%	15.8%	0.0%	-0.6%	5.4%	5.9K	-703.4K	-860	0.87	97.94	69	60	788	112
2016-09-12	$10.60	$0.00	91.7%	17.5%	39.7%	53.7%	0.0%	2.3%	2.7%	6.3K	-667.2K	-982	0.85	102.99	71	60	791	112
2016-09-13	$10.50	$0.00	67.7%	17.6%	39.7%	30.0%	0.0%	17.2%	-1.7%	6.8K	-645.3K	-1.0K	0.85	109.94	71	60	787	112
2016-09-14	$9.85	$0.00	50.1%	14.4%	45.3%	12.7%	0.0%	-5.2%	5.4%	6.7K	-546.9K	-1.0K	1.13	105.05	71	80	787	112
2016-09-15	$9.53	$0.00	33.7%	9.6%	46.8%	0.0%	0.0%	-2.3%	17.3%	7.5K	-516.3K	-915	1.13	74.69	87	98	787	100
2016-09-16	$9.44	$0.00	45.1%	12.9%	40.9%	10.9%	47.5%	-11.8%	9.9%	5.6K	-464.1K	-1.0K	0.77	72.58	127	98	800	118
2016-09-19	$9.73	$10.00	49.6%	14.2%	42.0%	15.2%	49.7%	0.1%	10.1%	6.3K	-534.1K	-952	0.46	68.95	114	52	744	42
2016-09-20	$9.72	$10.00	49.8%	14.3%	41.8%	15.3%	49.8%	0.7%	10.5%	6.1K	-519.7K	-963	0.46	66.82	114	52	744	62
2016-09-21	$10.05	$10.00	59.9%	17.2%	43.7%	25.0%	59.9%	10.2%	-2.3%	6.1K	-534.4K	-1.1K	0.46	66.54	114	52	758	62
2016-09-22	$10.26	$10.00	59.5%	17.1%	44.3%	24.6%	59.5%	11.9%	-11.7%	5.9K	-569.1K	-1.0K	0.51	82.69	101	52	758	62
2016-09-23	$10.17	$10.00	51.3%	14.7%	44.4%	16.8%	51.3%	18.9%	5.4%	6.0K	-581.6K	-969	0.55	101.73	95	52	759	62
2016-09-26	$10.40	$10.00	51.1%	14.7%	45.0%	16.6%	49.5%	3.0%	4.2%	6.1K	-601.5K	-951	0.64	115.30	81	52	763	62
2016-09-27	$10.16	$10.00	46.9%	13.5%	45.7%	12.7%	46.9%	7.0%	5.8%	6.1K	-586.8K	-900	0.64	93.14	81	52	763	62
2016-09-28	$10.62	$10.00	48.7%	14.0%	48.1%	14.3%	54.6%	16.9%	19.3%	6.7K	-628.7K	-834	1.18	108.63	44	52	763	62
2016-09-29	$10.82	$10.00	44.5%	12.8%	47.5%	10.3%	48.8%	-22.3%	11.0%	5.7K	-670.7K	-839	1.24	99.08	42	52	766	62
2016-09-30	$10.98	$10.00	52.7%	15.1%	47.6%	18.1%	53.1%	1.2%	5.9%	5.5K	-702.1K	-756	1.10	97.14	49	54	774	62