REI Options History — October 2016

In October 2016, REI traded between $9.28 and $11.68. ATM implied volatility averaged 55.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 12.0% (HV 20d: 43.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.

Notable Days

2016-10-20: Highest Volume — 360 contracts
2016-10-11: Largest IV spike — 82.3% change
2016-10-11: Highest IV Rank — 46.1%
2016-10-26: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.82	$9.28	$11.68	$11.31	$9.28
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	55.6%	44.9%	82.0%	54.0%	58.6%
Expected Move	15.6%	12.9%	17.6%	15.5%	16.8%
HV 20d	43.6%	39.5%	48.5%	47.0%	44.9%
HV 60d	48.2%	46.9%	49.5%	49.2%	48.0%
IV Rank	20.9%	10.7%	46.1%	19.4%	23.7%
IV Percentile	28.7%	4.4%	80.6%	25.4%	37.7%
Term Structure	2.5%	-11.1%	13.9%	9.7%	-6.6%
VWIV	51.6%	40.5%	61.6%	56.8%	57.3%
Skew 25d	4.2%	-11.6%	14.3%	10.1%	-6.3%
Skew 10d	12.7%	-9.4%	61.8%	27.1%	31.4%
Call IV 25d	56.6%	44.2%	79.0%	53.5%	60.7%
Put IV 25d	60.8%	36.1%	72.7%	63.6%	54.4%
Bid-Ask Spread %	104.77	92.19	115.77	112.83	109.92
Gamma HHI	0.43	0.34	0.58	0.42	0.54
Net GEX	7.2K	4.8K	14.9K	6.4K	6.0K
Net DEX	-693.7K	-833.4K	-466.4K	-735.7K	-466.4K
Net VEX	-771	-1.2K	-454	-715	-861
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.13	1.19	1.10	1.19
Total Volume	269.81	87	360	103	182
Total OI	990.238	797	1,114	848	872

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
2016-10-03	$11.31	$10.00	54.0%	15.5%	47.0%	19.4%	56.8%	10.1%	9.7%	6.4K	-735.7K	-715	1.10	112.83	49	54	784	64
2016-10-04	$11.06	$10.00	44.9%	12.9%	47.7%	10.7%	40.5%	-8.3%	3.3%	5.2K	-702.1K	-934	0.18	113.02	294	54	784	84
2016-10-05	$11.37	$10.00	53.0%	15.2%	48.5%	18.5%	51.8%	14.3%	11.7%	12.3K	-761.1K	-1.2K	0.14	114.08	294	41	1,030	84
2016-10-06	$11.18	$10.00	61.2%	15.3%	44.0%	26.2%	44.9%	11.0%	11.5%	9.7K	-739.0K	-958	0.14	101.94	294	41	1,030	84
2016-10-07	$11.09	$10.00	52.8%	16.8%	43.1%	18.2%	58.5%	2.4%	-4.3%	9.2K	-723.2K	-924	0.14	94.02	294	41	1,030	84
2016-10-10	$11.68	$10.00	45.0%	15.7%	46.3%	10.8%	51.7%	14.0%	-1.2%	14.9K	-833.4K	-974	0.14	96.95	292	41	1,030	84
2016-10-11	$11.32	$10.00	82.0%	13.6%	47.8%	46.1%	50.9%	10.3%	5.4%	10.7K	-827.7K	-1.0K	0.14	108.58	292	41	1,029	84
2016-10-12	$11.05	$10.00	57.8%	16.6%	42.1%	23.0%	51.7%	7.7%	4.6%	6.7K	-744.7K	-611	0.14	112.43	292	41	978	84
2016-10-13	$10.89	$10.00	60.8%	17.4%	40.3%	25.8%	61.6%	-11.6%	-11.1%	5.6K	-715.9K	-657	0.14	103.32	292	41	978	84
2016-10-14	$11.30	$10.00	47.4%	13.6%	41.2%	13.1%	47.4%	2.8%	1.0%	10.2K	-725.1K	-910	0.14	108.84	292	41	978	84
2016-10-17	$11.05	$10.00	56.7%	16.2%	41.8%	21.9%	50.0%	-1.7%	-2.1%	6.1K	-747.1K	-454	0.14	107.88	289	41	977	84
2016-10-18	$10.83	$10.00	55.2%	15.8%	42.8%	20.5%	46.9%	7.7%	13.9%	6.6K	-686.3K	-689	0.14	100.33	289	41	975	84
2016-10-19	$10.88	$10.00	54.5%	15.6%	41.5%	19.9%	45.5%	13.5%	3.9%	5.1K	-713.3K	-546	0.13	97.48	315	41	975	84
2016-10-20	$10.89	$10.00	52.0%	14.9%	41.1%	17.5%	45.0%	8.5%	12.0%	5.6K	-728.5K	-577	0.13	103.63	319	41	992	84
2016-10-21	$10.84	$10.00	54.3%	15.6%	40.9%	19.6%	53.3%	2.1%	4.6%	5.3K	-710.0K	-728	0.13	92.19	314	41	987	84
2016-10-24	$10.72	$10.00	47.5%	13.6%	40.6%	13.2%	45.4%	-2.6%	6.2%	5.3K	-662.9K	-594	0.32	101.18	66	21	753	44
2016-10-25	$10.76	$10.00	57.5%	16.5%	39.5%	22.7%	52.8%	13.8%	4.9%	4.8K	-678.4K	-548	0.71	115.77	69	49	753	44
2016-10-26	$9.99	$10.00	61.3%	17.6%	45.0%	26.3%	61.3%	-5.7%	-4.8%	5.8K	-564.2K	-793	1.00	102.54	69	69	758	72
2016-10-27	$10.00	$10.00	58.8%	16.8%	44.3%	23.9%	58.8%	9.8%	-4.3%	5.2K	-558.4K	-777	1.01	102.61	68	69	758	92
2016-10-28	$9.75	$10.00	52.6%	15.1%	44.4%	18.0%	51.4%	-2.6%	-5.4%	5.1K	-543.6K	-714	0.83	100.68	83	69	760	92
2016-10-31	$9.28	$10.00	58.6%	16.8%	44.9%	23.7%	57.3%	-6.3%	-6.6%	6.0K	-466.4K	-861	1.19	109.92	83	99	780	92