REI Options History — November 2016

In November 2016, REI traded between $9.50 and $13.36. ATM implied volatility averaged 55.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 12.4% (HV 20d: 67.4%). 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 13 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2016-11-18: Highest Volume — 460 contracts
2016-11-10: Largest IV spike — 77.8% change
2016-11-07: Highest IV Rank — 42.4%
2016-11-02: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.53	$9.50	$13.36	$9.76	$12.80
Max Pain	$7.74	$7.50	$10.00	$10.00	$7.50
ATM IV	55.0%	32.1%	78.2%	59.0%	59.6%
Expected Move	15.1%	9.2%	17.5%	16.9%	17.1%
HV 20d	67.4%	45.2%	81.8%	49.4%	81.8%
HV 60d	53.4%	44.7%	62.0%	49.1%	62.0%
IV Rank	21.2%	0.0%	42.4%	24.1%	25.8%
IV Percentile	30.1%	0.0%	75.4%	39.3%	43.7%
Term Structure	1.0%	-10.6%	17.5%	1.6%	-10.6%
VWIV	55.1%	43.1%	69.9%	59.1%	60.2%
Skew 25d	10.0%	-2.2%	45.4%	8.4%	17.0%
Skew 10d	16.1%	-4.8%	58.3%	-4.8%	23.5%
Call IV 25d	53.0%	38.9%	75.8%	53.7%	39.2%
Put IV 25d	63.0%	47.4%	104.6%	62.1%	56.2%
Bid-Ask Spread %	104.17	88.30	131.87	112.12	107.35
Gamma HHI	0.51	0.34	0.86	0.53	0.69
Net GEX	4.0K	1.3K	6.8K	5.7K	2.0K
Net DEX	-580.1K	-820.4K	-264.1K	-508.8K	-350.1K
Net VEX	-574	-964	-252	-905	-385
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.20	1.26	1.06	0.48
Total Volume	204.81	129	460	192	214
Total OI	767.619	432	947	902	457

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
2016-11-01	$9.76	$10.00	59.0%	16.9%	49.4%	24.1%	59.1%	8.4%	1.6%	5.7K	-508.8K	-905	1.06	112.12	93	99	780	122
2016-11-02	$9.93	$10.00	61.2%	17.5%	48.6%	26.2%	61.2%	12.7%	-6.8%	6.3K	-563.6K	-873	1.06	104.57	93	99	810	122
2016-11-03	$9.51	$7.50	70.3%	16.2%	50.2%	34.9%	55.1%	19.7%	4.6%	6.3K	-517.9K	-907	1.06	90.74	93	99	810	122
2016-11-04	$9.54	$7.50	67.4%	16.7%	50.3%	32.1%	56.8%	3.2%	-1.3%	6.5K	-483.6K	-964	1.06	88.64	93	99	810	122
2016-11-07	$9.50	$7.50	78.2%	16.5%	45.2%	42.4%	56.8%	-2.2%	-0.3%	6.6K	-483.9K	-915	1.04	89.72	69	72	810	122
2016-11-08	$9.90	$7.50	66.4%	17.3%	48.0%	31.2%	57.6%	9.6%	0.2%	6.8K	-549.0K	-836	1.00	97.41	72	72	814	125
2016-11-09	$11.44	$7.50	32.1%	9.2%	71.5%	0.0%	43.1%	45.4%	12.7%	4.4K	-802.5K	-482	1.16	100.89	62	72	822	125
2016-11-10	$11.88	$7.50	57.0%	16.4%	72.3%	23.4%	54.8%	8.1%	-1.9%	4.6K	-820.4K	-767	1.26	88.30	57	72	816	125
2016-11-11	$11.60	$7.50	44.6%	12.8%	71.9%	11.7%	51.5%	16.9%	2.4%	4.4K	-786.1K	-681	1.26	100.13	57	72	801	125
2016-11-14	$11.19	$7.50	45.3%	13.0%	72.7%	12.4%	53.1%	0.5%	17.5%	3.8K	-764.1K	-480	1.26	107.08	57	72	801	125
2016-11-15	$11.84	$7.50	52.3%	15.0%	74.8%	19.0%	52.7%	5.6%	1.5%	4.8K	-814.5K	-584	0.44	105.30	163	72	801	125
2016-11-16	$12.03	$7.50	53.5%	15.3%	74.9%	20.1%	48.8%	0.2%	1.9%	4.4K	-784.6K	-557	0.23	102.78	314	72	755	125
2016-11-17	$12.19	$7.50	54.2%	15.6%	75.0%	20.8%	62.4%	4.7%	-7.0%	3.2K	-638.7K	-478	0.20	110.38	368	72	605	125
2016-11-18	$12.23	$7.50	54.3%	15.6%	74.9%	20.8%	69.9%	6.5%	2.1%	2.9K	-618.4K	-456	0.20	109.67	383	77	582	150
2016-11-21	$13.05	$7.50	46.1%	13.2%	77.4%	13.2%	45.4%	8.5%	2.3%	2.4K	-655.9K	-252	0.30	98.20	174	52	540	105
2016-11-22	$13.25	$7.50	48.7%	14.0%	77.4%	15.6%	50.9%	10.5%	6.0%	2.2K	-668.4K	-266	0.78	103.81	89	69	540	105
2016-11-23	$13.28	$7.50	54.9%	15.7%	70.7%	21.4%	54.6%	9.7%	-6.3%	1.3K	-447.2K	-299	0.88	109.76	78	69	378	122
2016-11-25	$13.36	$7.50	50.4%	14.5%	70.6%	17.2%	52.1%	11.7%	2.8%	1.3K	-361.7K	-275	0.88	111.07	78	69	310	122
2016-11-28	$12.16	$7.50	45.5%	13.1%	79.5%	12.6%	47.1%	0.3%	2.5%	1.6K	-298.6K	-334	0.88	117.78	78	69	310	122
2016-11-29	$11.72	$7.50	53.4%	15.3%	78.3%	20.0%	63.0%	13.0%	-3.7%	1.6K	-264.1K	-368	0.70	131.87	98	69	310	122
2016-11-30	$12.80	$7.50	59.6%	17.1%	81.8%	25.8%	60.2%	17.0%	-10.6%	2.0K	-350.1K	-385	0.48	107.35	145	69	335	122