REI Options History — December 2016

In December 2016, REI traded between $11.31 and $13.17. ATM implied volatility averaged 71.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 0.5% (HV 20d: 71.4%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2016-12-07: Highest Volume — 996 contracts
2016-12-07: Largest IV spike — 118.4% change
2016-12-07: Highest IV Rank — 100.0%
2016-12-09: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.36	$11.31	$13.17	$13.07	$12.91
Max Pain	$12.02	$7.50	$12.50	$7.50	$12.50
ATM IV	71.9%	44.1%	207.1%	46.8%	51.7%
Expected Move	15.1%	12.6%	17.4%	13.4%	14.8%
HV 20d	71.4%	53.1%	87.8%	81.9%	53.1%
HV 60d	63.0%	60.9%	64.3%	62.1%	63.4%
IV Rank	24.8%	6.9%	100.0%	13.8%	11.2%
IV Percentile	39.5%	2.4%	100.0%	7.9%	23.0%
Term Structure	5.4%	-8.1%	21.7%	-8.1%	5.2%
VWIV	52.1%	40.0%	61.2%	51.5%	45.2%
Skew 25d	10.1%	-8.3%	48.0%	5.1%	14.7%
Skew 10d	23.1%	-5.9%	100.1%	7.8%	28.2%
Call IV 25d	50.4%	39.7%	65.0%	47.0%	42.4%
Put IV 25d	60.5%	41.5%	89.3%	52.1%	57.1%
Bid-Ask Spread %	106.27	92.58	114.99	107.35	111.97
Gamma HHI	0.57	0.44	0.89	0.89	0.46
Net GEX	10.6K	4.0K	16.2K	5.3K	13.1K
Net DEX	-689.1K	-895.0K	-311.2K	-433.0K	-826.7K
Net VEX	-1.9K	-2.4K	-389	-420	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.06	2.61	0.48	0.24
Total Volume	304.714	151	996	214	241
Total OI	1,171.714	527	1,464	527	1,281

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
2016-12-01	$13.07	$7.50	46.8%	13.4%	81.9%	13.8%	51.5%	5.1%	-8.1%	5.3K	-433.0K	-420	0.48	107.35	145	69	405	122
2016-12-02	$13.00	$7.50	49.4%	14.2%	79.5%	16.3%	49.3%	-4.7%	7.0%	5.7K	-432.6K	-389	0.53	112.14	129	69	405	122
2016-12-05	$12.15	$12.50	53.5%	16.2%	84.7%	20.1%	55.8%	-8.3%	0.4%	5.4K	-355.2K	-446	0.53	101.70	99	52	409	122
2016-12-06	$11.51	$12.50	94.8%	16.8%	87.8%	58.9%	58.7%	6.5%	6.1%	4.0K	-311.2K	-544	0.06	92.58	844	52	439	122
2016-12-07	$11.31	$12.50	207.1%	17.1%	87.5%	100.0%	61.0%	7.4%	2.7%	10.0K	-761.3K	-1.9K	0.18	94.16	844	152	1,209	122
2016-12-08	$11.68	$12.50	121.8%	16.8%	71.6%	51.3%	55.9%	16.8%	1.9%	10.5K	-740.9K	-2.1K	0.55	104.96	275	152	1,209	222
2016-12-09	$11.88	$12.50	118.1%	17.4%	70.6%	49.2%	59.9%	12.2%	-4.2%	12.5K	-778.9K	-2.3K	2.05	101.56	79	162	1,209	222
2016-12-12	$11.84	$12.50	137.4%	15.5%	70.0%	60.1%	52.9%	18.7%	8.5%	12.9K	-813.7K	-2.3K	2.61	98.94	62	162	1,212	232
2016-12-13	$12.25	$12.50	80.0%	16.9%	69.5%	27.4%	59.0%	0.5%	0.4%	16.2K	-895.0K	-2.2K	1.25	105.23	130	162	1,222	242
2016-12-14	$11.60	$12.50	56.0%	16.1%	69.7%	13.7%	55.6%	14.8%	-0.1%	8.8K	-629.7K	-2.2K	0.45	111.19	150	67	1,145	242
2016-12-15	$11.60	$12.50	55.8%	16.0%	69.4%	13.5%	55.0%	15.8%	4.3%	9.3K	-639.6K	-2.2K	0.45	107.18	150	67	1,165	247
2016-12-16	$11.86	$12.50	56.2%	16.1%	69.7%	13.8%	56.2%	9.3%	5.0%	8.8K	-707.1K	-2.3K	0.39	109.27	173	67	1,182	247
2016-12-19	$12.16	$12.50	48.9%	14.0%	70.4%	9.6%	49.0%	-2.8%	9.2%	10.4K	-565.2K	-2.3K	0.33	106.23	147	48	917	188
2016-12-20	$13.04	$12.50	44.1%	12.6%	71.0%	6.9%	49.7%	0.3%	10.0%	11.7K	-759.0K	-2.2K	0.25	98.67	193	48	961	188
2016-12-21	$12.75	$12.50	44.2%	12.7%	71.2%	6.9%	61.2%	-3.6%	21.7%	13.3K	-772.7K	-2.4K	0.25	105.65	193	48	1,073	188
2016-12-22	$13.07	$12.50	51.0%	14.6%	71.8%	10.8%	44.4%	9.6%	7.5%	13.6K	-815.7K	-2.3K	0.25	111.39	193	48	1,073	188
2016-12-23	$12.98	$12.50	47.9%	13.7%	71.8%	9.0%	46.3%	6.0%	8.9%	13.0K	-783.3K	-2.4K	0.26	112.30	183	47	1,073	188
2016-12-27	$12.85	$12.50	49.3%	14.1%	63.1%	9.8%	40.0%	15.1%	9.3%	13.3K	-801.6K	-2.3K	0.26	114.03	183	47	1,083	188
2016-12-28	$12.96	$12.50	48.6%	13.9%	61.3%	9.4%	41.9%	48.0%	6.0%	12.8K	-798.5K	-2.2K	0.26	110.17	183	47	1,083	188
2016-12-29	$13.17	$12.50	47.1%	13.5%	53.1%	8.6%	46.1%	30.5%	12.9%	13.1K	-850.5K	-2.2K	0.25	114.99	190	47	1,083	188
2016-12-30	$12.91	$12.50	51.7%	14.8%	53.1%	11.2%	45.2%	14.7%	5.2%	13.1K	-826.7K	-2.2K	0.24	111.97	194	47	1,093	188