REI Options History — January 2017

In January 2017, REI traded between $12.74 and $13.85. ATM implied volatility averaged 49.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 6.7% (HV 20d: 42.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2017-01-20: Highest Volume — 262 contracts
2017-01-05: Largest IV drop — 27.5% change
2017-01-10: Highest IV Rank — 16.3%
2017-01-12: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.31	$12.74	$13.85	$13.00	$13.14
Max Pain	$11.13	$10.00	$12.50	$12.50	$12.50
ATM IV	49.5%	38.7%	60.5%	55.7%	48.2%
Expected Move	14.3%	11.1%	16.3%	16.0%	13.8%
HV 20d	42.8%	35.5%	53.2%	53.2%	38.4%
HV 60d	62.7%	60.4%	63.9%	63.3%	60.4%
IV Rank	9.9%	3.8%	16.3%	13.5%	9.2%
IV Percentile	21.1%	0.8%	49.6%	36.1%	16.7%
Term Structure	4.3%	-9.0%	12.9%	4.3%	4.1%
VWIV	49.4%	40.6%	55.3%	51.7%	51.7%
Skew 25d	6.5%	-9.4%	34.7%	12.0%	2.1%
Skew 10d	22.0%	-9.8%	97.9%	26.1%	5.1%
Call IV 25d	49.5%	38.1%	57.5%	49.8%	45.2%
Put IV 25d	56.1%	37.4%	82.0%	61.7%	47.3%
Bid-Ask Spread %	107.50	97.37	114.04	110.70	112.04
Gamma HHI	0.56	0.43	0.68	0.46	0.68
Net GEX	14.6K	11.9K	18.0K	13.3K	18.0K
Net DEX	-905.2K	-987.7K	-756.5K	-836.6K	-839.5K
Net VEX	-1.7K	-2.2K	-1.3K	-2.2K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.24	0.56	0.24	0.45
Total Volume	213.4	135	262	241	146
Total OI	1,215.8	1,048	1,312	1,283	1,061

Daily Data (20 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
2017-01-03	$13.00	$12.50	55.7%	16.0%	53.2%	13.5%	51.7%	12.0%	4.3%	13.3K	-836.6K	-2.2K	0.24	110.70	194	47	1,095	188
2017-01-04	$13.52	$12.50	56.2%	16.1%	48.5%	13.8%	51.6%	17.7%	12.9%	16.6K	-949.0K	-2.0K	0.34	112.74	194	66	1,095	188
2017-01-05	$13.25	$10.00	40.7%	16.3%	44.3%	4.9%	50.5%	2.2%	1.7%	11.9K	-898.0K	-2.1K	0.34	97.37	194	66	1,095	207
2017-01-06	$13.02	$10.00	50.3%	13.8%	44.3%	10.4%	52.3%	-4.2%	6.2%	13.4K	-822.6K	-2.1K	0.34	104.42	194	66	1,095	207
2017-01-09	$12.74	$10.00	55.7%	15.8%	44.3%	13.5%	51.9%	2.7%	2.6%	12.7K	-756.5K	-2.1K	0.39	101.90	171	66	1,095	207
2017-01-10	$13.60	$10.00	60.5%	15.1%	49.2%	16.3%	50.1%	0.9%	0.3%	14.8K	-987.7K	-1.9K	0.39	101.96	170	66	1,097	207
2017-01-11	$13.48	$10.00	54.8%	15.7%	49.4%	13.0%	53.7%	4.8%	1.9%	13.3K	-955.7K	-1.9K	0.44	99.37	170	75	1,096	207
2017-01-12	$13.16	$10.00	57.0%	16.3%	49.4%	14.2%	52.8%	1.6%	3.7%	13.9K	-942.0K	-1.8K	0.44	107.30	170	75	1,096	216
2017-01-13	$13.28	$10.00	53.2%	15.2%	44.4%	12.0%	51.5%	2.6%	0.9%	13.1K	-914.0K	-1.9K	0.44	107.13	170	75	1,096	216
2017-01-17	$13.38	$10.00	56.3%	16.1%	44.3%	13.9%	55.3%	2.8%	2.8%	12.4K	-945.4K	-1.7K	0.44	106.41	172	75	1,086	216
2017-01-18	$13.23	$10.00	53.6%	15.4%	44.4%	12.3%	54.0%	3.2%	-1.2%	12.7K	-946.8K	-1.6K	0.43	101.06	176	75	1,085	216
2017-01-19	$13.27	$10.00	40.6%	11.7%	43.8%	4.9%	45.2%	-9.4%	9.3%	14.8K	-933.8K	-1.6K	0.43	108.61	176	75	1,092	216
2017-01-20	$13.17	$10.00	42.2%	12.1%	36.5%	5.8%	45.2%	1.6%	4.8%	17.8K	-973.3K	-1.5K	0.49	112.46	176	86	1,092	216
2017-01-23	$13.14	$12.50	47.5%	13.6%	35.5%	8.8%	40.6%	34.7%	6.1%	16.5K	-822.9K	-1.6K	0.53	111.55	88	47	935	116
2017-01-24	$13.61	$12.50	47.4%	13.6%	36.5%	8.8%	48.8%	8.2%	6.5%	14.3K	-910.3K	-1.5K	0.56	111.32	93	52	940	117
2017-01-25	$13.85	$12.50	38.7%	11.1%	36.8%	3.8%	45.3%	18.3%	-9.0%	15.5K	-960.6K	-1.3K	0.50	110.70	103	52	925	123
2017-01-26	$13.64	$12.50	43.3%	12.4%	37.1%	6.4%	40.7%	-6.8%	6.8%	15.1K	-970.3K	-1.3K	0.50	114.04	103	52	935	123
2017-01-27	$13.58	$12.50	41.7%	12.0%	37.1%	5.5%	44.7%	6.2%	12.1%	15.1K	-915.2K	-1.4K	0.45	107.74	101	45	935	123
2017-01-30	$13.10	$12.50	45.8%	13.1%	39.1%	7.8%	49.3%	29.8%	9.0%	16.9K	-824.2K	-1.5K	0.45	111.16	101	45	938	123
2017-01-31	$13.14	$12.50	48.2%	13.8%	38.4%	9.2%	51.7%	2.1%	4.1%	18.0K	-839.5K	-1.4K	0.45	112.04	101	45	938	123