REI Options History — February 2017

In February 2017, REI traded between $11.98 and $13.80. ATM implied volatility averaged 49.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 10.4% (HV 20d: 38.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2017-02-17: Highest Volume — 857 contracts
2017-02-07: Largest IV spike — 29.5% change
2017-02-24: Highest IV Rank — 15.1%
2017-02-24: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.78	$11.98	$13.80	$13.29	$12.42
Max Pain	$10.13	$10.00	$12.50	$12.50	$10.00
ATM IV	49.0%	40.1%	58.5%	50.1%	54.6%
Expected Move	14.2%	12.5%	16.8%	14.4%	15.7%
HV 20d	38.5%	32.3%	45.4%	38.5%	43.8%
HV 60d	52.8%	45.0%	60.3%	59.6%	45.0%
IV Rank	9.7%	4.6%	15.1%	10.3%	12.9%
IV Percentile	23.0%	1.2%	56.0%	23.0%	45.2%
Term Structure	0.3%	-15.2%	8.2%	4.8%	-6.9%
VWIV	49.9%	44.9%	55.6%	53.5%	52.7%
Skew 25d	-1.1%	-24.3%	13.5%	1.7%	13.5%
Skew 10d	1.2%	-22.8%	22.5%	2.4%	21.5%
Call IV 25d	53.2%	44.8%	67.9%	50.8%	45.7%
Put IV 25d	52.1%	33.2%	74.7%	52.5%	59.2%
Bid-Ask Spread %	101.09	90.55	111.54	111.18	107.74
Gamma HHI	0.60	0.50	0.73	0.67	0.57
Net GEX	21.1K	12.2K	30.4K	14.5K	28.8K
Net DEX	-1.0M	-1.3M	-716.0K	-901.2K	-1.2M
Net VEX	-2.2K	-3.3K	-1.2K	-1.3K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.12	0.86	0.45	0.43
Total Volume	383.737	146	857	146	228
Total OI	1,440.263	1,061	1,856	1,061	1,856

Daily Data (19 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
2017-02-01	$13.29	$12.50	50.1%	14.4%	38.5%	10.3%	53.5%	1.7%	4.8%	14.5K	-901.2K	-1.3K	0.45	111.18	101	45	938	123
2017-02-02	$13.14	$10.00	40.1%	12.5%	36.0%	4.6%	44.9%	4.4%	5.0%	17.6K	-884.2K	-1.3K	0.46	99.84	101	46	938	123
2017-02-03	$13.80	$10.00	47.6%	14.8%	39.4%	8.8%	51.4%	-2.9%	-7.6%	12.2K	-896.8K	-1.5K	0.71	90.55	101	72	938	124
2017-02-06	$13.45	$10.00	41.8%	13.7%	40.1%	5.5%	47.2%	-24.3%	7.9%	15.9K	-954.1K	-1.2K	0.86	105.87	101	87	938	160
2017-02-07	$13.13	$10.00	54.1%	14.7%	40.2%	12.6%	51.7%	3.5%	0.4%	15.9K	-814.0K	-1.3K	0.83	94.07	101	84	938	181
2017-02-08	$12.89	$10.00	49.3%	14.1%	33.0%	9.8%	49.0%	-4.3%	0.5%	16.3K	-781.5K	-1.4K	0.72	97.09	117	84	938	188
2017-02-09	$13.07	$10.00	46.5%	13.3%	33.4%	8.3%	48.5%	6.8%	8.0%	17.3K	-808.8K	-1.3K	0.63	98.21	133	84	938	188
2017-02-10	$13.08	$10.00	44.5%	12.8%	32.3%	7.1%	45.3%	6.1%	8.2%	17.2K	-865.1K	-1.2K	0.63	101.75	134	84	938	188
2017-02-13	$12.75	$10.00	54.1%	15.5%	33.3%	12.6%	55.6%	-13.2%	-2.3%	14.9K	-716.0K	-1.4K	0.12	96.01	634	78	939	188
2017-02-14	$12.91	$10.00	46.2%	13.2%	33.5%	8.0%	51.5%	-4.9%	3.6%	23.6K	-1.3M	-2.7K	0.12	96.08	634	78	1,439	189
2017-02-15	$12.96	$10.00	45.6%	13.1%	33.4%	7.7%	46.4%	-7.9%	4.2%	21.4K	-1.3M	-2.5K	0.12	96.45	634	78	1,439	185
2017-02-16	$12.25	$10.00	48.0%	13.8%	38.7%	9.1%	48.6%	3.7%	3.3%	23.2K	-1.1M	-2.7K	0.17	100.99	635	110	1,439	185
2017-02-17	$12.23	$10.00	47.0%	13.5%	38.6%	8.5%	46.8%	-10.0%	7.4%	25.9K	-1.1M	-2.7K	0.15	96.01	747	110	1,440	217
2017-02-21	$12.71	$10.00	51.9%	14.9%	41.5%	11.3%	53.2%	9.8%	-1.3%	27.6K	-1.3M	-3.0K	0.18	91.25	692	125	1,552	161
2017-02-22	$11.98	$10.00	50.1%	14.4%	43.8%	10.3%	48.9%	-5.9%	-14.0%	25.3K	-1.1M	-3.3K	0.67	105.54	186	125	1,624	201
2017-02-23	$12.19	$10.00	50.1%	14.4%	43.8%	10.3%	50.0%	-2.4%	2.0%	27.8K	-1.1M	-3.3K	0.58	109.31	168	98	1,637	201
2017-02-24	$12.14	$10.00	58.5%	16.8%	43.7%	15.1%	52.5%	-2.5%	-15.2%	25.3K	-1.1M	-3.3K	0.43	111.54	159	69	1,637	201
2017-02-27	$12.50	$10.00	50.6%	14.5%	45.4%	10.6%	49.6%	8.3%	-3.2%	30.4K	-1.2M	-3.1K	0.43	111.21	159	69	1,644	212
2017-02-28	$12.42	$10.00	54.6%	15.7%	43.8%	12.9%	52.7%	13.5%	-6.9%	28.8K	-1.2M	-3.1K	0.43	107.74	159	69	1,644	212