REI Options History — March 2017

In March 2017, REI traded between $9.42 and $12.80. ATM implied volatility averaged 58.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 0.3% (HV 20d: 57.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.36.

Notable Days

  • 2017-03-17: Highest Volume — 513 contracts
  • 2017-03-14: Largest IV spike — 252.3% change
  • 2017-03-14: Highest IV Rank — 64.7%
  • 2017-03-15: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.64$9.42$12.80$12.80$10.96
Max Pain$10.43$10.00$12.50$10.00$10.00
ATM IV58.1%35.0%145.3%53.7%47.4%
Expected Move13.5%10.0%15.4%15.4%13.6%
HV 20d57.8%45.3%69.8%45.3%69.8%
HV 60d47.7%43.9%53.0%45.3%53.0%
IV Rank14.9%1.7%64.7%12.3%8.8%
IV Percentile36.0%0.8%99.6%41.7%20.2%
Term Structure2.8%-22.3%15.9%3.1%15.9%
VWIV46.8%37.4%55.5%51.5%48.4%
Skew 25d10.4%-7.3%51.4%7.1%-0.4%
Skew 10d22.4%-11.3%80.3%10.5%50.1%
Call IV 25d47.3%33.8%62.3%48.6%57.1%
Put IV 25d57.7%42.5%96.8%55.7%56.8%
Bid-Ask Spread %100.9660.72112.7099.2095.07
Gamma HHI0.550.430.910.560.48
Net GEX14.3K5.1K45.0K29.7K7.4K
Net DEX-610.3K-1.3M-271.0K-1.3M-564.6K
Net VEX-2.7K-3.2K-2.3K-3.0K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.090.600.350.16
Total Volume315.957204513268424
Total OI1,699.9571,1972,2891,8561,244

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$12.80$10.0053.7%15.4%45.3%12.3%51.5%7.1%3.1%29.7K-1.3M-3.0K0.3599.20199691,644212
2017-03-02$12.27$10.0053.5%15.3%47.3%12.2%51.8%9.0%-22.3%24.5K-1.2M-3.2K0.44101.13160701,694212
2017-03-03$11.65$10.0052.6%15.1%50.2%11.7%50.5%14.1%-11.0%27.0K-1.1M-3.1K0.44103.40160701,705224
2017-03-06$11.86$12.5062.4%13.2%46.8%17.3%45.9%5.9%3.5%25.6K-1.1M-3.0K0.60101.07130781,705224
2017-03-07$11.71$12.5065.9%11.9%46.4%19.3%44.2%14.0%10.0%25.8K-1.0M-3.0K0.60105.27131781,715234
2017-03-08$10.63$12.5064.0%14.7%56.1%18.3%46.2%-2.7%-7.0%14.8K-588.5K-2.4K0.32103.25155491,715234
2017-03-09$10.20$12.5079.7%13.4%57.1%27.2%48.3%-7.3%6.1%15.7K-450.6K-2.5K0.3092.50235711,759235
2017-03-10$9.84$10.00136.1%15.2%56.9%59.4%51.6%13.8%2.6%16.7K-535.1K-2.8K0.44102.042991321,833237
2017-03-13$10.13$10.0041.2%14.7%58.7%5.2%53.4%-1.5%4.5%45.0K-475.1K-2.8K0.4798.842991421,960327
2017-03-14$10.17$10.00145.3%15.1%58.8%64.7%51.4%8.0%4.1%15.9K-469.5K-2.8K0.4460.722991321,960327
2017-03-15$10.75$10.0053.7%15.4%62.9%12.3%55.5%3.0%-3.3%7.5K-682.6K-2.7K0.4390.393171371,960329
2017-03-16$10.75$10.0046.2%13.2%62.9%8.1%52.4%-1.2%11.7%7.3K-700.3K-2.6K0.4892.023401621,940331
2017-03-17$10.39$10.0040.2%11.5%61.1%4.6%40.9%-3.1%9.5%5.8K-377.7K-2.6K0.51111.613401731,710355
2017-03-20$10.52$10.0040.6%11.6%61.5%4.9%42.6%25.8%14.1%5.1K-435.0K-2.6K0.5981.86220129991206
2017-03-21$10.13$10.0039.5%11.3%59.9%4.2%38.6%3.5%-0.7%6.6K-446.3K-2.6K0.56111.442211231,031209
2017-03-22$9.83$10.0039.2%11.2%57.7%4.1%39.5%8.3%5.4%7.3K-333.3K-2.5K0.56108.592211231,032199
2017-03-23$9.42$10.0035.0%10.0%57.8%1.7%37.4%10.0%10.3%6.7K-279.5K-2.3K0.09110.99221201,032199
2017-03-24$9.61$10.0040.4%11.6%58.9%4.8%40.2%2.4%9.1%6.6K-271.0K-2.4K0.09108.45221201,032199
2017-03-27$9.85$10.0043.2%12.4%58.5%6.4%42.0%51.4%4.0%6.3K-314.0K-2.4K0.09112.70222201,032199
2017-03-28$10.57$10.0051.5%14.8%65.5%11.1%44.7%37.5%2.4%6.6K-464.7K-2.5K0.09108.36220201,034199
2017-03-29$10.56$10.0051.6%14.8%64.0%11.2%46.3%34.3%-5.2%8.0K-473.0K-2.5K0.10111.52188191,037199
2017-03-30$10.10$10.0053.3%15.3%64.1%12.1%53.0%8.0%-3.0%7.0K-432.4K-2.4K0.10111.58189191,042202
2017-03-31$10.96$10.0047.4%13.6%69.8%8.8%48.4%-0.4%15.9%7.4K-564.6K-2.6K0.1695.07365591,042202