REI Options History — April 2017

In April 2017, REI traded between $10.71 and $12.54. ATM implied volatility averaged 52.9%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 13.8% (HV 20d: 66.7%). 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 1 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2017-04-03: Highest Volume — 383 contracts
2017-04-04: Largest IV spike — 47.5% change
2017-04-25: Highest IV Rank — 17.3%
2017-04-25: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.89	$10.71	$12.54	$10.71	$12.07
Max Pain	$10.13	$10.00	$12.50	$10.00	$10.00
ATM IV	52.9%	42.0%	62.4%	42.0%	59.0%
Expected Move	15.7%	12.1%	17.9%	12.1%	16.9%
HV 20d	66.7%	60.3%	71.6%	69.7%	60.3%
HV 60d	56.7%	53.0%	58.3%	53.0%	58.1%
IV Rank	11.9%	5.7%	17.3%	5.7%	15.4%
IV Percentile	44.7%	6.3%	78.2%	6.3%	69.4%
Term Structure	-5.5%	-14.2%	8.1%	-4.2%	-12.7%
VWIV	51.1%	41.8%	61.8%	44.6%	59.7%
Skew 25d	10.6%	-12.4%	32.6%	-8.8%	25.8%
Skew 10d	25.9%	-1.4%	47.7%	21.5%	47.7%
Call IV 25d	48.8%	38.8%	68.7%	42.7%	52.2%
Put IV 25d	59.4%	33.9%	82.8%	33.9%	77.9%
Bid-Ask Spread %	99.34	70.28	113.65	113.65	103.49
Gamma HHI	0.42	0.36	0.50	0.50	0.37
Net GEX	16.7K	8.9K	21.5K	8.9K	16.6K
Net DEX	-1.0M	-1.2M	-570.7K	-570.7K	-1.0M
Net VEX	-3.2K	-3.3K	-2.7K	-2.7K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.15	0.36	0.20	0.29
Total Volume	248.526	173	383	383	215
Total OI	1,790.368	1,546	2,019	1,546	1,764

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
2017-04-03	$10.71	$10.00	42.0%	12.1%	69.7%	5.7%	44.6%	-8.8%	-4.2%	8.9K	-570.7K	-2.7K	0.20	113.65	319	64	1,296	250
2017-04-04	$11.18	$10.00	62.0%	17.8%	71.6%	17.1%	52.5%	14.1%	-11.6%	14.1K	-720.1K	-3.2K	0.32	70.28	201	64	1,439	253
2017-04-05	$10.87	$10.00	47.4%	13.6%	63.3%	8.7%	61.8%	-9.2%	-14.2%	13.9K	-740.7K	-3.1K	0.32	102.62	199	64	1,464	253
2017-04-06	$11.92	$10.00	46.8%	15.3%	68.9%	8.4%	48.1%	13.0%	-0.8%	16.9K	-1.0M	-3.3K	0.22	100.36	192	42	1,499	253
2017-04-07	$12.30	$10.00	51.3%	16.4%	67.4%	11.0%	45.0%	28.0%	-7.9%	18.7K	-1.1M	-3.3K	0.21	98.15	188	40	1,519	263
2017-04-10	$12.03	$10.00	45.8%	16.6%	68.0%	7.8%	54.5%	-12.4%	-2.3%	18.8K	-1.1M	-3.3K	0.25	96.18	158	40	1,525	271
2017-04-11	$12.41	$10.00	46.0%	16.4%	68.4%	7.9%	55.9%	3.8%	-0.5%	21.5K	-1.1M	-3.3K	0.28	92.17	141	40	1,538	271
2017-04-12	$12.02	$10.00	50.9%	14.6%	67.8%	10.7%	41.8%	18.7%	-4.2%	19.7K	-1.1M	-3.1K	0.29	103.20	136	40	1,545	271
2017-04-13	$11.80	$10.00	56.6%	16.2%	68.3%	14.0%	47.2%	12.0%	-0.7%	18.7K	-1.0M	-3.3K	0.36	96.32	127	46	1,556	271
2017-04-17	$11.83	$12.50	50.8%	14.6%	66.7%	10.7%	42.1%	27.0%	-4.4%	17.5K	-1.1M	-3.0K	0.36	105.63	127	46	1,556	287
2017-04-18	$12.35	$10.00	55.3%	15.8%	68.0%	13.2%	45.2%	2.5%	-7.8%	21.5K	-1.2M	-3.1K	0.15	102.61	253	38	1,586	287
2017-04-19	$11.74	$10.00	59.1%	17.0%	69.3%	15.4%	49.3%	-11.5%	-7.5%	18.4K	-1.0M	-3.2K	0.16	101.82	253	40	1,659	295
2017-04-20	$11.66	$10.00	55.4%	15.9%	68.1%	13.3%	49.0%	11.6%	-2.7%	13.5K	-922.5K	-3.1K	0.17	99.50	282	49	1,659	305
2017-04-21	$11.98	$10.00	45.9%	13.2%	65.6%	7.9%	48.6%	16.7%	8.1%	13.9K	-946.7K	-3.3K	0.21	106.45	238	49	1,694	325
2017-04-24	$12.09	$10.00	51.1%	14.7%	65.5%	10.9%	50.3%	1.1%	-0.9%	14.0K	-974.5K	-3.2K	0.18	93.82	271	48	1,458	186
2017-04-25	$12.27	$10.00	62.4%	17.9%	65.4%	17.3%	58.3%	24.4%	-8.3%	16.3K	-1.0M	-3.3K	0.20	89.09	236	48	1,545	189
2017-04-26	$12.54	$10.00	59.7%	17.1%	61.6%	15.8%	57.9%	12.5%	-12.8%	17.4K	-1.1M	-3.2K	0.28	105.40	171	48	1,550	189
2017-04-27	$12.19	$10.00	57.6%	16.5%	63.0%	14.6%	59.6%	32.6%	-9.4%	16.4K	-1.0M	-3.2K	0.30	106.65	161	48	1,557	189
2017-04-28	$12.07	$10.00	59.0%	16.9%	60.3%	15.4%	59.7%	25.8%	-12.7%	16.6K	-1.0M	-3.3K	0.29	103.49	167	48	1,575	189