REI Options History — July 2017

In July 2017, REI traded between $12.43 and $13.48. ATM implied volatility averaged 53.2%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 7.8% (HV 20d: 45.4%). 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 2 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2017-07-18: Highest Volume — 606 contracts
2017-07-11: Largest IV drop — 32.4% change
2017-07-10: Highest IV Rank — 16.7%
2017-07-13: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.97	$12.43	$13.48	$13.12	$13.12
Max Pain	$11.63	$10.00	$12.50	$12.50	$12.50
ATM IV	53.2%	41.4%	61.3%	45.1%	59.3%
Expected Move	15.2%	12.9%	17.0%	12.9%	17.0%
HV 20d	45.4%	38.3%	54.1%	54.1%	38.3%
HV 60d	45.0%	42.6%	45.8%	45.7%	45.7%
IV Rank	12.1%	5.3%	16.7%	7.5%	15.6%
IV Percentile	56.0%	6.3%	82.1%	16.7%	81.3%
Term Structure	-3.0%	-8.2%	7.7%	7.7%	-8.2%
VWIV	52.3%	42.4%	58.9%	42.4%	58.9%
Skew 25d	6.1%	-15.0%	34.0%	19.2%	34.0%
Skew 10d	14.5%	-17.0%	95.4%	27.9%	95.4%
Call IV 25d	49.5%	32.2%	58.9%	32.2%	58.9%
Put IV 25d	55.7%	43.2%	93.0%	51.4%	93.0%
Bid-Ask Spread %	92.03	81.12	104.45	102.34	95.82
Gamma HHI	0.30	0.27	0.35	0.30	0.29
Net GEX	13.6K	5.7K	18.9K	17.2K	5.7K
Net DEX	-1.1M	-1.3M	-820.2K	-1.3M	-1.0M
Net VEX	-2.8K	-3.0K	-2.5K	-2.9K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.09	0.80	0.15	0.20
Total Volume	400.2	197	606	463	241
Total OI	1,929.5	1,714	2,159	1,871	2,072

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
2017-07-03	$13.12	$12.50	45.1%	12.9%	54.1%	7.5%	42.4%	19.2%	7.7%	17.2K	-1.3M	-2.9K	0.15	102.34	401	62	1,603	268
2017-07-05	$13.00	$12.50	49.4%	14.2%	53.3%	9.9%	48.0%	16.8%	-3.2%	18.7K	-1.3M	-2.9K	0.25	101.53	401	102	1,603	267
2017-07-06	$12.91	$10.00	57.5%	14.7%	50.6%	14.5%	49.3%	6.8%	-3.1%	18.0K	-1.3M	-2.8K	0.26	83.05	388	102	1,603	238
2017-07-07	$12.92	$10.00	46.4%	14.6%	50.1%	8.2%	50.9%	3.9%	-1.3%	18.6K	-1.2M	-2.9K	0.26	81.12	386	102	1,596	238
2017-07-10	$13.21	$10.00	61.3%	14.6%	50.5%	16.7%	51.8%	1.0%	-0.6%	18.7K	-1.3M	-2.7K	0.28	88.05	365	102	1,591	238
2017-07-11	$12.98	$10.00	41.4%	15.1%	50.8%	5.3%	50.4%	8.3%	-1.4%	18.9K	-1.3M	-2.8K	0.20	83.57	464	94	1,605	238
2017-07-12	$12.83	$10.00	51.6%	14.8%	50.8%	11.2%	51.5%	9.5%	-0.8%	17.9K	-1.1M	-2.7K	0.19	85.31	503	94	1,514	240
2017-07-13	$13.22	$10.00	59.5%	17.0%	42.8%	15.6%	57.7%	8.0%	-7.8%	18.1K	-1.2M	-2.5K	0.22	87.14	419	94	1,474	240
2017-07-14	$13.15	$10.00	54.8%	15.7%	40.1%	13.0%	54.8%	-0.2%	-1.9%	17.4K	-1.2M	-2.6K	0.50	90.50	270	134	1,484	240
2017-07-17	$13.48	$12.50	55.6%	15.9%	38.8%	13.4%	55.4%	4.6%	-5.0%	15.0K	-1.3M	-2.5K	0.55	90.71	245	134	1,533	280
2017-07-18	$12.50	$12.50	52.6%	15.1%	47.9%	11.7%	52.6%	-15.0%	-1.6%	18.6K	-948.2K	-2.6K	0.80	82.88	336	270	1,515	278
2017-07-19	$12.83	$12.50	50.0%	14.3%	47.5%	10.2%	49.8%	-4.6%	-1.5%	13.3K	-1.0M	-3.0K	0.28	85.97	335	94	1,616	514
2017-07-20	$12.80	$12.50	53.8%	15.4%	43.1%	12.4%	52.8%	-5.0%	-4.7%	15.0K	-1.0M	-3.0K	0.32	93.51	247	80	1,620	539
2017-07-21	$12.43	$12.50	52.5%	15.1%	45.0%	11.7%	53.6%	-11.3%	-4.1%	7.4K	-820.2K	-2.9K	0.32	87.12	249	80	1,610	537
2017-07-24	$12.60	$12.50	52.9%	15.2%	42.4%	11.9%	52.7%	13.8%	-2.2%	7.2K	-892.6K	-2.9K	0.17	91.62	244	42	1,506	499
2017-07-25	$12.93	$12.50	49.0%	14.1%	43.1%	9.7%	49.0%	19.1%	1.4%	6.1K	-971.5K	-2.9K	0.09	104.45	244	23	1,518	523
2017-07-26	$13.04	$12.50	56.1%	16.1%	42.3%	13.7%	56.3%	3.2%	-7.8%	6.7K	-1.0M	-2.7K	0.13	102.06	174	23	1,518	523
2017-07-27	$13.09	$12.50	58.6%	16.8%	38.6%	15.1%	55.6%	3.5%	-8.1%	6.5K	-1.0M	-2.8K	0.12	100.58	198	23	1,518	523
2017-07-28	$13.24	$12.50	56.3%	16.1%	38.3%	13.8%	52.2%	7.1%	-5.0%	6.7K	-1.1M	-2.7K	0.21	103.21	198	41	1,545	523
2017-07-31	$13.12	$12.50	59.3%	17.0%	38.3%	15.6%	58.9%	34.0%	-8.2%	5.7K	-1.0M	-2.7K	0.20	95.82	200	41	1,545	527