REI Options History — September 2017

In September 2017, REI traded between $12.07 and $14.48. ATM implied volatility averaged 44.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 1.1% (HV 20d: 43.3%). 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 19 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2017-09-01: Highest Volume — 726 contracts
2017-09-20: Largest IV spike — 19.3% change
2017-09-07: Highest IV Rank — 13.5%
2017-09-07: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.04	$12.07	$14.48	$12.17	$14.48
Max Pain	$12.38	$10.00	$12.50	$10.00	$12.50
ATM IV	44.4%	37.0%	55.7%	45.0%	39.1%
Expected Move	12.4%	10.6%	13.8%	12.9%	11.2%
HV 20d	43.3%	37.7%	49.4%	37.7%	42.4%
HV 60d	40.6%	38.1%	43.4%	42.2%	40.0%
IV Rank	7.0%	2.8%	13.5%	7.4%	4.0%
IV Percentile	20.8%	1.2%	71.4%	16.3%	2.8%
Term Structure	4.3%	-3.4%	8.9%	2.3%	6.3%
VWIV	44.0%	37.6%	55.2%	55.2%	37.6%
Skew 25d	6.6%	-3.3%	15.6%	-3.3%	-0.8%
Skew 10d	12.4%	-5.1%	45.8%	-5.1%	7.3%
Call IV 25d	36.5%	29.1%	47.2%	45.7%	35.5%
Put IV 25d	43.0%	34.7%	56.8%	42.3%	34.7%
Bid-Ask Spread %	59.06	30.80	107.06	64.42	45.22
Gamma HHI	0.51	0.34	0.62	0.34	0.61
Net GEX	22.0K	15.6K	28.5K	23.9K	24.3K
Net DEX	-979.5K	-1.6M	-469.3K	-991.3K	-952.2K
Net VEX	-2.5K	-2.9K	-2.1K	-2.2K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.06	1.05	0.06	0.70
Total Volume	324.7	127	726	726	158
Total OI	1,770	1,088	2,331	2,085	1,358

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
2017-09-01	$12.17	$10.00	45.0%	12.9%	37.7%	7.4%	55.2%	-3.3%	2.3%	23.9K	-991.3K	-2.2K	0.06	64.42	683	43	1,830	255
2017-09-05	$12.07	$12.50	52.5%	13.4%	37.7%	11.7%	46.9%	12.9%	2.3%	24.6K	-1.0M	-2.3K	0.21	30.80	433	93	1,909	265
2017-09-06	$12.68	$12.50	52.0%	13.7%	41.1%	11.4%	47.6%	6.2%	1.8%	22.5K	-1.3M	-2.4K	0.57	35.43	165	94	1,904	315
2017-09-07	$12.89	$12.50	55.7%	13.8%	41.5%	13.5%	48.2%	5.4%	6.6%	21.9K	-1.4M	-2.4K	0.57	90.32	165	94	1,936	299
2017-09-08	$12.33	$12.50	46.4%	13.4%	43.4%	8.2%	46.8%	2.5%	1.2%	25.6K	-1.2M	-2.4K	0.55	43.50	170	94	1,936	299
2017-09-11	$12.10	$12.50	46.3%	13.4%	43.1%	8.1%	46.8%	-1.5%	1.5%	28.5K	-1.1M	-2.1K	0.64	57.38	168	108	1,977	299
2017-09-12	$12.28	$12.50	49.1%	12.0%	43.7%	9.7%	42.0%	1.7%	6.1%	27.1K	-1.1M	-2.2K	0.23	85.21	404	91	1,977	319
2017-09-13	$13.05	$12.50	41.4%	11.9%	49.4%	5.3%	41.4%	9.5%	5.1%	15.6K	-1.6M	-2.2K	0.43	73.49	214	93	2,004	316
2017-09-14	$13.25	$12.50	45.6%	13.1%	48.0%	7.7%	45.6%	9.6%	2.5%	24.0K	-1.6M	-2.3K	0.59	42.58	164	97	2,004	316
2017-09-15	$12.95	$12.50	41.6%	11.9%	46.3%	5.5%	41.7%	8.3%	5.1%	16.0K	-1.6M	-2.2K	0.93	71.24	165	154	2,005	326
2017-09-18	$13.14	$12.50	40.4%	11.6%	45.8%	4.7%	41.3%	15.6%	5.6%	15.8K	-469.3K	-2.2K	0.44	73.46	234	104	884	204
2017-09-19	$12.92	$12.50	39.8%	11.4%	46.0%	4.4%	39.9%	9.3%	8.9%	18.9K	-539.1K	-2.8K	0.32	47.35	234	74	1,090	197
2017-09-20	$13.08	$12.50	47.4%	13.6%	46.1%	8.8%	47.5%	11.0%	-3.4%	19.9K	-557.8K	-2.8K	0.30	68.24	237	72	1,090	197
2017-09-21	$13.03	$12.50	42.5%	12.2%	41.4%	6.0%	42.5%	11.8%	4.6%	19.6K	-562.0K	-2.8K	0.30	59.19	237	72	1,095	205
2017-09-22	$12.90	$12.50	41.4%	11.9%	41.4%	5.3%	41.4%	8.5%	4.6%	19.4K	-529.0K	-2.7K	0.28	48.13	237	67	1,095	205
2017-09-25	$13.52	$12.50	42.8%	12.3%	44.3%	6.1%	39.3%	2.0%	7.1%	21.4K	-698.8K	-2.5K	0.25	107.06	264	67	1,095	208
2017-09-26	$13.52	$12.50	44.0%	12.6%	41.3%	6.8%	43.5%	2.9%	4.0%	22.3K	-694.4K	-2.8K	0.28	42.71	240	67	1,122	208
2017-09-27	$14.11	$12.50	37.8%	10.8%	43.2%	3.3%	44.5%	11.2%	6.8%	23.6K	-809.3K	-2.9K	0.31	62.25	237	74	1,123	206
2017-09-28	$14.27	$12.50	37.0%	10.6%	42.4%	2.8%	40.9%	9.0%	7.5%	24.2K	-855.9K	-2.9K	1.05	33.10	62	65	1,121	206
2017-09-29	$14.48	$12.50	39.1%	11.2%	42.4%	4.0%	37.6%	-0.8%	6.3%	24.3K	-952.2K	-2.9K	0.70	45.22	93	65	1,151	207