REI Options History — December 2017

In December 2017, REI traded between $12.86 and $14.83. ATM implied volatility averaged 44.2%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 6.1% (HV 20d: 50.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2017-12-06: Highest Volume — 482 contracts
2017-12-18: Largest IV spike — 47.5% change
2017-12-11: Highest IV Rank — 31.9%
2017-12-06: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.85	$12.86	$14.83	$14.46	$13.92
Max Pain	$12.63	$10.00	$15.00	$12.50	$12.50
ATM IV	44.2%	30.8%	69.6%	46.4%	46.6%
Expected Move	12.2%	8.8%	16.4%	13.3%	13.3%
HV 20d	50.4%	45.1%	56.9%	51.0%	46.9%
HV 60d	44.5%	42.8%	46.0%	43.6%	45.6%
IV Rank	9.6%	0.0%	31.9%	7.1%	13.8%
IV Percentile	30.2%	0.0%	95.2%	34.5%	39.3%
Term Structure	8.3%	-2.2%	23.9%	4.2%	-2.2%
VWIV	42.3%	30.2%	50.4%	47.2%	40.7%
Skew 25d	0.2%	-9.5%	9.9%	5.9%	-5.8%
Skew 10d	-1.4%	-13.1%	13.3%	13.3%	-4.0%
Call IV 25d	42.3%	33.2%	51.1%	50.5%	47.2%
Put IV 25d	42.5%	28.7%	56.8%	56.4%	41.4%
Bid-Ask Spread %	63.94	16.57	100.68	100.68	57.71
Gamma HHI	0.49	0.36	0.81	0.68	0.38
Net GEX	15.8K	-791	49.3K	36.7K	12.8K
Net DEX	-704.4K	-1.1M	-383.3K	-938.5K	-589.8K
Net VEX	-2.9K	-3.8K	-1.7K	-2.1K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.09	1.88	0.21	0.51
Total Volume	259.5	113	482	238	250
Total OI	1,649.95	1,282	2,042	1,395	1,652

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
2017-12-01	$14.46	$12.50	46.4%	13.3%	51.0%	7.1%	47.2%	5.9%	4.2%	36.7K	-938.5K	-2.1K	0.21	100.68	196	42	1,223	172
2017-12-04	$14.83	$15.00	37.2%	13.9%	51.1%	1.8%	48.4%	7.9%	2.6%	49.3K	-1.1M	-2.0K	0.35	39.34	120	42	1,243	180
2017-12-05	$14.38	$12.50	49.5%	12.2%	49.6%	8.9%	46.9%	5.7%	11.4%	38.3K	-978.2K	-2.2K	0.31	91.52	211	66	1,284	183
2017-12-06	$13.32	$15.00	50.9%	16.4%	56.9%	9.7%	50.4%	3.6%	-1.1%	16.5K	-561.5K	-1.7K	0.13	54.24	426	56	1,281	205
2017-12-07	$13.44	$10.00	47.8%	14.0%	54.4%	8.0%	47.4%	0.8%	6.2%	20.1K	-794.3K	-2.7K	1.65	39.90	167	276	1,583	210
2017-12-08	$13.37	$12.50	48.7%	13.4%	53.4%	13.2%	46.4%	0.4%	5.0%	10.8K	-651.9K	-3.0K	1.45	53.31	191	276	1,547	450
2017-12-11	$13.54	$12.50	69.6%	12.2%	53.5%	31.9%	48.0%	6.9%	21.2%	11.8K	-719.3K	-3.1K	1.88	45.87	146	275	1,571	450
2017-12-12	$13.07	$12.50	53.5%	10.3%	54.0%	17.5%	39.7%	-3.8%	19.6%	11.0K	-617.2K	-2.8K	0.49	84.16	80	39	1,592	450
2017-12-13	$13.24	$12.50	33.9%	9.7%	53.1%	0.0%	37.5%	-1.7%	23.9%	9.8K	-675.9K	-2.8K	0.43	91.68	91	39	1,587	446
2017-12-14	$13.28	$12.50	32.8%	9.4%	53.0%	0.0%	30.2%	4.7%	21.1%	7.8K	-684.8K	-2.8K	0.32	70.77	123	39	1,594	446
2017-12-15	$12.86	$12.50	30.8%	8.8%	51.2%	0.0%	31.4%	-5.5%	18.9%	-791	-606.6K	-2.7K	0.41	60.59	94	39	1,593	446
2017-12-18	$13.24	$12.50	45.4%	13.0%	51.2%	12.8%	44.7%	1.1%	0.8%	3.6K	-383.3K	-2.7K	0.28	48.52	88	25	922	360
2017-12-19	$13.45	$12.50	46.9%	13.4%	50.3%	14.0%	43.8%	3.3%	6.9%	4.6K	-448.9K	-2.8K	0.19	72.49	145	28	923	366
2017-12-20	$13.94	$12.50	39.6%	11.3%	51.3%	7.6%	41.2%	9.9%	5.9%	10.1K	-568.2K	-3.2K	0.13	40.83	221	28	1,002	369
2017-12-21	$14.48	$12.50	43.6%	12.5%	45.7%	11.2%	40.6%	-2.5%	3.6%	12.5K	-735.2K	-3.8K	0.21	85.60	135	28	1,122	369
2017-12-22	$14.64	$12.50	43.4%	12.4%	45.7%	11.0%	45.3%	-5.5%	2.2%	13.3K	-805.9K	-3.6K	0.09	68.26	297	28	1,107	369
2017-12-26	$14.47	$12.50	36.5%	10.5%	45.1%	5.0%	36.1%	-8.2%	6.3%	17.6K	-763.7K	-3.7K	0.10	86.50	286	28	1,237	369
2017-12-27	$14.53	$12.50	41.4%	11.9%	45.1%	9.3%	39.0%	-3.7%	1.5%	15.2K	-754.6K	-3.5K	0.12	16.57	238	29	1,172	369
2017-12-28	$14.54	$12.50	40.2%	11.5%	45.1%	8.2%	39.9%	-9.5%	7.3%	15.1K	-758.6K	-3.6K	0.39	70.20	218	84	1,185	370
2017-12-29	$13.92	$12.50	46.6%	13.3%	46.9%	13.8%	40.7%	-5.8%	-2.2%	12.8K	-589.8K	-3.7K	0.51	57.71	166	84	1,227	425