REI Options History — February 2018

In February 2018, REI traded between $13.03 and $15.80. ATM implied volatility averaged 56.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 6.3% (HV 20d: 50.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2018-02-23: Highest Volume — 553 contracts
2018-02-07: Largest IV drop — 34.6% change
2018-02-06: Highest IV Rank — 42.2%
2018-02-28: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.75	$13.03	$15.80	$13.52	$13.63
Max Pain	$13.16	$12.50	$15.00	$12.50	$15.00
ATM IV	56.5%	49.4%	79.1%	54.3%	64.8%
Expected Move	15.9%	14.2%	18.6%	15.6%	18.6%
HV 20d	50.3%	44.6%	57.4%	44.9%	54.4%
HV 60d	48.1%	45.5%	50.1%	47.9%	48.8%
IV Rank	22.5%	16.3%	42.2%	20.5%	29.7%
IV Percentile	76.7%	53.6%	98.4%	79.0%	93.7%
Term Structure	-3.5%	-9.3%	8.3%	-3.8%	-9.3%
VWIV	52.2%	39.0%	61.7%	44.9%	61.1%
Skew 25d	13.7%	4.6%	25.1%	12.7%	6.3%
Skew 10d	28.7%	5.3%	51.3%	28.3%	13.8%
Call IV 25d	49.4%	40.9%	60.4%	45.4%	58.0%
Put IV 25d	63.1%	53.5%	74.3%	58.2%	64.3%
Bid-Ask Spread %	58.81	18.29	100.64	62.86	41.33
Gamma HHI	0.50	0.44	0.54	0.49	0.49
Net GEX	32.0K	17.9K	40.7K	21.3K	26.3K
Net DEX	-1.0M	-1.6M	-445.4K	-524.6K	-587.4K
Net VEX	-4.4K	-4.8K	-3.7K	-3.7K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.18	0.81	0.38	0.44
Total Volume	365.684	243	553	351	459
Total OI	2,041.684	1,906	2,249	1,950	2,165

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
2018-02-01	$13.52	$12.50	54.3%	15.6%	44.9%	20.5%	44.9%	12.7%	-3.8%	21.3K	-524.6K	-3.7K	0.38	62.86	255	96	1,623	327
2018-02-02	$13.03	$12.50	54.9%	17.1%	44.6%	21.1%	59.6%	4.6%	-5.8%	17.9K	-445.4K	-3.7K	0.40	82.51	255	103	1,646	332
2018-02-05	$13.21	$12.50	67.3%	18.1%	45.2%	31.9%	53.2%	14.5%	-2.9%	20.4K	-489.8K	-3.7K	0.56	100.64	238	133	1,646	322
2018-02-06	$14.38	$12.50	79.1%	16.8%	55.4%	42.2%	57.5%	25.1%	-1.1%	26.0K	-892.9K	-4.3K	0.45	97.20	220	98	1,654	311
2018-02-07	$15.09	$12.50	51.8%	14.8%	57.1%	18.3%	52.7%	22.1%	-5.9%	33.2K	-1.1M	-4.3K	0.31	95.93	231	72	1,651	311
2018-02-08	$14.85	$12.50	60.8%	17.4%	57.4%	26.2%	59.9%	9.7%	-4.2%	29.3K	-1.0M	-4.4K	0.27	76.62	271	72	1,647	310
2018-02-09	$15.08	$12.50	56.1%	16.1%	53.9%	22.1%	61.7%	20.4%	-1.5%	33.4K	-1.2M	-4.6K	0.21	96.35	257	55	1,705	310
2018-02-12	$14.93	$12.50	53.7%	15.4%	53.1%	20.0%	50.9%	5.1%	8.3%	35.1K	-1.1M	-4.6K	0.25	67.24	220	55	1,761	310
2018-02-13	$15.19	$12.50	51.8%	14.8%	50.4%	18.3%	46.5%	11.6%	-0.7%	38.7K	-1.2M	-4.6K	0.68	39.64	220	150	1,770	310
2018-02-14	$15.68	$12.50	49.8%	14.3%	49.5%	16.6%	40.9%	12.2%	-1.5%	37.6K	-1.4M	-4.6K	0.69	59.22	218	150	1,770	361
2018-02-15	$15.67	$12.50	49.6%	14.2%	48.0%	16.5%	39.0%	13.0%	-1.6%	27.9K	-1.4M	-4.8K	0.71	33.35	211	150	1,788	461
2018-02-16	$15.79	$12.50	49.4%	14.2%	47.9%	16.3%	44.5%	11.5%	-0.5%	39.9K	-1.6M	-4.7K	0.28	58.56	262	73	1,788	461
2018-02-20	$15.80	$12.50	52.5%	15.1%	47.6%	19.0%	48.5%	10.5%	-2.4%	40.7K	-1.4M	-4.7K	0.20	45.05	203	40	1,696	210
2018-02-21	$15.57	$12.50	56.4%	16.2%	47.4%	22.4%	49.6%	14.2%	-7.2%	40.5K	-1.4M	-4.8K	0.18	31.04	253	45	1,744	212
2018-02-22	$14.80	$15.00	55.4%	15.9%	50.9%	21.5%	54.8%	6.6%	-5.3%	35.8K	-1.0M	-4.5K	0.46	32.74	285	130	1,694	227
2018-02-23	$14.62	$15.00	53.5%	15.3%	50.1%	19.8%	52.5%	20.1%	-3.9%	31.0K	-906.5K	-4.5K	0.71	40.95	324	229	1,679	295
2018-02-26	$14.65	$15.00	57.1%	16.4%	49.0%	23.0%	56.3%	17.6%	-9.3%	35.4K	-992.4K	-4.6K	0.81	37.83	284	229	1,770	371
2018-02-27	$14.70	$15.00	56.1%	16.1%	48.5%	22.1%	56.8%	21.4%	-7.3%	36.8K	-1.0M	-4.5K	0.53	18.29	263	139	1,783	371
2018-02-28	$13.63	$15.00	64.8%	18.6%	54.4%	29.7%	61.1%	6.3%	-9.3%	26.3K	-587.4K	-3.9K	0.44	41.33	318	141	1,784	381