REI Options History — September 2018

In September 2018, REI traded between $9.89 and $11.61. ATM implied volatility averaged 52.5%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 6.6% (HV 20d: 45.9%). 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 17 of 19 days. Put/call ratio averaged 0.37.

Notable Days

2018-09-04: Highest Volume — 1,935 contracts
2018-09-06: Largest IV spike — 27.0% change
2018-09-11: Highest IV Rank — 42.8%
2018-09-11: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.95	$9.89	$11.61	$11.37	$9.90
Max Pain	$11.84	$10.00	$12.50	$12.50	$10.00
ATM IV	52.5%	46.1%	58.7%	54.2%	49.7%
Expected Move	14.8%	13.2%	15.7%	15.5%	14.3%
HV 20d	45.9%	42.2%	48.3%	42.6%	45.1%
HV 60d	41.0%	39.1%	42.7%	39.2%	41.5%
IV Rank	33.2%	23.4%	42.8%	35.9%	29.0%
IV Percentile	62.3%	31.7%	88.1%	73.8%	47.2%
Term Structure	1.6%	-4.0%	4.9%	-4.0%	4.3%
VWIV	51.6%	48.4%	58.6%	58.6%	49.7%
Skew 25d	3.6%	-8.7%	10.7%	5.6%	4.6%
Skew 10d	8.4%	-14.4%	17.5%	17.5%	7.1%
Call IV 25d	48.2%	40.1%	54.5%	53.9%	40.1%
Put IV 25d	51.8%	44.4%	59.5%	59.5%	44.7%
Bid-Ask Spread %	18.53	10.41	50.24	44.83	12.42
Gamma HHI	0.35	0.32	0.38	0.35	0.35
Net GEX	73.8K	46.7K	101.1K	84.0K	49.7K
Net DEX	-1.6M	-2.4M	-918.9K	-1.6M	-924.8K
Net VEX	-15.4K	-18.7K	-11.5K	-15.5K	-11.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.11	0.61	0.37	0.14
Total Volume	1,129.263	710	1,935	1,935	905
Total OI	12,380.368	10,871	13,020	11,099	12,362

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
2018-09-04	$11.37	$12.50	54.2%	15.5%	42.6%	35.9%	58.6%	5.6%	-4.0%	84.0K	-1.6M	-15.5K	0.37	44.83	1,414	521	10,376	723
2018-09-05	$11.33	$12.50	46.1%	13.2%	42.3%	23.4%	55.6%	7.0%	1.6%	86.2K	-1.9M	-18.1K	0.61	50.24	877	535	11,147	1,067
2018-09-06	$10.76	$12.50	58.5%	15.6%	44.5%	42.5%	52.9%	-0.7%	0.6%	65.6K	-1.3M	-15.0K	0.31	15.81	922	286	11,225	1,082
2018-09-07	$10.37	$12.50	58.2%	15.5%	42.2%	42.0%	51.3%	-3.3%	1.0%	55.1K	-1.0M	-13.7K	0.38	16.23	752	284	11,415	1,077
2018-09-10	$10.92	$12.50	54.3%	15.3%	45.6%	36.0%	52.0%	0.5%	1.9%	71.3K	-1.5M	-15.8K	0.48	13.75	1,068	510	11,522	1,077
2018-09-11	$11.18	$12.50	58.7%	15.7%	45.4%	42.8%	52.2%	5.0%	2.7%	81.0K	-1.9M	-16.9K	0.45	10.41	691	311	11,890	925
2018-09-12	$11.51	$12.50	50.6%	14.5%	46.4%	30.4%	50.3%	10.7%	2.0%	101.1K	-2.4M	-18.7K	0.39	15.20	712	279	11,899	931
2018-09-13	$11.25	$10.00	53.6%	15.4%	46.7%	34.9%	51.1%	8.2%	1.1%	90.5K	-2.1M	-18.0K	0.40	17.03	712	287	11,926	1,029
2018-09-14	$11.35	$10.00	48.7%	14.0%	46.2%	27.4%	48.6%	5.1%	1.7%	87.3K	-2.0M	-17.0K	0.40	16.62	705	285	11,876	1,039
2018-09-17	$11.25	$10.00	52.7%	15.1%	46.1%	33.6%	52.3%	2.9%	1.3%	83.0K	-2.0M	-16.5K	0.41	18.90	705	287	11,877	1,039
2018-09-18	$11.44	$10.00	48.3%	13.8%	46.5%	26.8%	50.8%	7.5%	2.4%	89.9K	-2.0M	-17.0K	0.41	15.07	715	294	11,877	1,039
2018-09-19	$11.61	$12.50	46.7%	13.4%	46.9%	24.4%	49.9%	9.2%	4.9%	91.5K	-2.2M	-17.9K	0.61	16.96	738	451	11,866	1,047
2018-09-20	$11.22	$12.50	54.0%	15.5%	47.3%	35.6%	49.1%	6.3%	0.3%	78.6K	-1.8M	-16.4K	0.55	18.57	835	458	11,844	1,176
2018-09-21	$11.03	$12.50	53.3%	15.3%	47.2%	34.5%	48.4%	5.4%	-0.1%	66.5K	-1.5M	-14.0K	0.49	13.60	856	420	11,735	1,139
2018-09-24	$11.08	$12.50	53.2%	15.3%	47.0%	34.3%	51.8%	2.1%	1.8%	69.2K	-1.6M	-14.2K	0.26	16.58	668	175	10,246	625
2018-09-25	$10.47	$12.50	54.0%	15.5%	47.6%	35.5%	52.7%	-2.3%	0.4%	54.4K	-1.2M	-12.8K	0.17	13.56	1,066	177	10,316	727
2018-09-26	$10.12	$12.50	50.7%	14.5%	48.3%	30.4%	52.1%	-8.7%	3.8%	49.8K	-949.7K	-12.1K	0.11	13.96	762	83	11,091	731
2018-09-27	$9.89	$12.50	51.2%	14.7%	47.9%	31.2%	51.2%	3.6%	2.9%	46.7K	-918.9K	-11.6K	0.18	12.31	603	107	11,519	745
2018-09-28	$9.90	$10.00	49.7%	14.3%	45.1%	29.0%	49.7%	4.6%	4.3%	49.7K	-924.8K	-11.5K	0.14	12.42	797	108	11,587	775