REI Options History — December 2018

In December 2018, REI traded between $4.16 and $7.53. ATM implied volatility averaged 73.0%, placing in the 75.7% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 0.8% (HV 20d: 73.8%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2018-12-31: Highest Volume — 295 contracts
2018-12-11: Largest IV spike — 36.9% change
2018-12-24: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 25.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.68	$4.16	$7.53	$7.53	$5.04
Max Pain	$5.50	$2.50	$7.50	$7.50	$2.50
ATM IV	73.0%	47.5%	87.1%	69.5%	78.2%
Expected Move	21.1%	17.0%	25.0%	19.9%	22.4%
HV 20d	73.8%	47.7%	103.1%	47.7%	103.1%
HV 60d	77.4%	71.9%	85.2%	72.8%	76.1%
IV Rank	75.7%	30.1%	100.0%	69.7%	84.0%
IV Percentile	87.9%	26.6%	100.0%	88.5%	93.3%
Term Structure	-2.1%	-10.9%	3.3%	-6.0%	-1.6%
VWIV	71.3%	36.9%	88.3%	69.5%	77.9%
Skew 25d	21.3%	-8.0%	40.9%	28.5%	31.4%
Skew 10d	36.9%	-8.0%	72.0%	45.9%	60.7%
Call IV 25d	66.2%	43.9%	87.7%	54.3%	79.5%
Put IV 25d	87.5%	51.4%	116.9%	82.8%	110.9%
Bid-Ask Spread %	70.57	19.49	96.69	71.74	45.00
Gamma HHI	0.40	0.32	0.64	0.37	0.35
Net GEX	12.3K	2.5K	35.8K	35.8K	6.1K
Net DEX	-78.6K	-547.6K	163.9K	-547.6K	-154.5K
Net VEX	-2.0K	-4.4K	-782	-4.4K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.01	2.75	2.75	2.47
Total Volume	185.15	15	295	15	295
Total OI	14,016.1	7,293	16,476	16,104	7,554

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
2018-12-03	$7.53	$7.50	69.5%	19.9%	47.7%	69.7%	69.5%	28.5%	-6.0%	35.8K	-547.6K	-4.4K	2.75	71.74	4	11	15,403	701
2018-12-04	$7.13	$7.50	73.5%	21.1%	51.2%	77.0%	73.6%	20.7%	-9.3%	29.4K	-324.4K	-3.8K	1.00	77.90	11	11	15,399	712
2018-12-05	$7.10	$7.50	75.9%	21.8%	51.2%	81.3%	76.0%	23.4%	-10.9%	27.3K	-340.5K	-3.9K	1.00	80.32	11	11	15,399	712
2018-12-06	$6.90	$7.50	69.3%	18.4%	49.6%	69.3%	0.0%	20.4%	-0.6%	25.8K	-169.7K	-3.3K	0.03	67.73	102	3	15,394	712
2018-12-07	$7.21	$7.50	64.1%	17.0%	52.3%	59.9%	36.9%	4.4%	3.3%	32.9K	-405.9K	-3.7K	2.49	62.28	53	132	15,421	603
2018-12-10	$6.49	$7.50	47.5%	18.0%	63.2%	30.1%	62.7%	7.3%	3.1%	17.5K	-56.9K	-2.6K	0.44	81.28	169	74	15,440	600
2018-12-11	$5.98	$7.50	65.1%	20.6%	67.6%	61.8%	42.6%	4.2%	-1.2%	9.6K	33.8K	-2.1K	0.37	81.86	204	76	15,504	670
2018-12-12	$6.28	$7.50	61.7%	17.7%	70.4%	55.6%	61.1%	6.2%	1.9%	14.0K	-15.0K	-2.3K	0.40	83.34	194	77	15,504	675
2018-12-13	$5.71	$7.50	72.5%	20.8%	77.0%	75.2%	0.0%	-8.0%	0.2%	4.8K	163.9K	-1.0K	0.04	79.71	232	10	15,562	673
2018-12-14	$5.48	$7.50	73.8%	21.2%	77.0%	77.5%	73.1%	36.2%	-1.1%	6.0K	103.2K	-1.5K	0.09	76.79	217	20	15,564	674
2018-12-17	$5.16	$2.50	73.9%	21.2%	78.6%	77.7%	73.9%	40.9%	0.3%	4.0K	84.5K	-1.3K	0.40	78.15	145	58	15,599	588
2018-12-18	$5.16	$5.00	73.2%	21.0%	74.6%	76.2%	73.2%	35.5%	-0.2%	5.6K	54.1K	-1.3K	0.17	77.29	225	38	15,740	612
2018-12-19	$4.70	$5.00	75.5%	21.6%	78.9%	80.3%	75.5%	24.5%	-0.1%	3.5K	150.5K	-946	0.27	95.26	145	39	15,820	619
2018-12-20	$4.53	$5.00	80.0%	22.9%	78.7%	88.5%	80.3%	23.3%	-2.4%	3.5K	114.0K	-984	0.38	91.74	105	40	15,884	555
2018-12-21	$4.24	$5.00	80.5%	23.1%	79.8%	89.5%	80.9%	23.6%	-2.7%	2.7K	129.6K	-782	1.05	93.76	110	115	15,921	555
2018-12-24	$4.16	$2.50	87.1%	25.0%	78.9%	100.0%	88.3%	28.7%	-8.1%	2.5K	-14.4K	-792	0.70	25.50	157	110	7,016	277
2018-12-26	$4.72	$2.50	81.7%	23.4%	96.3%	90.3%	81.7%	29.3%	-3.5%	4.1K	-67.5K	-1.1K	0.01	96.69	206	2	7,016	277
2018-12-27	$4.83	$2.50	81.6%	23.4%	97.4%	90.2%	81.6%	23.7%	-2.6%	5.1K	-117.1K	-1.3K	0.01	19.49	205	2	7,200	278
2018-12-28	$5.27	$2.50	75.5%	21.7%	103.0%	79.3%	74.5%	22.3%	-0.3%	6.9K	-191.5K	-1.6K	0.05	25.54	80	4	7,211	278
2018-12-31	$5.04	$2.50	78.2%	22.4%	103.1%	84.0%	77.9%	31.4%	-1.6%	6.1K	-154.5K	-1.4K	2.47	45.00	85	210	7,263	291