REI Options History — December 2019

In December 2019, REI traded between $1.80 and $2.74. ATM implied volatility averaged 84.0%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 0.3% (HV 20d: 83.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2019-12-18: Highest Volume — 442 contracts
2019-12-05: Largest IV spike — 46.2% change
2019-12-05: Highest IV Rank — 43.8%
2019-12-16: Largest Expected Move — 29.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.34	$1.80	$2.74	$1.85	$2.65
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	84.0%	64.9%	116.7%	92.5%	72.8%
Expected Move	24.1%	20.0%	29.5%	26.5%	20.9%
HV 20d	83.7%	62.9%	117.5%	117.5%	71.8%
HV 60d	107.0%	102.7%	116.5%	116.5%	103.4%
IV Rank	25.4%	14.7%	43.8%	30.1%	19.1%
IV Percentile	56.5%	23.4%	86.5%	68.3%	40.5%
Term Structure	18.6%	-12.0%	53.8%	40.2%	4.8%
VWIV	85.9%	67.9%	105.2%	70.2%	84.7%
Bid-Ask Spread %	49.45	20.85	90.44	48.42	69.85
Gamma HHI	0.71	0.56	0.90	0.62	0.60
Net GEX	5.1K	1.3K	14.1K	1.4K	3.8K
Net DEX	-181.2K	-388.5K	-28.0K	-28.0K	-243.3K
Net VEX	-1.1K	-1.4K	-751	-751	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	4.57	0.00	0.34
Total Volume	167.381	28	442	158	63
Total OI	6,142.286	2,981	7,647	7,022	3,480

Daily Data (21 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
2019-12-02	$1.85	$2.50	92.5%	26.5%	117.5%	30.1%	0.0%	0.0%	40.2%	1.4K	-28.0K	-751	0.00	48.42	158	0	6,472	550
2019-12-03	$1.80	$2.50	72.8%	20.9%	116.9%	19.1%	0.0%	0.0%	32.8%	1.3K	-34.7K	-768	0.00	48.58	36	0	6,510	550
2019-12-04	$1.95	$2.50	79.8%	22.9%	115.5%	23.0%	0.0%	0.0%	53.8%	1.6K	-58.2K	-861	0.04	55.14	147	6	6,519	550
2019-12-05	$1.94	$2.50	116.7%	20.0%	110.9%	43.8%	70.2%	0.0%	49.3%	1.7K	-47.7K	-830	0.16	88.86	133	21	6,547	544
2019-12-06	$2.02	$2.50	72.6%	21.7%	81.2%	19.0%	0.0%	0.0%	50.5%	2.1K	-60.9K	-887	0.43	90.44	61	26	6,659	544
2019-12-09	$2.06	$2.50	64.9%	26.1%	81.5%	14.7%	92.2%	0.0%	21.4%	2.2K	-67.2K	-920	0.03	36.56	59	2	6,697	564
2019-12-10	$2.21	$2.50	84.7%	28.6%	84.5%	25.8%	99.8%	0.0%	5.7%	5.2K	-154.2K	-1.1K	0.23	37.29	43	10	6,665	564
2019-12-11	$2.26	$2.50	82.2%	23.6%	84.2%	24.4%	67.9%	0.0%	43.2%	6.5K	-129.5K	-1.1K	0.01	68.68	154	1	6,668	564
2019-12-12	$2.41	$2.50	97.3%	27.9%	86.7%	32.8%	0.0%	0.0%	12.8%	7.5K	-250.7K	-1.3K	0.01	40.61	338	5	6,798	565
2019-12-13	$2.27	$2.50	92.7%	26.6%	87.1%	30.3%	0.0%	0.0%	11.3%	7.6K	-154.0K	-1.1K	0.03	34.32	141	4	6,853	561
2019-12-16	$2.36	$2.50	102.9%	29.5%	83.6%	36.0%	102.9%	0.0%	4.9%	7.9K	-230.8K	-1.1K	1.41	20.85	81	114	6,841	538
2019-12-17	$2.48	$2.50	86.6%	24.8%	68.5%	26.8%	86.6%	0.0%	10.4%	11.7K	-262.2K	-1.2K	0.31	29.58	156	48	6,830	612
2019-12-18	$2.60	$2.50	79.8%	22.9%	68.4%	23.0%	79.7%	0.0%	12.9%	14.1K	-380.1K	-1.2K	0.73	34.40	255	187	6,822	628
2019-12-19	$2.61	$2.50	95.0%	27.2%	62.9%	31.6%	95.0%	0.0%	0.9%	13.0K	-388.5K	-1.3K	0.11	51.68	196	22	6,917	730
2019-12-20	$2.49	$2.50	77.0%	22.1%	66.4%	21.5%	77.0%	0.0%	17.4%	3.4K	-183.5K	-1.2K	0.12	38.08	342	41	6,756	746
2019-12-23	$2.74	$2.50	82.6%	23.7%	71.7%	24.6%	0.0%	0.0%	9.8%	3.7K	-266.9K	-1.3K	0.00	45.27	130	0	2,458	523
2019-12-24	$2.64	$2.50	82.3%	23.6%	73.8%	24.4%	82.2%	0.0%	1.8%	3.6K	-249.8K	-1.3K	4.57	32.14	46	210	2,563	523
2019-12-26	$2.66	$2.50	78.8%	22.6%	73.6%	22.5%	79.1%	0.0%	10.2%	3.3K	-220.2K	-1.3K	0.00	43.07	28	0	2,593	733
2019-12-27	$2.54	$2.50	80.7%	23.1%	76.5%	23.5%	105.2%	0.0%	-12.0%	3.1K	-204.3K	-1.4K	0.04	59.06	121	5	2,595	736
2019-12-30	$2.54	$2.50	70.3%	20.1%	75.3%	17.7%	79.9%	0.0%	8.5%	3.4K	-191.1K	-1.2K	0.51	65.50	83	42	2,679	741
2019-12-31	$2.65	$2.50	72.8%	20.9%	71.8%	19.1%	84.7%	0.0%	4.8%	3.8K	-243.3K	-1.4K	0.34	69.85	47	16	2,697	783