REI Options History — December 2020

In December 2020, REI traded between $0.63 and $0.81. ATM implied volatility averaged 165.2%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 49.3%. IV traded above realized volatility by 93.4% (HV 20d: 71.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.94.

Notable Days

  • 2020-12-11: Highest Volume — 575 contracts
  • 2020-12-11: Largest IV spike — 29.2% change
  • 2020-12-24: Highest IV Rank — 57.8%
  • 2020-12-24: Largest Expected Move — 54.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.72$0.63$0.81$0.63$0.66
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV165.2%136.2%190.4%158.0%138.7%
Expected Move49.3%39.0%54.6%47.9%54.6%
HV 20d71.7%62.0%85.3%83.7%63.1%
HV 60d80.4%77.7%82.6%81.8%79.5%
IV Rank47.8%36.4%57.8%45.0%37.3%
IV Percentile71.8%44.8%91.7%68.3%44.8%
Term Structure-11.3%-64.2%56.8%-30.8%-44.3%
VWIV184.5%173.2%198.3%189.8%188.3%
Bid-Ask Spread %46.783.8580.4214.003.85
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX28.5K16.5K40.0K16.5K30.6K
Net VEX-3-4-2-2-3
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.940.0028.001.258.20
Total Volume190.182205753692
Total OI2,893.7272,3383,9092,3772,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$0.63$2.50158.0%0.0%83.7%45.0%0.0%0.0%0.0%016.5K-21.2514.0016202,115262
2020-12-02$0.65$2.50162.7%0.0%83.0%46.8%0.0%0.0%0.0%017.0K-20.4057.061562,111262
2020-12-03$0.67$2.50166.9%47.9%83.0%48.5%189.8%0.0%-30.8%017.6K-228.0071.632562,110262
2020-12-04$0.72$2.50160.1%45.9%85.3%45.8%182.0%0.0%56.8%022.8K-20.0914.19225202,112316
2020-12-07$0.74$2.50173.2%49.7%85.0%51.0%173.2%0.0%19.2%023.5K-30.3974.422621012,222317
2020-12-08$0.74$2.50170.3%48.8%74.0%49.8%198.3%0.0%-55.0%028.3K-30.2772.7288242,419383
2020-12-09$0.77$2.50161.9%46.4%69.8%46.5%184.0%0.0%49.9%027.6K-30.0371.07510162,489359
2020-12-10$0.81$2.50136.2%39.0%70.7%36.4%0.0%0.0%53.4%030.4K-30.8680.42114982,927375
2020-12-11$0.81$2.50176.0%50.5%65.1%52.1%176.0%0.0%0.0%028.1K-30.1671.15494812,995347
2020-12-14$0.79$2.50178.6%51.2%66.8%53.1%0.0%0.0%8.8%030.0K-40.0071.152003,452380
2020-12-15$0.73$2.50189.4%54.3%75.4%57.4%188.3%0.0%6.8%027.7K-40.2172.8375163,455380
2020-12-16$0.73$2.50161.8%46.4%74.6%46.5%0.0%0.0%-48.5%028.5K-42.1078.6720423,506390
2020-12-17$0.73$2.50164.6%47.2%73.3%47.6%0.0%0.0%0.0%029.8K-40.0079.8018803,501408
2020-12-18$0.73$2.50167.5%48.0%68.1%48.7%0.0%0.0%-29.8%029.8K-40.2576.1664163,452408
2020-12-21$0.71$2.50181.0%51.9%69.4%54.1%0.0%0.0%-64.2%027.3K-22.668.851473911,953385
2020-12-22$0.70$2.50186.7%53.5%66.5%56.3%0.0%0.0%-39.8%040.0K-32.648.8514371,985571
2020-12-23$0.73$2.50184.8%53.0%66.2%55.6%0.0%0.0%-41.3%033.3K-23.1076.7320621,986456
2020-12-24$0.72$2.50190.4%54.6%63.3%57.8%0.0%0.0%-44.3%033.6K-20.138.994051,990467
2020-12-28$0.68$2.50137.8%0.0%66.4%37.0%0.0%0.0%0.0%031.6K-23.245.03943052,005465
2020-12-29$0.64$2.50148.4%0.0%62.0%41.2%0.0%0.0%0.0%038.7K-38.716.27312702,019605
2020-12-30$0.67$2.50139.0%0.0%63.7%37.5%0.0%0.0%0.0%035.0K-32.005.2629582,033523
2020-12-31$0.66$2.50138.7%0.0%63.1%37.3%0.0%0.0%0.0%030.6K-38.203.8510822,041463