REI Options History — December 2021

In December 2021, REI traded between $2.13 and $2.49. ATM implied volatility averaged 90.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 16.6% (HV 20d: 74.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-12-10: Highest Volume — 2,473 contracts
  • 2021-12-07: Largest IV drop — 27.5% change
  • 2021-12-03: Highest IV Rank — 37.0%
  • 2021-12-03: Largest Expected Move — 37.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.31$2.13$2.49$2.29$2.31
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV90.9%66.6%131.9%125.8%70.3%
Expected Move25.5%19.1%37.8%36.1%20.2%
HV 20d74.4%55.5%85.8%82.3%55.8%
HV 60d74.9%66.2%77.7%76.3%66.2%
IV Rank24.0%16.4%37.0%35.1%17.5%
IV Percentile26.9%1.6%72.2%69.4%2.4%
Term Structure0.6%-52.1%18.3%-24.3%9.3%
VWIV85.7%58.1%130.3%130.3%58.1%
Skew 25d-11.0%-50.9%14.3%-50.9%-12.3%
Skew 10d17.7%-29.5%86.9%9.0%77.3%
Call IV 25d88.7%47.3%133.9%133.9%66.4%
Put IV 25d77.8%51.1%129.0%83.0%54.0%
Bid-Ask Spread %48.1615.3873.8321.1061.04
Gamma HHI0.210.170.260.250.23
Net GEX28.5K16.1K48.5K48.5K32.4K
Net DEX-872.1K-1.4M-49.7K-1.1M-1.0M
Net VEX-9.9K-13.0K-7.9K-13.0K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.210.860.500.79
Total Volume1,381.0456392,4731,320639
Total OI75,383.45529,027108,341104,91732,015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$2.29$2.50125.8%36.1%82.3%35.1%130.3%-50.9%-24.3%48.5K-1.1M-13.0K0.5021.1087844295,9758,942
2021-12-02$2.30$2.50114.1%32.7%82.1%31.4%95.0%-24.8%-14.7%34.8K-827.8K-12.3K0.6916.9989261296,1738,972
2021-12-03$2.25$2.50131.9%37.8%82.0%37.0%111.3%1.1%-52.1%35.4K-805.2K-11.8K0.7524.9481861396,4178,802
2021-12-06$2.29$2.50125.4%29.1%81.1%35.0%100.3%-12.8%4.1%34.1K-837.9K-11.6K0.2164.831,93541496,4748,811
2021-12-07$2.44$2.5090.9%27.1%85.8%24.0%93.3%1.8%5.7%31.2K-1.2M-12.2K0.4072.771,65165897,3258,805
2021-12-08$2.48$2.5087.8%27.1%85.3%23.1%96.8%-14.2%3.6%30.3K-1.3M-12.3K0.6173.831,14269297,6028,880
2021-12-09$2.35$2.5094.0%25.6%77.3%25.0%90.4%-18.6%1.0%26.2K-855.8K-10.6K0.7964.7886968897,7108,997
2021-12-10$2.38$2.5086.9%24.8%78.2%22.8%84.5%-13.9%18.3%23.4K-815.2K-10.6K0.3933.531,77769697,8009,011
2021-12-13$2.23$2.5099.4%23.7%75.0%26.7%87.8%-9.0%8.1%20.6K-480.1K-10.1K0.5872.5285249598,6679,105
2021-12-14$2.17$2.5088.8%22.8%74.1%23.4%81.5%-19.8%8.7%16.1K-49.7K-8.4K0.6769.6288959998,8739,082
2021-12-15$2.17$2.5091.6%26.3%74.3%24.3%90.5%-13.6%2.4%18.0K-191.3K-8.9K0.8623.4464155499,2399,102
2021-12-16$2.14$2.5083.5%23.9%73.3%21.7%88.9%-18.3%10.1%22.8K-403.2K-8.2K0.7218.0568749499,4117,085
2021-12-17$2.17$2.5086.7%24.8%74.0%22.7%86.7%-19.4%8.6%20.8K-707.8K-8.2K0.7227.3075454699,5876,621
2021-12-20$2.13$2.5089.5%25.7%72.4%23.6%77.9%10.9%-3.0%20.2K-736.5K-7.9K0.8150.5247238326,5032,524
2021-12-21$2.26$2.5082.6%23.7%76.1%21.4%81.1%8.3%0.6%22.5K-843.5K-8.3K0.4954.6476937426,6192,635
2021-12-22$2.36$2.5072.5%20.8%77.7%18.2%69.6%-28.5%0.9%26.2K-930.4K-8.7K0.3962.3299938927,0162,630
2021-12-23$2.40$2.5069.1%19.8%76.7%17.1%66.9%1.4%6.6%29.1K-1.0M-9.0K0.5168.2474838327,4772,646
2021-12-27$2.49$2.5066.6%19.1%70.2%16.4%65.7%14.3%9.5%32.5K-1.2M-9.3K0.2464.191,38532727,6412,654
2021-12-28$2.42$2.5083.7%24.0%70.6%21.8%76.0%-29.6%-0.6%34.7K-1.4M-10.0K0.7415.3842231228,6582,699
2021-12-29$2.41$2.5079.7%22.8%55.5%20.5%75.2%8.6%1.4%33.9K-1.2M-9.3K0.6329.7645128328,7602,730
2021-12-30$2.31$2.5079.2%22.7%55.9%20.3%77.1%-1.9%8.5%33.3K-1.2M-9.0K0.5969.6647628329,0292,732
2021-12-31$2.31$2.5070.3%20.2%55.8%17.5%58.1%-12.3%9.3%32.4K-1.0M-8.7K0.7961.0435628329,2842,731