REI Options History — December 2022

In December 2022, REI traded between $2.21 and $2.69. ATM implied volatility averaged 66.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 12.9% (HV 20d: 54.1%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2022-12-19: Highest Volume — 6,628 contracts
  • 2022-12-07: Largest IV drop — 32.1% change
  • 2022-12-19: Highest IV Rank — 25.4%
  • 2022-12-09: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.36$2.21$2.69$2.69$2.44
Max Pain$2.69$2.50$3.00$3.00$2.50
ATM IV66.9%53.3%78.6%78.6%62.8%
Expected Move20.2%17.3%22.8%22.5%18.0%
HV 20d54.1%46.4%66.3%62.5%54.6%
HV 60d61.1%54.0%64.3%62.6%54.0%
IV Rank13.4%0.0%25.4%18.0%10.9%
IV Percentile3.9%0.0%11.1%9.5%2.0%
Term Structure8.3%-10.8%18.9%-10.8%10.2%
VWIV70.3%54.5%82.6%79.2%62.6%
Skew 25d0.9%-33.5%32.4%2.1%11.8%
Skew 10d12.2%-28.8%26.4%26.4%19.0%
Call IV 25d65.3%39.0%84.8%75.1%51.2%
Put IV 25d66.2%47.4%85.8%77.3%63.0%
Bid-Ask Spread %42.6915.2461.2644.4215.24
Gamma HHI0.260.220.310.310.26
Net GEX72.9K48.9K99.6K91.4K98.3K
Net DEX-433.9K-2.2M1.6M-2.0M-2.1M
Net VEX-18.5K-30.5K-13.3K-30.5K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.012.880.030.03
Total Volume1,237.0482066,6281,755548
Total OI116,473.85794,696129,965125,514103,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$2.69$3.0078.6%22.5%62.5%18.0%79.2%2.1%-10.8%91.4K-2.0M-30.5K0.0344.421,70154106,28519,229
2022-12-02$2.69$3.0070.7%20.3%62.5%7.5%71.4%32.4%2.4%90.6K-1.7M-29.4K0.1540.9246169107,06819,240
2022-12-05$2.49$3.0072.2%19.3%65.9%9.6%71.4%-13.0%11.5%64.4K47.0K-23.2K2.8855.141,0913,146107,39619,280
2022-12-06$2.37$3.0078.6%19.6%66.3%18.0%71.8%-3.8%18.9%52.1K672.3K-20.5K0.5957.18814484107,80419,199
2022-12-07$2.33$3.0053.3%22.1%66.3%0.0%64.5%-24.4%9.2%57.1K937.6K-19.7K0.3258.26362115107,99119,593
2022-12-08$2.25$3.0056.1%22.8%59.2%3.2%82.6%2.8%12.0%55.7K1.2M-18.2K1.6755.14205343108,29419,562
2022-12-09$2.23$3.0062.9%22.8%46.5%10.9%69.9%29.6%14.5%48.9K1.6M-16.8K0.0327.3599825108,42519,707
2022-12-12$2.34$3.0066.7%22.1%51.3%15.4%76.6%-0.2%6.1%56.3K603.8K-19.6K0.0130.171,20810109,17018,518
2022-12-13$2.35$2.5062.1%21.3%51.5%10.1%78.3%-6.2%7.7%60.2K615.3K-19.3K0.1456.6849270110,34018,518
2022-12-14$2.33$2.5070.8%20.3%50.3%20.1%81.1%-33.5%10.7%75.4K1.1M-17.4K0.1259.3153564110,32818,524
2022-12-15$2.30$2.5075.1%21.5%48.4%25.0%68.6%13.7%2.7%72.3K1.1M-17.2K0.3261.26808256110,86118,535
2022-12-16$2.25$2.5068.1%19.5%48.5%16.9%74.6%10.0%11.4%63.2K1.4M-15.6K0.3750.68557207111,42318,542
2022-12-19$2.21$2.5075.5%21.7%48.4%25.4%71.2%-16.8%1.7%54.8K-702.6K-13.3K0.0153.576,5577187,4877,209
2022-12-20$2.21$2.5062.5%17.9%46.4%10.5%69.9%-9.8%16.3%63.9K-1.1M-14.5K0.0553.569114893,6127,232
2022-12-21$2.30$2.5060.4%17.3%47.0%8.1%54.5%-5.7%12.8%78.5K-1.5M-15.4K0.1246.594695793,7377,242
2022-12-22$2.23$2.5069.6%19.9%47.4%18.6%71.4%6.6%9.7%74.1K-1.4M-15.5K0.0820.431,23210294,0417,278
2022-12-23$2.38$2.5063.0%18.1%54.4%11.1%62.6%5.7%7.3%92.6K-1.9M-16.9K0.1016.998718794,7307,295
2022-12-27$2.41$2.5063.4%18.2%51.6%11.6%63.5%8.9%7.9%99.6K-2.2M-17.3K0.5829.2731018195,4617,362
2022-12-28$2.33$2.5067.1%19.2%52.6%15.8%66.4%-0.9%5.5%85.4K-1.7M-15.5K0.2135.131703695,5597,496
2022-12-29$2.42$2.5066.2%19.0%54.4%14.8%64.2%9.1%6.6%96.5K-2.0M-16.3K0.1029.252302395,6307,520
2022-12-30$2.44$2.5062.8%18.0%54.6%10.9%62.6%11.8%10.2%98.3K-2.1M-16.5K0.0315.245301895,6997,529