REI Options History — December 2023

In December 2023, REI traded between $1.42 and $1.63. ATM implied volatility averaged 57.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 4.0% (HV 20d: 53.7%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2023-12-14: Highest Volume — 5,716 contracts
2023-12-12: Largest IV spike — 51.2% change
2023-12-12: Highest IV Rank — 47.0%
2023-12-15: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.51	$1.42	$1.63	$1.63	$1.46
Max Pain	$1.93	$1.50	$2.00	$1.50	$2.00
ATM IV	57.7%	41.8%	89.6%	46.1%	50.9%
Expected Move	16.4%	13.1%	19.5%	13.2%	14.6%
HV 20d	53.7%	43.0%	63.5%	61.9%	58.0%
HV 60d	51.7%	47.3%	54.7%	50.6%	52.2%
IV Rank	21.1%	8.2%	47.0%	11.7%	15.6%
IV Percentile	45.4%	6.0%	98.8%	11.9%	26.6%
Term Structure	3.0%	-20.7%	28.1%	13.0%	0.6%
VWIV	57.2%	36.7%	68.2%	52.5%	51.2%
Skew 25d	39.2%	-10.0%	103.9%	-10.0%	11.2%
Skew 10d	77.0%	11.4%	249.1%	84.5%	21.0%
Call IV 25d	52.5%	42.1%	68.6%	58.8%	58.4%
Put IV 25d	91.7%	48.7%	146.0%	48.7%	69.6%
Bid-Ask Spread %	30.65	19.22	47.65	30.52	30.73
Gamma HHI	0.25	0.22	0.31	0.27	0.22
Net GEX	53.8K	40.5K	73.4K	73.2K	44.0K
Net DEX	-1.1M	-1.8M	-638.0K	-1.8M	-941.0K
Net VEX	-14.0K	-19.3K	-11.6K	-19.3K	-12.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	3.29	0.08	0.00
Total Volume	900.7	75	5,716	309	384
Total OI	91,804.35	87,160	99,673	93,195	88,578

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
2023-12-01	$1.63	$1.50	46.1%	13.2%	61.9%	11.7%	52.5%	-10.0%	13.0%	73.2K	-1.8M	-19.3K	0.08	30.52	285	24	85,289	7,906
2023-12-04	$1.56	$2.00	45.7%	17.8%	63.5%	11.3%	65.7%	27.5%	-0.6%	62.7K	-1.5M	-17.0K	3.29	24.80	34	112	85,497	7,920
2023-12-05	$1.52	$2.00	59.4%	14.5%	55.6%	22.5%	50.7%	103.9%	12.6%	57.9K	-1.1M	-14.6K	0.01	35.65	125	1	85,535	7,935
2023-12-06	$1.50	$2.00	52.9%	15.4%	44.5%	17.3%	56.5%	36.7%	11.1%	52.3K	-984.3K	-13.8K	0.29	39.74	517	149	85,545	7,883
2023-12-07	$1.50	$2.00	56.2%	17.6%	43.0%	19.9%	61.7%	67.5%	-5.5%	50.8K	-919.4K	-13.7K	0.42	32.91	53	22	85,608	7,997
2023-12-08	$1.56	$2.00	41.8%	17.1%	44.8%	8.2%	57.5%	40.0%	-2.8%	55.2K	-1.0M	-13.6K	0.00	42.13	145	0	85,629	7,999
2023-12-11	$1.46	$2.00	59.3%	18.5%	47.5%	22.4%	67.3%	23.6%	2.5%	50.9K	-974.5K	-13.9K	1.23	23.77	279	343	85,712	7,999
2023-12-12	$1.42	$2.00	89.6%	13.4%	48.1%	47.0%	36.7%	17.0%	28.1%	40.5K	-638.0K	-11.6K	0.06	22.27	5,302	342	85,919	8,129
2023-12-13	$1.46	$1.50	45.8%	13.1%	45.2%	11.5%	46.2%	8.5%	21.6%	62.5K	-1.1M	-12.9K	0.36	26.40	200	73	91,146	8,326
2023-12-14	$1.56	$1.50	64.6%	18.5%	51.4%	26.7%	64.7%	48.4%	-20.7%	73.4K	-1.7M	-15.5K	0.06	39.84	5,397	319	91,330	8,343
2023-12-15	$1.46	$2.00	68.0%	19.5%	54.8%	29.5%	68.2%	74.4%	0.8%	47.4K	-930.8K	-13.4K	0.33	36.07	533	176	87,133	8,453
2023-12-18	$1.48	$2.00	56.6%	16.2%	53.1%	20.2%	56.6%	22.3%	6.8%	46.5K	-1.0M	-13.4K	0.36	30.74	767	273	79,242	7,918
2023-12-19	$1.56	$2.00	55.1%	15.8%	56.2%	19.1%	55.3%	44.7%	3.6%	53.9K	-1.2M	-14.6K	0.15	20.33	500	77	79,562	7,991
2023-12-20	$1.50	$2.00	58.5%	16.8%	57.5%	21.8%	59.7%	76.3%	0.5%	49.0K	-1.1M	-13.7K	0.11	47.65	304	33	79,946	8,010
2023-12-21	$1.52	$2.00	66.1%	18.9%	57.9%	27.9%	66.1%	74.0%	-3.5%	51.0K	-1.1M	-13.5K	0.00	39.53	278	1	80,087	8,043
2023-12-22	$1.54	$2.00	58.2%	16.7%	58.0%	21.6%	58.3%	13.4%	-1.6%	54.4K	-1.2M	-14.0K	0.00	19.30	268	0	80,376	8,044
2023-12-26	$1.56	$2.00	62.5%	17.9%	57.2%	25.0%	63.2%	51.0%	1.1%	56.1K	-1.3M	-14.3K	0.04	19.22	75	3	80,300	8,044
2023-12-27	$1.54	$2.00	56.7%	16.3%	56.8%	20.3%	56.5%	55.5%	-1.0%	48.2K	-993.5K	-12.0K	0.26	25.74	297	77	80,311	8,047
2023-12-28	$1.48	$2.00	59.8%	17.1%	58.0%	22.8%	50.0%	-1.7%	-6.6%	46.0K	-979.8K	-13.2K	0.32	25.75	186	60	80,266	8,089
2023-12-29	$1.46	$2.00	50.9%	14.6%	58.0%	15.6%	51.2%	11.2%	0.6%	44.0K	-941.0K	-12.9K	0.00	30.73	384	0	80,429	8,149