REI Options History — December 2024

In December 2024, REI traded between $1.23 and $1.54. ATM implied volatility averaged 58.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 12.3% (HV 20d: 46.2%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2024-12-27: Highest Volume — 3,464 contracts
  • 2024-12-18: Largest IV spike — 78.6% change
  • 2024-12-18: Highest IV Rank — 33.0%
  • 2024-12-18: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.36$1.23$1.54$1.54$1.39
Max Pain$1.07$1.00$1.50$1.50$1.00
ATM IV58.5%38.9%86.6%64.0%75.0%
Expected Move16.5%10.6%24.8%18.4%21.5%
HV 20d46.2%33.3%74.2%73.5%48.5%
HV 60d53.2%52.1%54.4%54.4%53.6%
IV Rank18.0%7.4%33.0%20.9%26.8%
IV Percentile55.0%9.9%90.5%75.0%84.5%
Term Structure-2.6%-42.1%65.7%-21.6%-31.3%
VWIV68.2%42.1%101.1%67.9%85.0%
Skew 25d31.8%-20.1%124.7%60.9%-0.2%
Skew 10d51.0%-4.5%170.3%115.8%10.0%
Call IV 25d58.8%41.9%92.9%66.6%82.6%
Put IV 25d90.6%53.8%168.1%127.5%82.4%
Bid-Ask Spread %58.1719.0182.5826.6349.95
Gamma HHI0.340.290.420.380.36
Net GEX45.6K21.3K79.3K60.3K57.0K
Net DEX-1.6M-2.6M-921.9K-2.0M-2.0M
Net VEX-9.6K-14.6K-6.3K-10.7K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.002.340.030.00
Total Volume610.095763,46476373
Total OI98,230.42995,087101,65898,169101,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$1.54$1.5064.0%18.4%73.5%20.9%67.9%60.9%-21.6%60.3K-2.0M-10.7K0.0326.6374296,0042,165
2024-12-03$1.50$1.5066.9%19.2%74.2%22.5%67.6%13.4%-9.9%79.3K-2.6M-14.6K0.0029.21366096,0112,167
2024-12-04$1.46$1.5058.3%16.7%73.3%17.8%58.7%12.8%-18.1%55.6K-2.0M-11.7K2.3419.016415095,9582,167
2024-12-05$1.46$1.0046.9%10.6%70.6%11.7%42.1%55.9%17.0%56.1K-1.9M-10.9K0.1262.8268895,9742,059
2024-12-06$1.38$1.0038.9%14.1%60.8%7.4%54.2%27.2%-1.7%55.6K-1.6M-10.3K0.2077.292214595,9562,067
2024-12-09$1.42$1.0059.9%14.2%40.1%18.7%57.0%106.4%5.9%58.6K-1.9M-10.9K0.1577.52721196,0062,082
2024-12-10$1.42$1.0049.2%11.2%38.5%13.0%68.6%124.7%21.5%49.1K-1.6M-9.3K0.0077.10433096,1102,092
2024-12-11$1.42$1.0050.8%14.6%36.5%13.8%58.1%109.3%-0.7%54.9K-1.8M-10.3K0.0179.22239296,3462,092
2024-12-12$1.42$1.0051.5%14.8%36.0%14.2%59.0%110.9%8.5%63.1K-2.0M-11.8K0.0382.58212796,5302,092
2024-12-13$1.40$1.0053.1%15.2%36.1%15.0%64.2%-6.3%-11.3%53.9K-1.5M-9.3K0.7667.0026420096,6792,093
2024-12-16$1.35$1.0056.9%16.3%37.8%17.1%64.1%-20.1%-21.7%45.3K-1.4M-9.4K0.0256.62365996,9102,293
2024-12-17$1.31$1.0048.5%13.9%37.9%12.6%50.2%0.7%13.4%34.0K-1.4M-9.1K0.0347.724191497,1612,059
2024-12-18$1.27$1.0086.6%24.8%38.7%33.0%101.1%-13.2%-42.1%46.1K-1.4M-9.5K0.0468.06194897,4752,073
2024-12-19$1.27$1.0047.8%13.7%38.8%12.2%0.0%10.7%65.7%27.1K-1.1M-7.5K0.0959.152782597,6221,952
2024-12-20$1.25$1.0069.3%19.9%34.5%23.7%80.8%4.5%-12.2%21.3K-921.9K-6.3K0.0256.78449797,8861,934
2024-12-23$1.23$1.0063.4%18.2%33.3%20.6%67.9%1.1%-1.9%22.7K-977.3K-6.5K0.0359.359942593,4881,599
2024-12-24$1.29$1.0053.7%15.4%39.3%15.4%0.0%21.8%-0.8%26.7K-1.2M-7.8K0.0170.39134194,0841,624
2024-12-26$1.27$1.0054.8%15.7%37.8%16.0%0.0%12.0%17.7%30.9K-1.3M-8.5K0.0060.60276094,1711,624
2024-12-27$1.25$1.0080.0%23.0%37.8%29.5%93.6%4.9%-37.1%24.2K-985.4K-6.6K0.0049.013,4541094,3051,624
2024-12-30$1.34$1.0054.0%15.5%46.5%15.5%87.7%30.6%5.6%35.7K-1.5M-9.2K0.0045.553,338197,0131,634
2024-12-31$1.39$1.0075.0%21.5%48.5%26.8%85.0%-0.2%-31.3%57.0K-2.0M-10.6K0.0049.953730100,0231,635