RLAY Options History — December 2021

In December 2021, RLAY traded between $27.93 and $33.36. ATM implied volatility averaged 111.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 61.7% (HV 20d: 50.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2021-12-17: Highest Volume — 739 contracts
  • 2021-12-15: Largest IV drop — 70.3% change
  • 2021-12-14: Highest IV Rank — 83.1%
  • 2021-12-03: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.80$27.93$33.36$29.32$30.85
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV111.7%54.9%257.9%105.4%59.5%
Expected Move24.4%15.7%34.2%30.2%17.1%
HV 20d50.0%44.0%55.1%51.6%55.1%
HV 60d75.7%73.8%76.9%76.6%75.1%
IV Rank24.1%1.2%83.1%21.6%3.1%
IV Percentile50.2%0.4%98.2%57.2%3.1%
Term Structure16.3%-39.4%94.3%-31.4%94.3%
VWIV99.6%74.1%166.7%129.2%116.4%
Skew 25d-1.8%-40.8%35.6%16.5%35.6%
Skew 10d23.4%-47.2%155.0%155.0%-47.2%
Call IV 25d122.6%80.7%179.1%167.9%80.7%
Put IV 25d120.8%73.0%200.1%184.4%116.4%
Bid-Ask Spread %118.9191.87129.02126.6796.87
Gamma HHI0.640.470.820.530.69
Net GEX-27.1K-46.8K-20.9K-26.7K-22.5K
Net DEX908.2K289.7K1.5M1.1M438.1K
Net VEX-3.7K-5.0K-2.9K-4.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.605.852.005.85
Total Volume471.59185739663281
Total OI1,316.2737371,6681,630994

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$29.32$35.00105.4%30.2%51.6%21.6%129.2%16.5%-31.4%-26.7K1.1M-4.9K2.00126.67N/AN/A2214424561,174
2021-12-02$29.48$35.00105.2%30.1%44.5%21.5%128.6%21.0%-14.0%-23.6K1.0M-5.0K2.00129.02N/AN/A2214424561,174
2021-12-03$28.04$35.00119.2%34.2%46.5%27.1%166.7%-40.8%-39.4%-27.5K1.2M-4.5K2.00127.79N/AN/A2214424561,174
2021-12-06$27.99$30.00137.7%24.8%46.7%34.6%90.4%-2.0%26.0%-26.7K1.2M-4.3K1.90122.48N/AN/A2174134561,174
2021-12-07$29.53$30.00112.2%26.4%52.2%24.3%93.4%0.8%3.9%-32.7K1.2M-4.2K2.07118.68N/AN/A2174504551,173
2021-12-08$30.31$30.00121.1%26.2%53.7%27.9%91.6%3.9%8.6%-29.7K1.1M-4.6K2.07112.02N/AN/A2174504551,213
2021-12-09$29.37$30.00162.5%23.8%53.1%44.6%84.0%-1.6%35.4%-23.4K1.0M-4.2K2.07117.62N/AN/A2174504551,213
2021-12-10$28.28$30.00167.9%24.2%48.5%46.8%92.5%-3.3%19.5%-31.0K1.4M-4.2K2.10120.29N/AN/A2144504551,213
2021-12-13$27.93$30.00217.0%22.6%48.4%66.6%107.4%-16.6%15.9%-28.6K1.4M-3.6K2.14119.98N/AN/A2124544521,213
2021-12-14$28.29$30.00257.9%22.8%48.9%83.1%102.5%-10.4%12.9%-25.0K1.3M-3.7K2.14123.94N/AN/A2124544521,215
2021-12-15$28.64$30.0076.5%21.9%49.5%9.9%101.4%-10.8%15.4%-28.4K1.3M-3.6K2.18124.83N/AN/A2124634521,215
2021-12-16$28.16$30.0082.7%23.7%48.3%12.4%96.1%20.9%1.6%-30.0K1.1M-3.3K2.36109.95N/AN/A2064864521,140
2021-12-17$29.03$30.0083.4%23.9%50.3%12.7%101.2%30.2%13.0%-24.1K1.5M-3.0K2.69123.13N/AN/A2005394521,134
2021-12-20$30.06$30.0085.2%24.4%52.4%13.4%87.6%6.7%12.5%-21.9K634.5K-2.9K1.35116.44N/AN/A466293644
2021-12-21$30.66$30.0082.0%23.5%53.0%12.2%81.5%-29.3%17.8%-20.9K488.7K-3.0K1.14116.72N/AN/A5967126644
2021-12-22$31.32$30.0082.4%23.6%44.0%12.3%74.1%14.6%27.2%-26.4K387.2K-2.9K1.08126.16N/AN/A6267130649
2021-12-23$33.36$30.0068.6%19.7%49.3%6.7%79.3%-32.0%38.6%-21.6K289.7K-3.0K1.08117.32N/AN/A6267137649
2021-12-27$32.39$30.0096.6%27.7%48.0%18.0%90.2%1.6%2.4%-21.8K415.3K-3.0K0.6091.87N/AN/A5332137649
2021-12-28$31.26$30.0092.9%26.6%49.3%16.5%105.7%-6.1%22.0%-25.2K413.7K-2.9K2.34123.82N/AN/A80187142654
2021-12-29$29.95$30.0085.9%24.6%51.8%13.7%97.0%-27.2%19.3%-30.6K664.7K-3.4K2.38126.88N/AN/A80190174814
2021-12-30$31.47$30.0054.9%15.7%54.5%1.2%74.5%-11.6%57.6%-46.8K343.9K-3.1K2.79123.60N/AN/A68190174819
2021-12-31$30.85$30.0059.5%17.1%55.1%3.1%116.4%35.6%94.3%-22.5K438.1K-3.2K5.8596.87N/AN/A41240175819