KRE Options History — January 2007

Name: KRE Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, KRE traded between $48.38 and $50.75. ATM implied volatility averaged 30.0%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 16.7% (HV 20d: 13.2%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2007-01-11: Highest Volume — 20 contracts
2007-01-22: Largest IV spike — 165.8% change
2007-01-31: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.38	$48.38	$50.75	$50.58	$49.36
ATM IV	30.0%	14.9%	59.1%	16.2%	59.1%
Expected Move	8.7%	4.5%	16.9%	4.6%	16.9%
HV 20d	13.2%	13.0%	13.4%	13.2%	13.0%
Term Structure	-6.8%	-21.5%	1.2%	0.2%	-21.5%
VWIV	41.8%	40.4%	43.2%	40.4%	43.2%
Skew 25d	-0.9%	-9.2%	4.0%	2.7%	-0.9%
Skew 10d	-2.2%	-9.2%	2.2%	0.8%	-0.9%
Call IV 25d	35.6%	11.7%	75.4%	11.8%	75.4%
Put IV 25d	34.7%	13.7%	74.5%	14.5%	74.5%
Bid-Ask Spread %	128.87	72.24	194.86	105.21	194.86
Gamma HHI	0.63	0.39	1.00	1.00	0.40
Net GEX	3.9K	2.4K	5.3K	4.3K	2.8K
Net DEX	-42.9K	-59.3K	-28.4K	-58.6K	-34.9K
Net VEX	-370	-481	-247	-259	-427
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	1.00	1.00	1.00	1.00
Total Volume	2.684	0	20	0	20
Total OI	33.632	21	41	21	41

Daily Data (19 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
2007-01-03	$50.58	$0.00	16.2%	4.6%	0.0%	0.0%	0.0%	2.7%	0.2%	4.3K	-58.6K	-259	0.00	105.21	0	0	21	0
2007-01-04	$50.75	$0.00	15.7%	4.5%	0.0%	0.0%	0.0%	4.0%	1.2%	4.4K	-59.3K	-258	0.00	105.91	0	0	21	0
2007-01-05	$49.70	$0.00	15.2%	4.7%	0.0%	0.0%	0.0%	-0.1%	0.3%	4.3K	-49.4K	-252	0.00	72.24	0	0	21	0
2007-01-08	$49.72	$0.00	16.2%	4.7%	0.0%	0.0%	0.0%	1.4%	0.4%	4.3K	-48.9K	-249	0.00	77.27	0	0	21	0
2007-01-09	$49.50	$0.00	14.9%	4.9%	0.0%	0.0%	0.0%	2.9%	-1.5%	4.4K	-47.0K	-250	0.00	82.99	0	0	21	0
2007-01-10	$49.52	$0.00	15.2%	4.6%	0.0%	0.0%	0.0%	2.4%	0.4%	4.4K	-47.2K	-247	0.00	80.85	0	0	21	0
2007-01-11	$49.91	$0.00	16.8%	4.8%	0.0%	0.0%	0.0%	-0.5%	-0.4%	4.3K	-51.0K	-252	1.00	80.61	10	10	21	0
2007-01-12	$49.94	$0.00	16.5%	4.7%	0.0%	0.0%	0.0%	0.3%	-0.9%	5.3K	-58.6K	-481	0.00	82.35	0	0	31	10
2007-01-16	$49.48	$0.00	16.3%	4.7%	0.0%	0.0%	0.0%	0.0%	-0.6%	5.0K	-48.9K	-460	0.00	85.06	0	0	31	10
2007-01-17	$49.13	$0.00	16.4%	4.7%	0.0%	0.0%	0.0%	0.4%	-0.6%	5.1K	-39.7K	-445	0.00	87.04	0	0	31	10
2007-01-18	$48.76	$0.00	16.4%	4.7%	0.0%	0.0%	0.0%	0.7%	0.2%	4.8K	-35.3K	-436	0.00	92.37	0	0	31	10
2007-01-19	$48.80	$0.00	18.1%	5.2%	0.0%	0.0%	0.0%	0.3%	-1.8%	4.4K	-35.4K	-432	0.00	153.70	0	0	31	10
2007-01-22	$48.57	$0.00	48.2%	13.8%	0.0%	0.0%	0.0%	-6.9%	-15.1%	2.6K	-43.2K	-458	0.00	189.57	0	0	31	10
2007-01-24	$49.04	$0.00	50.0%	14.3%	0.0%	0.0%	0.0%	-3.2%	-15.6%	2.6K	-32.9K	-433	0.00	192.12	0	0	31	10
2007-01-25	$48.38	$0.00	51.9%	14.9%	0.0%	0.0%	40.4%	-9.2%	-16.0%	2.4K	-28.8K	-428	0.00	188.72	0	11	31	10
2007-01-26	$48.68	$0.00	52.4%	15.0%	13.2%	0.0%	0.0%	-6.7%	-17.9%	2.5K	-28.4K	-423	0.00	190.11	0	0	31	10
2007-01-29	$49.05	$0.00	56.2%	16.1%	13.3%	0.0%	0.0%	-3.8%	-20.0%	2.6K	-33.1K	-425	0.00	192.99	0	0	31	10
2007-01-30	$49.40	$0.00	57.4%	16.5%	13.4%	0.0%	0.0%	-0.4%	-20.2%	2.8K	-33.7K	-423	0.00	194.65	0	0	31	10
2007-01-31	$49.36	$0.00	59.1%	16.9%	13.0%	0.0%	43.2%	-0.9%	-21.5%	2.8K	-34.9K	-427	0.00	194.86	0	20	31	10