KRE Options History — February 2007 In February 2007, KRE traded between $48.58 and $50.99. ATM implied volatility averaged 49.5%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 38.4% (HV 20d: 11.2%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 0 of 18 days.
Notable Days 2007-02-02 : Largest IV spike — 158.7% change2007-02-28 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $50.22 $48.58 $50.99 $49.76 $48.92 Max Pain $51.00 $51.00 $51.00 $51.00 $51.00 ATM IV 49.5% 23.9% 75.5% 23.9% 59.3% Expected Move 12.7% 6.9% 17.0% 6.9% 17.0% HV 20d 11.2% 8.1% 15.2% 13.1% 15.2% Term Structure -23.0% -37.3% -8.9% -8.9% -37.3% Skew 25d 9.7% -1.2% 14.4% 0.4% 2.2% Skew 10d 12.1% -1.2% 20.0% 1.1% 2.2% Call IV 25d 51.5% 33.8% 74.9% 33.8% 74.9% Put IV 25d 61.1% 34.2% 77.0% 34.2% 77.0% Bid-Ask Spread % 186.38 158.62 194.85 158.62 194.85 Gamma HHI 0.41 0.40 0.45 0.45 0.40 Net GEX 3.6K 2.8K 5.4K 5.4K 3.2K Net DEX -54.6K -66.8K -35.4K -46.7K -39.4K Net VEX -414 -437 -373 -433 -375 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 41 41 41 41 41
Daily Data (18 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 2007-02-01 $49.76 $0.00 23.9% 6.9% 13.1% 0.0% 0.0% 0.4% -8.9% 5.4K -46.7K -433 0.00 158.62 0 0 31 10 2007-02-02 $50.05 $51.00 62.0% 10.5% 12.9% 0.0% 0.0% 9.0% -12.4% 2.9K -40.8K -427 0.00 189.26 0 0 31 10 2007-02-06 $50.16 $51.00 72.2% 11.0% 12.9% 0.0% 0.0% 9.6% -13.5% 2.8K -43.2K -425 0.00 188.69 0 0 31 10 2007-02-07 $50.42 $51.00 75.5% 11.1% 10.6% 0.0% 0.0% 10.3% -17.3% 3.7K -60.6K -437 0.00 186.34 0 0 31 10 2007-02-08 $50.38 $51.00 39.2% 11.2% 10.6% 0.0% 0.0% 10.3% -18.2% 3.7K -59.9K -435 0.00 187.42 0 0 31 10 2007-02-09 $49.90 $51.00 39.9% 11.4% 11.1% 0.0% 0.0% 8.9% -19.6% 3.6K -53.6K -429 0.00 190.75 0 0 31 10 2007-02-12 $50.03 $51.00 41.7% 11.9% 11.1% 0.0% 0.0% 9.6% -20.9% 3.6K -55.0K -423 0.00 190.11 0 0 31 10 2007-02-13 $50.39 $51.00 42.2% 12.1% 11.0% 0.0% 0.0% 10.9% -20.7% 3.7K -59.6K -425 0.00 187.42 0 0 31 10 2007-02-14 $50.44 $51.00 42.8% 12.3% 11.0% 0.0% 0.0% 11.2% -21.2% 3.7K -60.2K -423 0.00 186.55 0 0 31 10 2007-02-15 $50.51 $51.00 43.0% 12.3% 10.4% 0.0% 0.0% 11.5% -23.5% 3.8K -60.9K -421 0.00 186.99 0 0 31 10 2007-02-16 $50.73 $51.00 43.7% 12.5% 10.0% 0.0% 0.0% 12.4% -23.7% 3.8K -63.7K -418 0.00 184.88 0 0 31 10 2007-02-20 $50.99 $51.00 46.9% 13.5% 9.5% 0.0% 0.0% 14.1% -26.2% 3.9K -66.8K -410 0.00 183.34 0 0 31 10 2007-02-21 $50.84 $51.00 48.0% 13.7% 9.6% 0.0% 0.0% 13.8% -27.5% 3.9K -64.8K -403 0.00 184.52 0 0 31 10 2007-02-22 $50.95 $51.00 48.9% 14.0% 9.3% 0.0% 0.0% 14.4% -24.7% 3.2K -53.0K -401 0.00 184.02 0 0 31 10 2007-02-23 $50.67 $51.00 50.1% 14.4% 9.3% 0.0% 0.0% 13.7% -30.0% 3.8K -62.4K -403 0.00 186.19 0 0 31 10 2007-02-26 $50.30 $51.00 54.8% 15.7% 8.1% 0.0% 0.0% 13.0% -32.3% 3.7K -57.3K -397 0.00 190.05 0 0 31 10 2007-02-27 $48.58 $51.00 57.7% 16.6% 15.2% 0.0% 0.0% -1.2% -36.9% 3.0K -35.4K -373 0.00 194.85 0 0 31 10 2007-02-28 $48.92 $51.00 59.3% 17.0% 15.2% 0.0% 0.0% 2.2% -37.3% 3.2K -39.4K -375 0.00 194.85 0 0 31 10
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