KRE Options History — March 2007 In March 2007, KRE traded between $46.88 and $49.22. ATM implied volatility averaged 62.7%. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 41.7% (HV 20d: 21.0%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-28 : Highest Volume — 3 contracts2007-03-16 : Largest IV drop — 85.0% change2007-03-09 : Largest Expected Move — 24.8%Monthly Statistics Metric Avg Min Max Open Close Price $48.24 $46.88 $49.22 $48.89 $48.12 Max Pain $48.64 $47.00 $51.00 $51.00 $51.00 ATM IV 62.7% 26.1% 176.5% 61.1% 28.2% Expected Move 12.0% 7.3% 24.8% 17.5% 8.1% HV 20d 21.0% 14.9% 24.8% 14.9% 21.7% HV 60d 17.1% 16.8% 17.6% 16.9% 16.8% Term Structure -51.1% -67.1% -39.2% -39.2% -67.1% VWIV 27.2% 21.4% 33.0% 33.0% 21.4% Skew 25d -5.1% -15.8% 1.9% 1.9% -5.6% Skew 10d -5.3% -16.5% 1.9% 1.9% -6.0% Call IV 25d 55.2% 33.2% 112.9% 77.4% 37.8% Put IV 25d 50.1% 26.1% 109.0% 79.2% 32.2% Bid-Ask Spread % 185.71 171.67 195.75 194.85 182.74 Gamma HHI 0.38 0.35 0.40 0.40 0.35 Net GEX 2.6K 1.9K 3.2K 3.2K 1.9K Net DEX -25.7K -38.9K -9.9K -38.9K -9.9K Net VEX -325 -367 -290 -367 -311 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.227 0 3 0 0 Total OI 39 36 41 41 39
Daily Data (22 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 2007-03-01 $48.89 $51.00 61.1% 17.5% 14.9% 0.0% 0.0% 1.9% -39.2% 3.2K -38.9K -367 0.00 194.85 0 0 31 10 2007-03-02 $48.65 $51.00 63.2% 18.1% 15.0% 0.0% 0.0% -0.8% -42.2% 3.0K -36.0K -366 0.00 195.16 0 0 31 10 2007-03-05 $47.43 $51.00 73.2% 21.0% 17.0% 0.0% 0.0% -15.8% -46.8% 2.5K -22.2K -329 0.00 190.05 0 0 31 10 2007-03-06 $48.48 $51.00 74.8% 21.4% 18.9% 0.0% 0.0% -3.5% -49.5% 3.0K -33.5K -357 0.00 195.37 0 0 31 10 2007-03-07 $48.12 $51.00 78.8% 22.6% 18.9% 0.0% 0.0% -8.6% -55.2% 2.8K -29.6K -340 0.00 193.58 0 0 31 10 2007-03-08 $48.39 $51.00 82.8% 23.7% 18.9% 0.0% 0.0% -5.3% -57.7% 2.9K -32.6K -351 0.00 195.75 0 0 31 10 2007-03-09 $48.51 $51.00 86.6% 24.8% 19.0% 0.0% 0.0% -3.9% -67.1% 3.0K -33.7K -349 0.00 195.19 0 0 31 10 2007-03-12 $48.41 $47.00 111.1% 7.3% 18.8% 0.0% 0.0% -4.6% 0.0% 3.0K -32.1K -341 0.00 182.01 0 0 31 10 2007-03-13 $46.88 $47.00 127.5% 7.5% 21.6% 0.0% 0.0% -10.4% 0.0% 2.2K -17.1K -309 0.00 171.67 0 0 31 10 2007-03-14 $47.05 $47.00 147.0% 7.6% 21.4% 0.0% 0.0% -9.8% 0.0% 2.3K -18.2K -307 0.00 174.69 0 0 31 10 2007-03-15 $47.93 $47.00 176.5% 7.4% 22.8% 0.0% 0.0% -7.0% 0.0% 2.7K -26.8K -319 0.00 178.74 0 0 31 10 2007-03-16 $47.45 $47.00 26.4% 7.6% 22.9% 0.0% 0.0% -7.9% 0.0% 1.9K -17.5K -311 0.00 176.51 0 0 31 10 2007-03-19 $47.70 $47.00 26.5% 7.6% 22.9% 0.0% 33.0% -7.2% 0.0% 2.0K -19.1K -305 0.00 178.63 2 0 26 10 2007-03-20 $48.15 $47.00 26.6% 7.6% 23.2% 0.0% 0.0% -5.2% 0.0% 2.2K -22.9K -316 0.00 181.15 0 0 26 10 2007-03-21 $49.22 $47.00 26.1% 7.5% 24.8% 0.0% 0.0% -0.2% 0.0% 2.6K -33.4K -323 0.00 185.95 0 0 26 10 2007-03-22 $49.00 $47.00 26.4% 7.6% 24.8% 0.0% 0.0% -1.3% 0.0% 2.6K -30.9K -322 0.00 186.67 0 0 26 10 2007-03-23 $49.12 $47.00 26.5% 7.6% 24.8% 0.0% 0.0% -0.7% 0.0% 3.0K -30.1K -316 0.00 186.56 0 0 26 10 2007-03-26 $48.92 $47.00 27.0% 7.7% 24.7% 0.0% 0.0% -1.8% 0.0% 2.8K -27.6K -305 0.00 186.95 0 0 26 10 2007-03-27 $48.48 $47.00 27.6% 7.9% 21.6% 0.0% 0.0% -4.0% 0.0% 2.6K -22.8K -292 0.00 185.50 0 0 26 10 2007-03-28 $48.02 $47.00 27.9% 8.0% 21.6% 0.0% 21.4% -5.8% 0.0% 2.3K -18.3K -290 0.00 183.73 0 3 26 10 2007-03-29 $48.26 $51.00 28.0% 8.0% 21.7% 0.0% 0.0% -5.0% 0.0% 2.0K -11.2K -313 0.00 184.24 0 0 26 13 2007-03-30 $48.12 $51.00 28.2% 8.1% 21.7% 0.0% 0.0% -5.6% 0.0% 1.9K -9.9K -311 0.00 182.74 0 0 26 13
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