KRE Options History — April 2007

In April 2007, KRE traded between $46.57 and $48.00. ATM implied volatility averaged 32.5%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 17.2% (HV 20d: 15.3%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 20 of 20 trading days.

Notable Days

  • 2007-04-09: Largest IV spike — 4.4% change
  • 2007-04-30: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.36$46.57$48.00$47.51$46.80
Max Pain$51.00$51.00$51.00$51.00$51.00
ATM IV32.5%28.9%37.2%28.9%37.2%
Expected Move9.3%8.3%10.7%8.3%10.7%
HV 20d15.3%12.1%20.2%20.2%12.7%
HV 60d16.7%16.4%17.0%16.8%16.6%
Skew 25d-4.2%-9.2%7.5%-7.9%3.9%
Skew 10d-10.7%-17.6%1.9%-9.3%-17.6%
Call IV 25d39.3%23.2%46.7%39.2%32.6%
Put IV 25d35.2%30.7%46.2%31.3%36.5%
Bid-Ask Spread %178.70173.30184.52179.40174.07
Gamma HHI0.350.340.350.350.35
Net GEX1.5K1.2K1.8K1.6K1.2K
Net DEX-2.3K-15.4K5.3K-3.7K4.1K
Net VEX-262-303-214-291-214
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI3939393939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$47.51$51.0028.9%8.3%20.2%0.0%0.0%-7.9%0.0%1.6K-3.7K-2910.00179.40002613
2007-04-03$48.00$51.0029.0%8.3%18.9%0.0%0.0%-6.1%0.0%1.8K-8.1K-3030.00183.66002613
2007-04-04$47.53$51.0029.3%8.4%19.0%0.0%0.0%-7.9%0.0%1.6K-3.6K-2870.00181.32002613
2007-04-05$47.51$51.0029.5%8.5%18.9%0.0%0.0%-8.0%0.0%1.6K-3.4K-2850.00180.07002613
2007-04-09$47.20$51.0030.9%8.8%19.0%0.0%0.0%-8.3%0.0%1.4K-472-2760.00177.00002613
2007-04-10$47.12$51.0031.1%8.9%19.0%0.0%0.0%-4.8%0.0%1.4K532-2740.00177.76002613
2007-04-11$46.66$51.0031.5%9.0%15.5%0.0%0.0%4.1%0.0%1.2K4.2K-2570.00173.30002613
2007-04-12$46.57$51.0031.7%9.1%15.4%0.0%0.0%7.5%0.0%1.2K5.3K-2540.00173.30002613
2007-04-13$46.97$51.0031.9%9.1%14.2%0.0%0.0%-2.4%0.0%1.3K1.9K-2530.00176.15002613
2007-04-16$47.85$51.0032.0%9.2%15.3%0.0%0.0%1.9%0.0%1.4K-15.4K-2860.00178.06002613
2007-04-17$47.80$51.0032.3%9.3%15.2%0.0%0.0%1.5%0.0%1.4K-15.0K-2830.00178.52002613
2007-04-18$47.89$51.0032.5%9.3%14.9%0.0%0.0%-7.6%0.0%1.7K-6.0K-2630.00184.52002613
2007-04-19$47.52$51.0032.9%9.4%12.5%0.0%0.0%-9.2%0.0%1.5K-2.6K-2540.00180.80002613
2007-04-20$47.62$51.0033.1%9.5%12.5%0.0%0.0%-8.8%0.0%1.6K-3.2K-2520.00182.23002613
2007-04-23$47.24$51.0034.6%9.9%12.7%0.0%0.0%-5.8%0.0%1.4K253-2440.00177.56002613
2007-04-24$47.15$51.0035.0%10.0%12.6%0.0%0.0%-3.3%0.0%1.4K1.2K-2420.00177.56002613
2007-04-25$47.40$51.0035.2%10.1%12.6%0.0%0.0%-7.6%0.0%1.4K-759-2400.00178.98002613
2007-04-26$47.53$51.0035.1%10.1%12.2%0.0%0.0%-9.2%0.0%1.5K-1.9K-2370.00180.48002613
2007-04-27$47.33$51.0035.9%10.3%12.1%0.0%0.0%-5.2%0.0%1.4K74-2350.00179.17002613
2007-04-30$46.80$51.0037.2%10.7%12.7%0.0%0.0%3.9%0.0%1.2K4.1K-2140.00174.07002613