KRE Options History — May 2007

In May 2007, KRE traded between $47.00 and $48.27. ATM implied volatility averaged 46.0%. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 33.7% (HV 20d: 12.2%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 22 of 22 trading days.

Notable Days

  • 2007-05-29: Largest IV spike — 14.6% change
  • 2007-05-31: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.60$47.00$48.27$47.00$47.58
Max Pain$50.82$47.00$51.00$51.00$47.00
ATM IV46.0%37.6%62.3%37.6%62.3%
Expected Move13.2%10.8%17.9%10.8%17.9%
HV 20d12.2%11.1%13.5%12.1%12.0%
HV 60d16.6%14.3%17.3%16.5%14.3%
Skew 25d-9.7%-27.5%12.2%-0.6%-27.5%
Skew 10d-20.2%-32.8%-9.2%-16.5%-32.8%
Call IV 25d55.6%31.7%85.1%38.1%85.1%
Put IV 25d45.8%37.6%57.6%37.6%57.6%
Bid-Ask Spread %182.18176.52187.46176.52182.38
Gamma HHI0.350.340.360.350.36
Net GEX1.5K1.2K1.8K1.3K1.7K
Net DEX-634-8.8K5.2K2.7K-8.8K
Net VEX-184-228-121-217-121
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI38.86436393936

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$47.00$51.0037.6%10.8%12.1%0.0%0.0%-0.6%0.0%1.3K2.7K-2170.00176.52002613
2007-05-02$47.25$51.0037.9%10.9%11.6%0.0%0.0%-2.0%0.0%1.4K1.3K-2220.00180.10002613
2007-05-03$47.68$51.0037.7%10.8%11.6%0.0%0.0%-10.1%0.0%1.6K-2.6K-2200.00184.33002613
2007-05-04$48.13$51.0038.0%10.9%12.0%0.0%0.0%-8.1%0.0%1.8K-7.1K-2280.00186.03002613
2007-05-07$48.08$51.0039.4%11.3%11.7%0.0%0.0%-8.8%0.0%1.8K-6.4K-2200.00185.75002613
2007-05-08$47.99$51.0040.0%11.5%11.7%0.0%0.0%-9.4%0.0%1.7K-5.5K-2170.00185.12002613
2007-05-09$48.27$51.0040.4%11.6%11.1%0.0%0.0%-8.1%0.0%1.8K-8.1K-2140.00187.46002613
2007-05-10$47.36$51.0041.7%12.0%13.3%0.0%0.0%-8.8%0.0%1.4K241-2010.00180.15002613
2007-05-11$47.88$51.0041.5%11.9%13.5%0.0%0.0%-11.4%0.0%1.5K-1.2K-1990.00184.09002613
2007-05-14$47.45$51.0044.0%12.6%12.3%0.0%0.0%-0.9%0.0%1.4K2.4K-1900.00180.93002613
2007-05-15$47.15$51.0044.8%12.8%12.4%0.0%0.0%12.2%0.0%1.2K5.2K-1770.00177.49002613
2007-05-16$47.47$51.0045.4%13.0%12.7%0.0%0.0%0.3%0.0%1.3K2.6K-1840.00180.61002613
2007-05-17$47.30$51.0046.2%13.3%12.4%0.0%0.0%3.8%0.0%1.3K3.6K-1750.00179.13002613
2007-05-18$47.33$51.0044.6%12.8%12.4%0.0%0.0%1.8%0.0%1.3K3.9K-1720.00179.60002613
2007-05-21$47.54$51.0048.9%14.0%12.2%0.0%0.0%-3.8%0.0%1.4K2.4K-1680.00182.16002613
2007-05-22$47.85$51.0049.8%14.3%12.3%0.0%0.0%-10.9%0.0%1.4K-195-1650.00184.38002613
2007-05-23$47.86$51.0050.8%14.6%12.2%0.0%0.0%-20.7%0.0%1.4K-2.3K-1660.00184.38002613
2007-05-24$47.38$51.0050.1%14.4%12.7%0.0%0.0%-24.4%0.0%1.3K2.1K-1580.00180.81002613
2007-05-25$47.38$51.0051.2%14.7%12.7%0.0%0.0%-24.9%0.0%1.3K2.2K-1540.00180.37002613
2007-05-29$47.64$51.0058.7%16.8%12.1%0.0%0.0%-25.9%0.0%1.3K-55-1390.00182.78002613
2007-05-30$47.74$51.0060.4%17.3%12.0%0.0%0.0%-25.7%0.0%1.4K-464-1350.00183.44002613
2007-05-31$47.58$47.0062.3%17.9%12.0%0.0%0.0%-27.5%0.0%1.7K-8.8K-1210.00182.38002610