KRE Options History — June 2007

In June 2007, KRE traded between $46.46 and $48.17. ATM implied volatility averaged 68.4%. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 55.8% (HV 20d: 12.7%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 6 of 11 trading days.

Notable Days

  • 2007-06-14: Highest Volume — 25 contracts
  • 2007-06-14: Largest IV spike — 193.1% change
  • 2007-06-14: Largest Expected Move — 49.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.22$46.46$48.17$48.17$46.94
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV68.4%25.3%171.0%64.1%25.3%
Expected Move19.6%7.3%49.0%18.4%7.3%
HV 20d12.7%11.5%13.7%12.3%13.6%
HV 60d13.7%12.7%14.7%14.5%12.7%
VWIV106.3%62.7%149.9%62.7%149.9%
Skew 25d-28.5%-48.3%-15.8%-23.8%-16.9%
Skew 10d-38.8%-59.4%-26.7%-27.1%-26.7%
Call IV 25d90.5%49.4%116.9%86.5%49.4%
Put IV 25d62.0%32.5%69.7%62.7%32.5%
Bid-Ask Spread %163.26125.68186.47186.47125.68
Gamma HHI0.490.361.000.361.00
Net GEX-4.2K-48.0K2.0K2.0K-48.0K
Net DEX12.5K-13.9K87.2K-13.9K87.2K
Net VEX-64-123-23-123-34
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume3.182025100
Total OI38.27336613661

Daily Data (11 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$48.17$47.0064.1%18.4%12.3%0.0%62.7%-23.8%0.0%2.0K-13.9K-1230.00186.470102610
2007-06-04$48.09$47.0071.7%20.6%11.9%0.0%0.0%-27.1%0.0%1.9K-12.3K-1080.00185.65002610
2007-06-05$47.55$47.0075.1%21.5%12.5%0.0%0.0%-15.8%0.0%1.7K-7.8K-1000.00181.48002610
2007-06-06$47.20$47.0076.1%21.8%12.8%0.0%0.0%-39.4%0.0%1.5K-5.5K-950.00178.61002610
2007-06-07$46.61$47.0080.6%23.1%13.2%0.0%0.0%-48.3%0.0%1.3K-939-850.00173.67002610
2007-06-08$47.15$47.0035.7%10.2%12.3%0.0%0.0%-16.9%0.0%-1.9K21.8K-400.00149.34002610
2007-06-11$47.15$47.0045.2%12.9%11.5%0.0%0.0%0.0%0.0%-2.0K22.2K-310.00150.35002610
2007-06-12$46.46$47.0049.7%14.3%12.2%0.0%0.0%0.0%0.0%-2.3K28.4K-230.00141.27002610
2007-06-13$47.25$47.0058.4%16.7%13.6%0.0%0.0%0.0%0.0%-1.7K21.0K-250.00147.39002610
2007-06-14$46.88$47.00171.0%49.0%13.7%0.0%149.9%0.0%0.0%1.4K-2.5K-400.00175.950252610
2007-06-15$46.94$47.0025.3%7.3%13.6%0.0%0.0%0.0%0.0%-48.0K87.2K-340.00125.68002635