KRE Options History — February 2008

Name: KRE Options Analytics - February 2008
Creator: Options Analysis Suite

In February 2008, KRE traded between $34.25 and $36.70. ATM implied volatility averaged 41.5%. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 59.7% (HV 20d: 101.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 9 trading days. Term structure was in contango for 0 of 9 days. Put/call ratio averaged 0.04.

Notable Days

2008-02-28: Highest Volume — 83 contracts
2008-02-27: Largest IV drop — 5.6% change
2008-02-19: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.91	$34.25	$36.70	$35.49	$34.25
Max Pain	$38.33	$35.00	$40.00	$40.00	$35.00
ATM IV	41.5%	39.6%	43.6%	43.6%	39.7%
Expected Move	11.9%	11.4%	12.5%	12.5%	11.4%
HV 20d	101.2%	100.0%	101.7%	100.0%	101.7%
HV 60d	59.2%	58.5%	59.8%	58.5%	59.8%
Term Structure	-1.5%	-6.9%	-0.3%	-0.7%	-0.3%
VWIV	37.7%	32.5%	40.7%	32.5%	39.9%
Bid-Ask Spread %	83.44	66.56	93.24	67.81	92.44
Gamma HHI	0.87	0.51	1.00	1.00	0.93
Net GEX	1.7K	0	5.3K	0	5.3K
Net DEX	-23.8K	-78.4K	0	0	-78.4K
Net VEX	-194	-856	0	0	-856
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.19	0.00	0.00
Total Volume	17	0	83	0	10
Total OI	33.111	0	143	0	143

Daily Data (9 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
2008-02-19	$35.49	$0.00	43.6%	12.5%	100.0%	0.0%	0.0%	0.0%	-0.7%	0	0	0	0.00	67.81	0	0	0	0
2008-02-20	$36.59	$0.00	41.7%	12.0%	101.1%	0.0%	0.0%	0.0%	-0.3%	0	0	0	0.00	66.56	1	0	0	0
2008-02-21	$35.86	$0.00	42.1%	12.1%	100.9%	0.0%	0.0%	0.0%	-0.5%	50	-1.3K	-10	0.00	82.10	1	0	1	0
2008-02-22	$35.95	$0.00	42.0%	12.0%	100.9%	0.0%	0.0%	0.0%	-1.6%	94	-2.2K	-18	0.00	82.69	8	0	2	0
2008-02-25	$36.46	$0.00	41.8%	12.0%	101.4%	0.0%	0.0%	0.0%	-6.9%	648	-12.2K	-78	0.15	88.38	13	2	10	0
2008-02-26	$36.70	$0.00	41.9%	12.0%	101.5%	0.0%	32.5%	0.0%	-1.0%	1.5K	-27.6K	-194	0.00	87.69	32	0	23	2
2008-02-27	$36.70	$40.00	39.6%	11.4%	101.4%	0.0%	0.0%	0.0%	-0.6%	4.6K	-51.7K	-308	0.00	93.24	3	0	55	2
2008-02-28	$35.22	$40.00	40.6%	11.6%	101.7%	0.0%	40.7%	0.0%	-1.8%	3.7K	-41.2K	-286	0.19	90.02	70	13	58	2
2008-02-29	$34.25	$35.00	39.7%	11.4%	101.7%	0.0%	39.9%	0.0%	-0.3%	5.3K	-78.4K	-856	0.00	92.44	10	0	128	15