KRE Options History — March 2008

In March 2008, KRE traded between $32.03 and $37.75. ATM implied volatility averaged 41.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 36.1% (HV 20d: 77.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.44.

Notable Days

2008-03-26: Highest Volume — 450 contracts
2008-03-10: Largest IV spike — 48.4% change
2008-03-17: Highest IV Rank — 29.8%
2008-03-17: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.77	$32.03	$37.75	$33.51	$35.14
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	41.1%	27.4%	63.1%	32.9%	41.2%
Expected Move	12.2%	8.2%	18.1%	9.4%	11.8%
HV 20d	77.2%	41.9%	106.7%	101.2%	44.9%
HV 60d	62.5%	59.9%	64.8%	59.9%	64.8%
IV Rank	17.6%	8.5%	29.8%	15.9%	16.3%
IV Percentile	53.0%	19.1%	86.3%	48.4%	48.6%
Term Structure	-5.2%	-42.8%	7.6%	1.4%	-2.5%
VWIV	41.8%	33.8%	77.5%	37.1%	37.3%
Bid-Ask Spread %	91.40	70.73	154.38	97.27	85.36
Gamma HHI	0.49	0.35	0.80	0.66	0.53
Net GEX	12.3K	-5.2K	34.9K	6.1K	34.6K
Net DEX	-270.5K	-846.7K	64.0K	-74.2K	-786.1K
Net VEX	-4.1K	-13.7K	0	-814	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.00	5.05	2.50	1.38
Total Volume	135.7	0	450	0	76
Total OI	679.15	0	2,076	153	2,076

Daily Data (20 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
2008-03-03	$33.51	$35.00	32.9%	9.4%	101.2%	0.0%	0.0%	0.0%	1.4%	6.1K	-74.2K	-814	0.00	97.27	0	0	138	15
2008-03-04	$33.22	$35.00	32.8%	9.4%	101.1%	0.0%	37.1%	0.0%	2.9%	5.7K	-67.4K	-790	2.50	99.64	8	20	138	15
2008-03-05	$33.03	$35.00	35.3%	10.1%	101.1%	0.0%	35.3%	0.0%	4.9%	3.6K	-22.1K	-840	0.28	82.47	36	10	137	35
2008-03-06	$32.03	$35.00	43.6%	12.5%	101.1%	0.0%	42.3%	0.0%	-3.0%	4.7K	-18.6K	-1.0K	2.80	93.67	5	14	172	45
2008-03-07	$32.65	$35.00	27.4%	12.2%	102.0%	0.0%	0.0%	0.0%	-1.8%	4.4K	-8.0K	-1.1K	0.00	71.99	1	0	167	59
2008-03-10	$32.50	$35.00	40.6%	12.3%	101.6%	15.9%	0.0%	0.0%	-1.7%	4.0K	-3.3K	-1.1K	0.00	72.92	0	22	166	59
2008-03-11	$35.00	$35.00	36.0%	11.0%	106.7%	13.0%	38.5%	0.0%	1.1%	7.7K	-89.7K	-1.4K	0.74	74.01	47	35	166	71
2008-03-12	$34.40	$35.00	30.1%	11.3%	106.7%	9.4%	39.4%	0.0%	0.5%	10.3K	-90.1K	-1.6K	0.03	79.63	144	5	205	81
2008-03-13	$35.04	$35.00	43.0%	12.3%	106.7%	17.4%	43.1%	0.0%	-3.3%	24.5K	-376.8K	-2.3K	1.07	72.76	29	31	335	81
2008-03-14	$34.54	$0.00	55.5%	15.9%	106.7%	25.1%	77.5%	0.0%	-28.3%	0	0	0	5.05	153.29	20	101	0	0
2008-03-17	$34.29	$35.00	63.1%	18.1%	106.6%	29.8%	0.0%	0.0%	-42.8%	10.2K	-242.6K	-2.8K	3.00	148.58	4	12	376	203
2008-03-18	$35.70	$35.00	58.4%	16.7%	43.1%	26.9%	38.5%	0.0%	-20.7%	24.9K	-319.6K	-2.9K	4.70	154.38	47	221	374	215
2008-03-19	$35.17	$35.00	44.8%	12.9%	41.9%	18.5%	0.0%	0.0%	-4.4%	-5.2K	64.0K	-4.0K	0.33	82.58	55	18	343	428
2008-03-20	$36.82	$35.00	45.1%	12.9%	44.5%	18.7%	43.8%	0.0%	-14.8%	3.2K	-296.6K	-4.0K	1.64	75.29	44	72	362	436
2008-03-24	$37.49	$35.00	38.6%	11.1%	44.9%	14.7%	39.2%	0.0%	7.6%	2.4K	-361.1K	-4.1K	0.29	70.73	318	93	314	424
2008-03-25	$37.75	$35.00	28.6%	8.2%	44.7%	8.5%	33.8%	0.0%	6.0%	17.4K	-672.8K	-6.9K	0.39	74.16	168	66	591	496
2008-03-26	$36.80	$35.00	41.1%	11.8%	45.7%	16.2%	41.8%	0.0%	-0.6%	19.7K	-530.0K	-8.1K	0.17	75.02	385	65	738	562
2008-03-27	$35.74	$35.00	41.7%	11.9%	46.9%	16.6%	40.3%	0.0%	-1.7%	34.9K	-846.7K	-11.7K	0.30	80.66	149	45	1,106	599
2008-03-28	$34.66	$35.00	41.4%	11.9%	45.8%	16.4%	39.0%	0.0%	-2.5%	32.8K	-668.7K	-12.2K	1.20	83.64	158	190	1,221	634
2008-03-31	$35.14	$35.00	41.2%	11.8%	44.9%	16.3%	37.3%	0.0%	-2.5%	34.6K	-786.1K	-13.7K	1.38	85.36	32	44	1,341	735